P. Hackl et Ah. Westlund, DEMAND FOR INTERNATIONAL TELECOMMUNICATION - TIME-VARYING PRICE ELASTICITY, Journal of econometrics, 70(1), 1996, pp. 243-260
Citations number
27
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences
In this empirical study, the price elasticity of the demand for teleco
mmunication between Sweden and three destination countries, Germany (F
RG), United Kingdom, and USA, was investigated. Within the constant pa
rameter framework the structural relations identified to explain the t
elecommunication demand are similar for the three countries. The short
- and long-term price elasticities of the demand derived from the mode
ls are in the range that is reported in other empirical studies. Howev
er, recursive estimation and the analysis of recursive residuals suppo
rt theoretical assumptions of time variability of price elasticity. Ka
lman filtering in various versions, differing in the way of determinin
g the hyperparameters, as well as moving local regression analysis are
applied to estimate the trajectories of the price elasticity.