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2006 | 7 | 269--279
Tytuł artykułu

Imposing Economic Restrictions in a VECM-form Demand System

Autorzy
Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The paper presents an application of the VECM-demand system approach with the emphasis on imposing economic restrictions. Number of the aggregate goods considered is such that full VECM model is formulated for twelve variables, which is more than in most illustrative applications. A convenient functional form of the demand system is employed, namely the Generalized Addilog model of Bewley (1986). Equality restrictions are imposed and tested with ML methods, and some results concerning inequality constraints are also presented. Since the latter pose serious theoretical problems for the ML-based statistical inference, only some ad-hoc technical results are presented in that case.(fragment of text)
Rocznik
Tom
7
Strony
269--279
Opis fizyczny
Twórcy
  • Cracow University of Economics, Poland
Bibliografia
  • Balcombe K. (2004), Retesting symmetry and homogeneity in a cointegrated demand system with bootsrapping: the case of meat demand in Greece, Empirical Economics, 29.
  • Bewley R.A. (1986), Allocation Models, Ballinger, Cambridge, MA.
  • Boswijk H.P., Doornik J.A. (2004), Identifying, Estimating and Testing Restricted Cointegrated System: An Overview, Statistica Neerlandica, 58.
  • Deaton A.S., Muellbauer J. (1980), An Almost Ideal Demand System, American Economic Review, 70.
  • Deschamps, P. (2003), Time-Varying Intercepts and Equilibrium Analysis: An Extension of the Dynamic Almost Ideal Demand Model, Journal of Applied Econometrics, 18.
  • Diewert W. E. (1980), Symmetry conditions for market demand functions, Review of Economic Studies, 47.
  • Doornik J.A. (2002), Object-Oriented Matrix Programming Using Ox, 3rd ed. London: Timberlake Consultants Press and Oxford: www.doornik.com
  • Fanelli L., Mazzocchi M. (2002), A cointegrated VECM demand system for meat in Italy, Applied Economics, 34.
  • Fry, J. M., Fry, T. R. L., McLaren, K. R. (1996), The Stochastic Specification of Demand Share Equations: Restricting Budget Shares to the Unit Simplex, Journal of Econometrics, 73.
  • Johansen S. (1996), Likelihood-based inference in cointegrated vector autoregressive models, Oxford University Press, Oxford.
  • Karagiannis G., Katranidis S., Velentzas K. (2000), An error-correction almost ideal demand system for meat in Greece, Agricultural Economics, 22.
  • Keuzenkamp H. A., Barten A. P. (1995), Rejection Without Falsification. On the History of Testing the Homogeneity Condition in the Theory of Consumer Demand, Journal of Econometrics, 67.
  • Lau L. J. (1978), Testing and Imposing Monoticity, Convexity and Quasi - Convexity Constraints. Appendix 4A in Production Economic: A Dual Approach to Theory and Applications, vol. I, edited by M. Fuss and D. McFadden, Amsterdam, North Holland.
  • Mas-Colle A., Whinston M.D., Green J. R. (1995), Microeconomic Theory, New York, Oxford, Oxford University Press.
  • Mazur B. (2005), Long-run structural modeling of aggregate demand: an application of alternative functional forms, Acta Universitatis Lodzensis, Folia Oeconomica, 190.
  • Ng S. (1995), Testing for homogeneity in demand systems when the regressors are non-stationary, Journal of Applied Econometrics, 10.
  • Pesaran M.H., Shin Y. (2002), Long-Run Structural Modeling, Econometrics Reviews 21.
  • Pollak R.A, Wales T.J. (1992), Demand System Specification and Estimation, Oxford University Press, New York, Oxford.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171295407

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