Estimating a cointegrating demand system

Estimating a cointegrating demand system

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....

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:European economic review 1997, Vol.41 (1), p.61-73
1. Verfasser: Attfield, C.L.F.
Format: Artikel
Sprache:eng
Schlagworte:
Conintegration
Demand
Demand system
Economic models
Economic theory
Homogeneity
Hypotheses
Studies
Time series
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung: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.
ISSN:0014-2921
1873-572X
DOI:10.1016/0014-2921(95)00062-3