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Estimating a Demand System with Seasonally Differenced Data

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  • Harri, Ardian
  • Brorsen, B. Wade
  • Muhammad, Andrew
  • Anderson, John D.

Abstract

Several recent papers have used annual changes and monthly data to estimate demand systems. Such use of overlapping data introduces a moving average error term. This paper shows how to obtain consistent and asymptotically efficient estimates of a demand system using seasonally differenced data. Monte Carlo simulations and an empirical application to the estimation of the U.S. meat demand are used to compare the proposed estimator with alternative estimators. Once the correct estimator is used, there is no advantage to using overlapping data in estimating a demand system.
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Suggested Citation

  • Harri, Ardian & Brorsen, B. Wade & Muhammad, Andrew & Anderson, John D., 2010. "Estimating a Demand System with Seasonally Differenced Data," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 42(02), pages 321-335, May.
  • Handle: RePEc:cup:jagaec:v:42:y:2010:i:02:p:321-335_00
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    References listed on IDEAS

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    1. Giancarlo Moschini & Karl D. Meilke, 1989. "Modeling the Pattern of Structural Change in U.S. Meat Demand," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 71(2), pages 253-261.
    2. 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.
    3. Kinnucan, Henry W. & Chang, Hui-Shung (Christie) & Venkateswaran, Meenakshi, 1993. "Generic Advertising Wearout," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 0(Number 03), pages 1-15, December.
    4. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
    5. James Eales & Catherine Durham & Cathy R. Wessells, 1997. "Generalized Models of Japanese Demand for Fish," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 79(4), pages 1153-1163.
    6. Eales, James S. & Unnevehr, Laurian J., 1994. "The inverse almost ideal demand system," European Economic Review, Elsevier, vol. 38(1), pages 101-115, January.
    7. Carlos Arnade & Daniel Pick & Mark Gehlhar, 2004. "Locating seasonal cycles in demand models," Applied Economics Letters, Taylor & Francis Journals, vol. 11(9), pages 533-535.
    8. Clements, Michael P. & Hendry, David F., 1997. "An empirical study of seasonal unit roots in forecasting," International Journal of Forecasting, Elsevier, vol. 13(3), pages 341-355, September.
    9. repec:oup:revage:v:25:y:2003:i:1:p:187-202. is not listed on IDEAS
    10. 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.
    11. John D. Jackson, 1997. "Effects of Health Information and Generic Advertising on U.S. Meat Demand," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 79(1), pages 13-23.
    12. Henry L. Bryant & George C. Davis, 2008. "Revisiting Aggregate U.S. Meat Demand with a Bayesian Averaging of Classical Estimates Approach: Do We Need a More General Theory?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 90(1), pages 103-116.
    13. Andrew Muhammad, 2007. "The impact of increasing non-agricultural market access on EU demand for imported fish: implications for Lake Victoria chilled fillet exports," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 34(4), pages 461-477, December.
    14. Brown, Mark G & Lee, Jonq-Ying & Seale, James L, Jr, 1995. "A Family of Inverse Demand Systems and Choice of Functional Form," Empirical Economics, Springer, vol. 20(3), pages 519-530.
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    More about this item

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness

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