IDEAS home Printed from https://ideas.repec.org/a/eee/econom/v97y2000i1p51-91.html
   My bibliography  Save this article

Exact small-sample inference in stationary, fully regular, dynamic demand models

Author

Listed:
  • Deschamps, Philippe J.

Abstract

No abstract is available for this item.

Suggested Citation

  • Deschamps, Philippe J., 2000. "Exact small-sample inference in stationary, fully regular, dynamic demand models," Journal of Econometrics, Elsevier, vol. 97(1), pages 51-91, July.
    • Handle: RePEc:eee:econom:v:97:y:2000:i:1:p:51-91
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4076(99)00066-4
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Chib, Siddhartha & Greenberg, Edward, 1994. "Bayes inference in regression models with ARMA (p, q) errors," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 183-206.
    2. Deschamps, Philippe J., 1998. "Full maximum likelihood estimation of dynamic demand models," Journal of Econometrics, Elsevier, vol. 82(2), pages 335-359, February.
    3. Anderson, G J & Blundell, R W, 1982. "Estimation and Hypothesis Testing in Dynamic Singular Equation Systems," Econometrica, Econometric Society, vol. 50(6), pages 1559-1571, November.
    4. repec:adr:anecst:y:1996:i:43:p:07 is not listed on IDEAS
    5. Terrell, Dek, 1996. "Incorporating Monotonicity and Concavity Conditions in Flexible Functional Forms," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(2), pages 179-194, March-Apr.
    6. Barten, Anton P, 1993. "Consumer Allocation Models: Choice of Functional Form," Empirical Economics, Springer, vol. 18(1), pages 129-158.
    7. Deschamps, P.J., 1990. "Joint Tests for Regularity and Autocorrelation in Allocation Systems," Other publications TiSEM 134d5195-1d9c-4388-b074-5, Tilburg University, School of Economics and Management.
    8. Philippe J. Deschamps, 1996. "Monte Carlo Methodology for LM and LR Autocorrelation Tests in Multivariate Regression," Annals of Economics and Statistics, GENES, issue 43, pages 149-169.
    9. Keller, W.J. & Van Driel, J., 1985. "Differential consumer demand systems," European Economic Review, Elsevier, vol. 27(3), pages 375-390.
    10. Koop, Gary & Osiewalski, Jacek & Steel, Mark F J, 1994. "Bayesian Efficiency Analysis with a Flexible Form: The AIM Cost Function," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 339-346, July.
    11. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-966, July.
    12. Deschamps, P J, 1993. "Joint Tests for Regularity and Autocorrelation in Allocation Systems," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(2), pages 195-211, April-Jun.
    13. Ng, Serena, 1995. "Testing for Homogeneity in Demand Systems When the Regressors Are Nonstationary," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 147-163, April-Jun.
    14. Kodde, David A & Palm, Franz C, 1987. "A Parametric Test of the Negativity of the Substitution Matrix," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 2(3), pages 227-235, July.
    15. Deschamps, P.J., 1994. "Joint tests for regularity and autocorrelation in allocation systems," Other publications TiSEM 559779eb-2251-4eed-840f-7, Tilburg University, School of Economics and Management.
    16. Attfield, C. L. F., 1997. "Estimating a cointegrating demand system," European Economic Review, Elsevier, vol. 41(1), pages 61-73, January.
    17. Chib, Siddhartha & Greenberg, Edward, 1995. "Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models," Journal of Econometrics, Elsevier, vol. 68(2), pages 339-360, August.
    18. Zellner, Arnold, 1978. "Estimation of functions of population means and regression coefficients including structural coefficients : A minimum expected loss (MELO) approach," Journal of Econometrics, Elsevier, vol. 8(2), pages 127-158, October.
    19. Brown, Bryan W & Walker, Mary Beth, 1989. "The Random Utility Hypothesis and Inference in Demand Systems," Econometrica, Econometric Society, vol. 57(4), pages 815-829, July.
    20. Roberts, G. O. & Smith, A. F. M., 1994. "Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms," Stochastic Processes and their Applications, Elsevier, vol. 49(2), pages 207-216, February.
    21. Deaton, Angus S & Muellbauer, John, 1980. "An Almost Ideal Demand System," American Economic Review, American Economic Association, vol. 70(3), pages 312-326, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Balcombe, Kelvin & Bailey, Alastair, 2006. "Bayesian inference of a smooth transition dynamic almost ideal model of food demand in the US," MPRA Paper 17305, University Library of Munich, Germany.
    2. Hanrahan, Kevin F. & Westhoff, Patrick C. & Young, Robert E., II, 2001. "Trade Allocation Modeling: Comparing The Results From Armington And Locally Regular Ai Demand System Specifications Of A Uk Beef Import Demand Allocation Model," 2001 Annual meeting, August 5-8, Chicago, IL 20510, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    3. Philippe J. Deschamps, 2003. "Time-varying intercepts and equilibrium analysis: an extension of the dynamic almost ideal demand model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(2), pages 209-236.
    4. Ni, Shawn & Sun, Dongchu, 2003. "Noninformative priors and frequentist risks of bayesian estimators of vector-autoregressive models," Journal of Econometrics, Elsevier, vol. 115(1), pages 159-197, July.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Barnett, William A. & Serletis, Apostolos, 2008. "Consumer preferences and demand systems," Journal of Econometrics, Elsevier, vol. 147(2), pages 210-224, December.
    2. Deschamps, Philippe J., 1998. "Full maximum likelihood estimation of dynamic demand models," Journal of Econometrics, Elsevier, vol. 82(2), pages 335-359, February.
    3. Philippe J. Deschamps, 2003. "Time-varying intercepts and equilibrium analysis: an extension of the dynamic almost ideal demand model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(2), pages 209-236.
    4. Psaradakis, Zacharias & Vávra, Marián, 2014. "On testing for nonlinearity in multivariate time series," Economics Letters, Elsevier, vol. 125(1), pages 1-4.
    5. Scholz, Christian M., 1997. "Environmental tax reform and the double dividend: An econometric demand analysis," Kiel Working Papers 821, Kiel Institute for the World Economy (IfW Kiel).
    6. Marian Vavra, 2013. "Testing for linear and Markov switching DSGE models," Working and Discussion Papers WP 3/2013, Research Department, National Bank of Slovakia.
    7. Matteo Manera & Bruno Sitzia, 2005. "Empirical factor demands and flexible functional forms: a bayesian approach," Economic Systems Research, Taylor & Francis Journals, vol. 17(1), pages 57-75.
    8. Holt, Matthew T. & Goodwin, Barry K., 2009. "The Almost Ideal and Translog Demand Systems," MPRA Paper 15092, University Library of Munich, Germany.
    9. Vittorio Nicolardi, 2009. "The effects of the new 1995 ESA methodologies of estimation on the structural analysis of Italian consumption," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(1), pages 125-149, March.
    10. Lee, Min-Yang A. & Thunberg, Eric M., 2012. "An Inverse Demand System for New England Groundfish: Welfare Analysis of the Transition to Catch Share Management," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 123879, Agricultural and Applied Economics Association.
    11. Yadavalli, Anita & Jones, Keithly, 2014. "Does media influence consumer demand? The case of lean finely textured beef in the United States," Food Policy, Elsevier, vol. 49(P1), pages 219-227.
    12. Dhraief, Mohamed Zied & Oueslati, Meriem & Dhehibi, Boubaker, 2012. "Meat And Fish Demand In Tunisia: Economic And Socio-Demographic Factors Effects," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 126710, International Association of Agricultural Economists.
    13. Gordon, Stephen & Bélanger, Gilles, 1996. "Échantillonnage de Gibbs et autres applications économétriques des chaînes markoviennes," L'Actualité Economique, Société Canadienne de Science Economique, vol. 72(1), pages 27-49, mars.
    14. Clements, Kenneth W. & Gao, Grace, 2015. "The Rotterdam demand model half a century on," Economic Modelling, Elsevier, vol. 49(C), pages 91-103.
    15. Dhraief, Mohamed Zied & Oueslati, Meriem & Dhehibi, Boubaker, 2013. "Income, Education and Age Effects on Meat and Fish Demand in Tunisia," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 1(2), pages 1-12.
    16. Hanrahan, Kevin F. & Westhoff, Patrick C. & Young, Robert E., II, 2001. "Trade Allocation Modeling: Comparing The Results From Armington And Locally Regular Ai Demand System Specifications Of A Uk Beef Import Demand Allocation Model," 2001 Annual meeting, August 5-8, Chicago, IL 20510, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    17. Collins, Sean & Anderson, Richard, 1998. "Modeling U.S. Households' Demands for Liquid Wealth in an Era of Financial Change," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 30(1), pages 83-101, February.
    18. Arthur Lewbel & Serena Ng, 2005. "Demand Systems with Nonstationary Prices," The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 479-494, August.
    19. Chib, Siddhartha & Greenberg, Edward, 1996. "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometric Theory, Cambridge University Press, vol. 12(3), pages 409-431, August.
    20. Li, Lianyou & Song, Ze & Ma, Chao, 2015. "Engel curves and price elasticity in urban Chinese Households," Economic Modelling, Elsevier, vol. 44(C), pages 236-242.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:97:y:2000:i:1:p:51-91. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jeconom .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.