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Limited information Bayesian analysis of a simultaneous equation with an autocorrelated error term and its application to the U.S. gasoline market

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Radchenko, Stanislav
Tsurumi, Hiroki

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 133 (2006)
Issue (Month): 1 (July)
Pages: 31-49
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Handle: RePEc:eee:econom:v:133:y:2006:i:1:p:31-49

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Wu, De-Min, 1973. "Alternative Tests of Independence Between Stochastic Regressors and Disturbances," Econometrica, Econometric Society, vol. 41(4), pages 733-50, July. [Downloadable!] (restricted)
  2. Galeotti, Marzio & Lanza, Alessandro & Manera, Matteo, 2003. "Rockets and feathers revisited: an international comparison on European gasoline markets," Energy Economics, Elsevier, vol. 25(2), pages 175-190, March. [Downloadable!] (restricted)
    Other versions:
  3. Kleibergen, F. & Zivot, E., 1998. "Bayesian and Classical Approaches to Instrumental Variable Regression," Papers 9835/a, Erasmus University of Rotterdam - Econometric Institute.
    Other versions:
  4. Kleibergen, F.R. & Zivot, E., 1998. "Bayesian and classical approaches to instrumental variable regression," Econometric Institute Report EI 9835 Revision_Date: 20, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
  5. Kleibergen, Frank & van Dijk, Herman K., 1998. "Bayesian Simultaneous Equations Analysis Using Reduced Rank Structures," Econometric Theory, Cambridge University Press, vol. 14(06), pages 701-743, December. [Downloadable!]
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  6. Zellner, Arnold & Bauwens, Luc & Van Dijk, Herman K., 1988. "Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods," Journal of Econometrics, Elsevier, vol. 38(1-2), pages 39-72. [Downloadable!] (restricted)
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  7. Dahl, Carol & Sterner, Thomas, 1991. "Analysing gasoline demand elasticities: a survey," Energy Economics, Elsevier, vol. 13(3), pages 203-210, July. [Downloadable!] (restricted)
  8. Kaufmann, Robert K. & Laskowski, Cheryl, 2005. "Causes for an asymmetric relation between the price of crude oil and refined petroleum products," Energy Policy, Elsevier, vol. 33(12), pages 1587-1596, August. [Downloadable!] (restricted)
  9. Puller, Steven L. & Greening, Lorna A., 1999. "Household adjustment to gasoline price change: an analysis using 9 years of US survey data," Energy Economics, Elsevier, vol. 21(1), pages 37-52, February. [Downloadable!] (restricted)
  10. Bettendorf, Leon & van der Geest, Stephanie A. & Varkevisser, Marco, 2003. "Price asymmetry in the Dutch retail gasoline market," Energy Economics, Elsevier, vol. 25(6), pages 669-689, November. [Downloadable!] (restricted)
  11. Dreze, Jacques H. & Richard, Jean-Francois, 1983. "Bayesian analysis of simultaneous equation systems," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 9, pages 517-598 Elsevier. [Downloadable!] (restricted)
  12. Nicol, C. J., 2003. "Elasticities of demand for gasoline in Canada and the United States," Energy Economics, Elsevier, vol. 25(2), pages 201-214, March. [Downloadable!] (restricted)
  13. Frank Kleibergen & Herman K. van Dijk, 1998. "Bayesian Simultaneous Equations Analysis using Reduced Rank Structures," Tinbergen Institute Discussion Papers 98-025/4, Tinbergen Institute. [Downloadable!]
  14. Kloek, Tuen & van Dijk, Herman K, 1978. "Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo," Econometrica, Econometric Society, vol. 46(1), pages 1-19, January. [Downloadable!] (restricted)
  15. Godby, Rob & Lintner, Anastasia M. & Stengos, Thanasis & Wandschneider, Bo, 2000. "Testing for asymmetric pricing in the Canadian retail gasoline market," Energy Economics, Elsevier, vol. 22(3), pages 349-368, June. [Downloadable!] (restricted)
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  16. Stanislav Radchenko, 2004. "Anticipated and unanticipated effects of crude oil prices and oil inventory changes on gasoline prices," Microeconomics 0406001, EconWPA. [Downloadable!]
  17. Fair, Ray C, 1972. "Efficient Estimation of Simultaneous Equations with Auto-Regressive Errors by Instrumental Variables," The Review of Economics and Statistics, MIT Press, vol. 54(4), pages 444-49, November. [Downloadable!] (restricted)
  18. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November. [Downloadable!] (restricted)
  19. Zellner, Arnold, 1972. "Constraints Often Overlooked in Analyses of Simultaneous Equation Models," Econometrica, Econometric Society, vol. 40(5), pages 849-53, September. [Downloadable!] (restricted)
  20. Robert S. Pindyck, 2001. "The Dynamics of Commodity Spot and Futures Markets: A Primer," The Energy Journal, International Association for Energy Economics, vol. 22(3), pages 1-30.
  21. Chao, John C. & Phillips, Peter C. B., 2002. "Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables," Journal of Econometrics, Elsevier, vol. 111(2), pages 251-283, December. [Downloadable!] (restricted)
    Other versions:
  22. Dreze, Jacques H, 1976. "Bayesian Limited Information Analysis of the Simultaneous Equations Model," Econometrica, Econometric Society, vol. 44(5), pages 1045-75, September. [Downloadable!] (restricted)
  23. Borenstein, Severin & Cameron, A Colin & Gilbert, Richard, 1997. "Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes?," The Quarterly Journal of Economics, MIT Press, vol. 112(1), pages 305-39, February.
    Other versions:
  24. Adonis Yatchew & Joungyeo Angela No, 2001. "Household Gasoline Demand in Canada," Econometrica, Econometric Society, vol. 69(6), pages 1697-1709, November. [Downloadable!] (restricted)
  25. Chao, J. C. & Phillips, P. C. B., 1998. "Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior," Journal of Econometrics, Elsevier, vol. 87(1), pages 49-86, August. [Downloadable!] (restricted)
  26. Hamilton, James D., 2003. "What is an oil shock?," Journal of Econometrics, Elsevier, vol. 113(2), pages 363-398, April. [Downloadable!] (restricted)
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  27. Severin Borenstein & Andrea Shepard, 1996. "Sticky Prices, Inventories, and Market Power in Wholesale Gasoline Markets," NBER Working Papers 5468, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  28. Zellner, Arnold, 1998. "The finite sample properties of simultaneous equations' estimates and estimators Bayesian and non-Bayesian approaches," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 185-212. [Downloadable!] (restricted)
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  1. Wlaslowski, Szymon & Binner, Jane & Guiletti, Monica & Joseph, Nathan & Nilsson, Birger, 2007. "New York mark-ups on petroleum products," Working Papers 2008:2, Lund University, Department of Economics. [Downloadable!]
  2. Stanislav Radchenko, 2004. "Lags in the response of gasoline prices to changes in crude oil," Econometrics 0406001, EconWPA. [Downloadable!]
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