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Dynamic linear expenditure system with stochastic trends in preferences: Bayesian estimation using time-series data

Author

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  • Boratyński, Jakub
  • Osiewalski, Jacek

Abstract

•Dynamic LES with stochastic shifts in consumer preferences is proposed.•Bayesian model estimated from time-series consumption data is developed.•Stochastic terms capture genuine taste changes and unobserved variation.•ALN distribution models preferences while preserving share constraints.•Random walk for transformed marginal budget shares outperforms other specifications.

Suggested Citation

  • Boratyński, Jakub & Osiewalski, Jacek, 2026. "Dynamic linear expenditure system with stochastic trends in preferences: Bayesian estimation using time-series data," Economic Modelling, Elsevier, vol. 159(C).
    • Handle: RePEc:eee:ecmode:v:159:y:2026:i:c:s0264999326000738
    DOI: 10.1016/j.econmod.2026.107544
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