Estimating a Demand System with Seasonally Differenced Data
AbstractSeveral recent papers have used annual changes and monthly data to estimate demand systems. Such use of overlapping data introduces a moving average error term. This paper shows how to obtain consistent and asymptotically efficient estimates of a demand system using seasonally differenced data. Monte Carlo simulations and an empirical application to the estimation of the U.S. meat demand are used to compare the proposed estimator with alternative estimators. Once the correct estimator is used, there is no advantage to using overlapping data in estimating a demand system.
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Bibliographic InfoArticle provided by Southern Agricultural Economics Association in its journal Journal of Agricultural and Applied Economics.
Volume (Year): 42 (2010)
Issue (Month): 02 (May)
autocorrelation; demand system; Monte Carlo; overlapping data; seasonal differences; Agribusiness; Demand and Price Analysis; Financial Economics; Research Methods/ Statistical Methods; C13; Q11; Q13;
Other versions of this item:
- Harri, Ardian & Muhammad, Andrew & Anderson, John D., 2008. "Estimating a Demand System with Seasonally Differenced Data," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6427, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
- Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness
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