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Testing for structural break in Japanese demand system after the bubble era

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  • Ogura, Manami
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    Abstract

    The aims of this paper are two: to define the structural break in the Japanese demand system after the bubble era and to apply the structural break test developed by Andrews et al. (1996) within the framework of the cointegrated demand system. Our test results reject the null hypothesis of no structural break for March 1994 and then demonstrate the structural break after the bubble era. We define the concept of structural break as the time-series change in preference having the following two aspects: the change in preference for commodity prices by the decline in personal income and the change in preference regarding goods in the course of aging effect, with the improvement of living standards.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0954349X11000336
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    Bibliographic Info

    Article provided by Elsevier in its journal Structural Change and Economic Dynamics.

    Volume (Year): 22 (2011)
    Issue (Month): 3 (September)
    Pages: 277-286

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    Handle: RePEc:eee:streco:v:22:y:2011:i:3:p:277-286

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    Web page: http://www.elsevier.com/locate/inca/525148

    Related research

    Keywords: Structural break test Cointegrated demand system Change in preference;

    References

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    2. Ng, S., 1995. "Testing for Homogeneity in Demand Systems when the Regressors Are Non-Stationary," Cahiers de recherche 9516, Universite de Montreal, Departement de sciences economiques.
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    8. Moschini, Giancarlo & Moro, Daniele, 1996. "Structural Change and Demand Analysis: A Cursory Review," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 23(3), pages 239-61.
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    10. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
    11. Deaton, Angus S & Muellbauer, John, 1980. "An Almost Ideal Demand System," American Economic Review, American Economic Association, vol. 70(3), pages 312-26, June.
    12. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
    13. Christensen, Laurits R & Jorgenson, Dale W & Lau, Lawrence J, 1975. "Transcendental Logarithmic Utility Functions," American Economic Review, American Economic Association, vol. 65(3), pages 367-83, June.
    14. Maki, Atsushi, 2006. "Changes in Japanese household consumption and saving behavior before, during and after the Bubble era: empirical analysis using NSFIE micro-data sets," Japan and the World Economy, Elsevier, vol. 18(1), pages 2-21, January.
    15. Maki, Atsushi & Nishiyama, Shigeru, 1993. "Consistency between Macro- and Micro-data Sets in the Japanese Household Sector," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 39(2), pages 195-207, June.
    16. Duffy, Martyn, 2003. "Advertising and food, drink and tobacco consumption in the United Kingdom: a dynamic demand system," Agricultural Economics, Blackwell, vol. 28(1), pages 51-70, January.
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