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Unit Roots and the Demand for Cigarettes in Turkey: Pitfalls and Possibilities


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  • Katarina Juselius

    (Institute of Economics, University of Copenhagen)


The partial adjustment model for cigarette demand in Tansel (1993) is formulated as a restriction on the more general VAR model. The question whether the Tansel estimation results are spurious as claimed by Cameron and Collins (1998) is addressed in this framework. The role of intervention dummies and data transformations for the cointegration results is discussed in some detail. Finally, a more general model is estimated and two steady-state relations measuring demand and supply behaviour in the cigarette market are identified.

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Bibliographic Info

Paper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 01-02.

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Length: 18 pages
Date of creation: Jan 2001
Date of revision:
Handle: RePEc:kud:kuiedp:0102

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Related research

Keywords: Partial Adjustment Models; Cointegrated VAR; Intervention Dummies; Data Transformations; Identification;

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Cited by:
  1. Mustafa Ismihan & Kivilcim Metin-Özcan & Aysit Tansel, 2002. "Macroeconomic instability, capital accumulation and growth: The case of Turkey 1963-1999," ERC Working Papers, ERC - Economic Research Center, Middle East Technical University 0204, ERC - Economic Research Center, Middle East Technical University, revised Apr 2002.
  2. Durevall, Dick, 2007. "Demand for coffee in Sweden: The role of prices, preferences and market power," Food Policy, Elsevier, Elsevier, vol. 32(5-6), pages 566-584.


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