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Dynamic specification and misspecification in systems of demand equations: a testing strategy for model selection

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  • Ghazi Shukur
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    Abstract

    The purpose of this study is to describe a misspecification testing strategy that is designed to ensure the appropriateness of the statistical assumptions underlying a system of equations. A systemwise test approach is used to test the statistical assumptions. The systemwise tests take into account information in, and interaction between, all equations in the system and can be used in a wide variety of applications where systems of equations are estimated. If the systemwise test leads to rejection, single equation F-test will then be used to help identify specific problems. The systemwise testing approach is illustrated by modelling Swedish consumer demand for milk. The example illustrates how the approach can be used to solve issues regarding dynamic specification of models, structural change and other forms of model misspecification.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/00036840110048465
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    Bibliographic Info

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

    Volume (Year): 34 (2002)
    Issue (Month): 6 ()
    Pages: 709-725

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    Handle: RePEc:taf:applec:v:34:y:2002:i:6:p:709-725

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    Cited by:
    1. Salman, A. Khalik & Arnesson, Leif & Sörensson, Anna & Shukur, Ghazi, 2009. "Estimating the Swedish and Norwegian international tourism demand using (ISUR) technique," CAFO Working Papers 2009:12, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, Linnaeus University.
    2. Filippini, M. & Masiero, G. & Moschetti, K., 2009. "Regional consumption of antibiotics: A demand system approach," Economic Modelling, Elsevier, vol. 26(6), pages 1389-1397, November.
    3. Salman, Khalik & Arnesson, Leif & Sörensson, Anna & Shukur, Ghazi, 2009. "Estimating the Swedish and Norwegian International Tourism Demand using ISUR Technique," Working Paper Series in Economics and Institutions of Innovation 198, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.

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