IDEAS home Printed from https://ideas.repec.org/p/qed/wpaper/399.html
   My bibliography  Save this paper

Interest Rates and Durability in the Linear Expenditure Family

Author

Listed:
  • Gordon Fisher
  • Michael McAleer
  • Diana Whistler

Abstract

This paper demonstrates that the extended linear expenditure system with durables (DELES) satisfies first-order conditions for local unidentifiability, and discuss alternative methods that might be used to achieve identifiability, as well as their implications. Estimates are presented using seasonally adjusted, quarterly Australian data from 1959Q4 to 1976Q2. This exercise compares the effects of allowing for first-order autocorrelation. We fix the decay rate for durables to secure identifiability, however, the estimates of the remaining parameters are insensitive to the value chosen. This suggests a major difficulty in interpreting DELES and leads us to reconsider its limiting properties.

Suggested Citation

  • Gordon Fisher & Michael McAleer & Diana Whistler, 1980. "Interest Rates and Durability in the Linear Expenditure Family," Working Paper 399, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:399
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Beach, Charles M & MacKinnon, James G, 1979. "Maximum Likelihood Estimation of Singular Equation Systems with Autoregressive Disturbances," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 20(2), pages 459-464, June.
    2. BARTEN, Anton P., 1969. "Maximum likelihood estimation of a complete system of demand equations," LIDAM Reprints CORE 34, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Barten, A. P., 1969. "Maximum likelihood estimation of a complete system of demand equations," European Economic Review, Elsevier, vol. 1(1), pages 7-73.
    4. Rothenberg, Thomas J, 1971. "Identification in Parametric Models," Econometrica, Econometric Society, vol. 39(3), pages 577-591, May.
    5. Klevmarken, N. Anders, 1979. "A comparative study of complete systems of demand functions," Journal of Econometrics, Elsevier, vol. 10(2), pages 165-191, June.
    6. Peter B. Dixon & Constantino Lluch, 1977. "Durable Goods in the Extended Linear Expenditure System," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 44(2), pages 381-384.
    7. A. A. Powell, 1973. "An ELES Consumption Function for the United States," The Economic Record, The Economic Society of Australia, vol. 49(3), pages 337-357, September.
    8. Lluch, Constantino, 1973. "The extended linear expenditure system," European Economic Review, Elsevier, vol. 4(1), pages 21-32, April.
    9. L. R. Klein & H. Rubin, 1947. "A Constant-Utility Index of the Cost of Living," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 15(2), pages 84-87.
    10. Berndt, Ernst R & Savin, N Eugene, 1975. "Estimation and Hypothesis Testing in Singular Equation Systems with Autoregressive Disturbances," Econometrica, Econometric Society, vol. 43(5-6), pages 937-957, Sept.-Nov.
    11. Powell, A A, 1973. "An ELES Consumption Function for the United States," The Economic Record, The Economic Society of Australia, vol. 49(127), pages 337-357, September.
    12. Constantino Lluch & R. Williams, 1975. "Consumer Demand Systems and Aggregate Consumption in the US: An Application of the Extended Linear Expenditure System," Canadian Journal of Economics, Canadian Economics Association, vol. 8(1), pages 49-66, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chambers, Marcus J, 1992. "Estimation of a Continuous-Time Dynamic Demand System," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(1), pages 53-64, Jan.-Marc.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Fisher, Gordon & McAleer, Michael & Whistler, Diana, 1979. "A Note On Problems of Estimating the Linear Expenditure System and Its Related Forms," Queen's Institute for Economic Research Discussion Papers 275153, Queen's University - Department of Economics.
    2. Capps, Oral, Jr., 1983. "Alternative Estimation Methods Of Nonlinear Demand Systems," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 8(1), pages 1-14, July.
    3. Kilmer, Richard L. & Washington, Andrew A., 2000. "The Derived Demand For Imported Cheese In Hong Kong Differentiated By Source Country Of Production," 2000 Annual meeting, July 30-August 2, Tampa, FL 21724, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    4. Blanciforti, Laura, 1982. "The Almost Ideal Demand System: A Comparison And Application To Food," 1982 Annual Meeting, August 1-4, Logan, Utah 279459, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    5. Washington, Andrew A. & Kilmer, Richard L., 2001. "The Derived Demand For Imported Cheese Into Japan By Country," 2001: International Trade in Livestock Products Symposium, January 2001, Auckland, New Zealand 14551, International Agricultural Trade Research Consortium.
    6. Toshinobu Matsuda, 2005. "Differential Demand Systems: A Further Look at Barten's Synthesis," Southern Economic Journal, John Wiley & Sons, vol. 71(3), pages 607-619, January.
    7. Barnett, William A. & Serletis, Apostolos, 2008. "Consumer preferences and demand systems," Journal of Econometrics, Elsevier, vol. 147(2), pages 210-224, December.
    8. Laura Spierdijk & Sherrill Shaffer & Tim Considine, 2016. "Adapting to changing input prices in response to the crisis: The case of US commercial banks," CAMA Working Papers 2016-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    9. Paris, Quirino & Caracciolo, Francesco, 2012. "Quantity Versus Shares in Estimating Demand Systems," Working Papers 124575, University of California, Davis, Department of Agricultural and Resource Economics.
    10. van Heeswijk, B J & de Boer, P M C & Harkema, R, 1993. "A Dynamic Specification of an AIDS Import Allocation Model," Empirical Economics, Springer, vol. 18(1), pages 57-73.
    11. Cockx, Bart & Ghirelli, Corinna, 2016. "Scars of recessions in a rigid labor market," Labour Economics, Elsevier, vol. 41(C), pages 162-176.
    12. David K. Foot & William J. Milne, 1989. "Multiregional Estimation of Gross Internal Migration Flows," International Regional Science Review, , vol. 12(1), pages 29-43, April.
    13. Apostolos Serletis & Libo Xu, 2020. "Demand systems with heteroscedastic disturbances," Empirical Economics, Springer, vol. 58(4), pages 1913-1921, April.
    14. Barten, Anton P. & McAleer, Michael, 1997. "Comparaison de la performance du point de vue empirique de systèmes de demandes alternatifs," L'Actualité Economique, Société Canadienne de Science Economique, vol. 73(1), pages 27-45, mars-juin.
    15. Johnson, S. R. & Safyurtlu, A. N., 1984. "A Demand Matrix for Major Food Commodities in Canada," Working Papers 243870, Agriculture and Agri-Food Canada.
    16. Paul Cashin, 1991. "A Model Of The Disaggregated Demand For Meat In Australia," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 35(3), pages 263-283, December.
    17. James L. Seale & Mary A. Marchant & Alberto Basso, 2003. "Imports versus Domestic Production: A Demand System Analysis of the U.S. Red Wine Market," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 25(1), pages 187-202.
    18. Gonzalo, Jesus & Lee, Tae-Hwy, 1998. "Pitfalls in testing for long run relationships," Journal of Econometrics, Elsevier, vol. 86(1), pages 129-154, June.
    19. Serletis, Apostolos & Xu, Libo, 2022. "Interfuel substitution: A copula approach," Journal of Commodity Markets, Elsevier, vol. 28(C).
    20. Muhammad, Andrew & Ngeleza, Guyslain K., 2009. "The role of the Generalised System of Preferences (GSP) in determining carnation demand in the United Kingdom: implications for Colombian and Kenyan exports," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 48(3), pages 1-16, September.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:qed:wpaper:399. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mark Babcock (email available below). General contact details of provider: https://edirc.repec.org/data/qedquca.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.