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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Paper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number
01-02.
Length: 18 pages Date of creation: Jan 2001 Date of revision: Handle: RePEc:kud:kuiedp:0102
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Find related papers by JEL classification: C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
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