Estimating a cointegrating demand system

被引：44

作者：

Attfield, CLF

机构：

[1] Department of Economics, University of Bristol, 8 Woodland Road, Bristol

来源：

EUROPEAN ECONOMIC REVIEW | 1997年 / 41卷 / 01期

关键词：

conintegration; demand system; homogeneity;

D O I：

10.1016/0014-2921(95)00062-3

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The set of variables in a time series demand model in the form of the Almost Ideal Demand System are found to be I(1) with the demand equations forming a cointegrating system. The parameters of the cointegrating equations are estimated and tested using a 'triangular error correction' procedure. The null hypothesis of homogeneity with respect to prices and nominal income in the system cannot be rejected.

引用

页码：61 / 73

页数：13

共 18 条

[1] A BARTLETT ADJUSTMENT TO THE LIKELIHOOD RATIO TEST FOR A SYSTEM OF EQUATIONS [J].

ATTFIELD, CLF .

JOURNAL OF ECONOMETRICS, 1995, 66 (1-2) :207-223

[2] ESTIMATION AND TESTING WHEN EXPLANATORY VARIABLES ARE ENDOGENOUS - AN APPLICATION TO A DEMAND SYSTEM [J].

ATTFIELD, CLF .

JOURNAL OF ECONOMETRICS, 1991, 48 (03) :395-408

[3]

Davidson R.D., 1993, ESTIMATION INFERENCE, DOI DOI 10.1017/S0266466600009452

[4]

DEATON A, 1980, AM ECON REV, V70, P312

[5] COINTEGRATION AND ERROR CORRECTION - REPRESENTATION, ESTIMATION, AND TESTING [J].

ENGLE, RF ;

GRANGER, CWJ .

ECONOMETRICA, 1987, 55 (02) :251-276

[6] THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT-ROOT [J].

GHYSELS, E ;

PERRON, P .

JOURNAL OF ECONOMETRICS, 1993, 55 (1-2) :57-98

[7]

Goldberger A. S., 1991, A course in econometrics

[8] CRITICAL-VALUES FOR THE (Z)OVER-CAP-ALPHA-PHILLIPS-OULIARIS TEST FOR COINTEGRATION [J].

HAUG, AA .

OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 1992, 54 (03) :473-480

[9]

HAUG AA, 1995, IN PRESS J ECONOMETR

[10] A SIMPLE, POSITIVE SEMIDEFINITE, HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE-MATRIX [J].

NEWEY, WK ;

WEST, KD .

ECONOMETRICA, 1987, 55 (03) :703-708

← 1 2 →