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Forecasting with the almost ideal demand system: evidence from some alternative dynamic specifications

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  • Marcus Chambers
  • K. Ben Nowman

Abstract

The almost ideal demand system is used as a representation of long run demands in discrete time and continuous time error correction models to produce forecasts of budget shares beyond the sample period. The estimated models are subjected to a battery of tests, and an analysis of the forecasts indicates that continuous time adjustment mechanisms, based around fully modified estimates of the long run preference parameters, provide a remarkably accurate method of forecasting budget shares.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/000368497326598
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics.

Volume (Year): 29 (1997)
Issue (Month): 7 ()
Pages: 935-943

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Handle: RePEc:taf:applec:v:29:y:1997:i:7:p:935-943

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Cited by:
  1. J. M. Gil & B. Dhehibi & M. Ben Kaabia & A. M. Angulo, 2004. "Non-stationarity and the import demand for virgin olive oil in the European Union," Applied Economics, Taylor & Francis Journals, vol. 36(16), pages 1859-1869.
  2. Byers, S. L. & Nowman, K. B., 1998. "Forecasting U.K. and U.S. interest rates using continuous time term structure models," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 191-206.
  3. Chang, Hui-Shung (Christie) & Bettington, Nicholas, 2001. "Demand for Wine in Australia: Systems Versus Single Equation Approach," Working Papers 12923, University of New England, School of Economics.
  4. Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer, 2010. "Estimating Price Effects in an Almost Ideal Demand Model of Outbound Thai Tourism to East Asia," KIER Working Papers 725, Kyoto University, Institute of Economic Research.
  5. M Pesaran & Yongcheol Shin, 2004. "Long-Run Structural Modelling," ESE Discussion Papers 44, Edinburgh School of Economics, University of Edinburgh.
  6. Balcombe, Kelvin & Bailey, Alastair, 2006. "Bayesian inference of a smooth transition dynamic almost ideal model of food demand in the US," MPRA Paper 17305, University Library of Munich, Germany.
  7. Chang, Hui-Shung (Christie), 2000. "An econometric analysis of the competitive position of Australian cotton in the Japanese market," Working Papers 12940, University of New England, School of Economics.
  8. Li, Gang & Song, Haiyan & Witt, Stephen F., 2006. "Time varying parameter and fixed parameter linear AIDS: An application to tourism demand forecasting," International Journal of Forecasting, Elsevier, vol. 22(1), pages 57-71.
  9. Tonsor, Glynn T. & Marsh, Thomas L., 2005. "Comparing Heterogeneous Consumption in US and Japanese Meat and Fish Demand," 2005 Annual meeting, July 24-27, Providence, RI 19567, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

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