ESTIMATING A COINTEGRATING DEMAND SYSTEM

Authors
ATTFIELD CLF
Citation
Clf. Attfield, ESTIMATING A COINTEGRATING DEMAND SYSTEM, European economic review, 41(1), 1997, pp. 61-73
Citations number
18
Categorie Soggetti
Economics
Journal title
European economic review → ACNP
ISSN journal
00142921
Volume
41
Issue
1
Year of publication
1997
Pages
61 - 73
Database
ISI
SICI code
0014-2921(1997)41:1<61:EACDS>2.0.ZU;2-L
Abstract
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 equati ons forming a cointegrating system. The parameters of the cointegratin g equations are estimated and tested using a 'triangular error correct ion' procedure. The null hypothesis of homogeneity with respect to pri ces and nominal income in the system cannot be rejected.