A Cointegrated VECM Demand System for Meat in Italy

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A Cointegrated VECM Demand System for Meat in Italy

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Fanelli, L
Mazzocchi, M

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Abstract

This article applies cointegration techniques to estimate a monthly demand system for meat in Italy. In contrast to existing studies where Engle and Granger's two step procedure and Triangular Vector Error Correction Model (TVECM) representations are usually exploited, it applies a cointegrated Vector Error Correction Model (VECM) where also prices and expenditure enter endogenously the system and the cointegration rank is not assumed to be known a priori but subject to inference. It highlights some of the advantages of using the VECM compared to the TVECM, including the possibility of testing the cointegration rank of the system and the (weak and strong) exogeneity of prices and expenditure within a well-specified statistical model. This may lead to remarkable improvements in the efficiency of parameters system estimates. Copyright 2002 by Taylor and Francis Group

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

Volume (Year): 34 (2002)
Issue (Month): 13 (September)
Pages: 1593-1605
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Handle: RePEc:taf:applec:v:34:y:2002:i:13:p:1593-1605

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Jean-Paul Chavas & Kwansoo Kim, 2005. "Cointegration relationships and hedonic pricing of differentiated commodities: an application to price dynamics in the US dairy sector," Applied Economics, Taylor and Francis Journals, vol. 37(16), pages 1813-1827, September. [Downloadable!] (restricted)
Mario Mazzocchi & Davide Delle Monache & Alexandra E. Lobb, 2006. "A structural time series approach to modelling multiple and resurgent meat scares in Italy," Applied Economics, Taylor and Francis Journals, vol. 38(14), pages 1677-1688, August. [Downloadable!] (restricted)
D. Aristei & Luca Pieroni, 2008. "Cointegration Rank Test and Long Run Specification: A Note on the Robustness of Structural Demand Systems," Discussion Papers 0809, University of the West of England, Department of Economics. [Downloadable!]
Arvid Raknerud, Terje Skjerpen and Anders Rygh Swensen, 2003. "A linear demand system within a Seemingly Unrelated Time Series Equation framework," Discussion Papers 345, Research Department of Statistics Norway. [Downloadable!]
Other versions:
- Arvid Raknerud & Terje Skjerpen & Anders Swensen, 2007. "A linear demand system within a seemingly unrelated time series equations framework," Empirical Economics, Springer, vol. 32(1), pages 105-124, April. [Downloadable!] (restricted)
Beach, Robert & Zhen, Chen, 2008. "Consumer Purchasing Behavior in Response to Media Coverage of Avian Influenza," 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas 6750, Southern Agricultural Economics Association. [Downloadable!]
Vittorio Nicolardi, 2009. "The effects of the new 1995 ESA methodologies of estimation on the structural analysis of Italian consumption," Statistical Methods and Applications, Springer, vol. 18(1), pages 125-149, March. [Downloadable!] (restricted)

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