Semiparametric Estimation of Consumer Demand Systems in Real Expenditure

Microdata concerning consumer demand typically show considerable variation in real expenditures, but very little variation in prices. We propose a semiparametric strategy for the consumer demand problem in which expenditure share equations are estimated Pendakur gratefully acknowledges the financial support of the Social Sciences and Humanities Research Council of Canada through its standard research grant program, while Sperlich acknowledges the support of the Deutsche Forschungsgemeinschaft FOR916. Both authors thank Emmanuel Guerre and the participants of the 2004 CAM/Cemmap Workshop on “Nonparametric Methods under Behavioural Restrictions”, and in particular, Arthur Lewbel and Enno Mammen, for helpful discussion.