TY - JOUR
AU - Angrist,Joshua D.
AU - Graddy,Kathryn
AU - Imbens,Guido W.
TI - Non-Parametric Demand Analysis with an Application to the Demand for Fish
JF - National Bureau of Economic Research Technical Working Paper Series
VL - No. 178
PY - 1995
Y2 - April 1995
DO - 10.3386/t0178
UR - http://www.nber.org/papers/t0178
L1 - http://www.nber.org/papers/t0178.pdf
N1 - Author contact info:
Joshua Angrist
Department of Economics, E17-226
MIT
77 Massachusetts Avenue
Cambridge, MA 02139
Tel: 617/253-8909
Fax: 617/253-1330
E-Mail: angrist@mit.edu
Guido Imbens
Graduate School of Business
Stanford University
655 Knight Way
Stanford, CA 94305
E-Mail: Imbens@stanford.edu
AB - Instrumental variables (IV) estimation of a demand equation using time series data is shown to produce a weighted average derivative of heterogeneous potential demand functions. This result adapts recent work on the causal interpretation of two-stage least squares estimates to the simultaneous equations context and generalizes earlier research on average derivative estimation to models with endogenous regressors. The paper also shows how to compute the weights underlying IV estimates of average derivatives in a simultaneous equations model. These ideas are illustrated using data from the Fulton Fish market in New York City to estimate an average elasticity of wholesale demand for fresh fish. The weighting function underlying IV estimates of the demand equation is graphed and interpreted. The empirical example illustrates the essentially local and context-specific nature of instrumental variables estimates of structural parameters in simultaneous equations models.
ER -