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Exact small-sample inference in stationary, fully regular, dynamic demand models


  • Deschamps, Philippe J.


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  • Deschamps, Philippe J., 2000. "Exact small-sample inference in stationary, fully regular, dynamic demand models," Journal of Econometrics, Elsevier, vol. 97(1), pages 51-91, July.
  • Handle: RePEc:eee:econom:v:97:y:2000:i:1:p:51-91

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    References listed on IDEAS

    1. Ng, Serena, 1995. "Testing for Homogeneity in Demand Systems When the Regressors Are Nonstationary," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 147-163, April-Jun.
    2. Chib, Siddhartha & Greenberg, Edward, 1994. "Bayes inference in regression models with ARMA (p, q) errors," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 183-206.
    3. Deschamps, Philippe J., 1998. "Full maximum likelihood estimation of dynamic demand models," Journal of Econometrics, Elsevier, vol. 82(2), pages 335-359, February.
    4. Koop, Gary & Osiewalski, Jacek & Steel, Mark F J, 1994. "Bayesian Efficiency Analysis with a Flexible Form: The AIM Cost Function," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 339-346, July.
    5. Anderson, G J & Blundell, R W, 1982. "Estimation and Hypothesis Testing in Dynamic Singular Equation Systems," Econometrica, Econometric Society, vol. 50(6), pages 1559-1571, November.
    6. Attfield, C. L. F., 1997. "Estimating a cointegrating demand system," European Economic Review, Elsevier, vol. 41(1), pages 61-73, January.
    7. Chib, Siddhartha & Greenberg, Edward, 1995. "Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models," Journal of Econometrics, Elsevier, vol. 68(2), pages 339-360, August.
    8. Zellner, Arnold, 1978. "Estimation of functions of population means and regression coefficients including structural coefficients : A minimum expected loss (MELO) approach," Journal of Econometrics, Elsevier, vol. 8(2), pages 127-158, October.
    9. Deschamps, P J, 1993. "Joint Tests for Regularity and Autocorrelation in Allocation Systems," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(2), pages 195-211, April-Jun.
    10. repec:adr:anecst:y:1996:i:43:p:07 is not listed on IDEAS
    11. Terrell, Dek, 1996. "Incorporating Monotonicity and Concavity Conditions in Flexible Functional Forms," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(2), pages 179-194, March-Apr.
    12. Barten, Anton P, 1993. "Consumer Allocation Models: Choice of Functional Form," Empirical Economics, Springer, vol. 18(1), pages 129-158.
    13. Brown, Bryan W & Walker, Mary Beth, 1989. "The Random Utility Hypothesis and Inference in Demand Systems," Econometrica, Econometric Society, vol. 57(4), pages 815-829, July.
    14. Keller, W.J. & Van Driel, J., 1985. "Differential consumer demand systems," European Economic Review, Elsevier, vol. 27(3), pages 375-390.
    15. Roberts, G. O. & Smith, A. F. M., 1994. "Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms," Stochastic Processes and their Applications, Elsevier, vol. 49(2), pages 207-216, February.
    16. Deaton, Angus S & Muellbauer, John, 1980. "An Almost Ideal Demand System," American Economic Review, American Economic Association, vol. 70(3), pages 312-326, June.
    17. Kodde, David A & Palm, Franz C, 1987. "A Parametric Test of the Negativity of the Substitution Matrix," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 2(3), pages 227-235, July.
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    Cited by:

    1. Balcombe, Kelvin & Bailey, Alastair, 2006. "Bayesian inference of a smooth transition dynamic almost ideal model of food demand in the US," MPRA Paper 17305, University Library of Munich, Germany.
    2. Hanrahan, Kevin F. & Westhoff, Patrick C. & Young, Robert E., II, 2001. "Trade Allocation Modeling: Comparing The Results From Armington And Locally Regular Ai Demand System Specifications Of A Uk Beef Import Demand Allocation Model," 2001 Annual meeting, August 5-8, Chicago, IL 20510, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    3. Philippe J. Deschamps, 2003. "Time-varying intercepts and equilibrium analysis: an extension of the dynamic almost ideal demand model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(2), pages 209-236.
    4. Ni, Shawn & Sun, Dongchu, 2003. "Noninformative priors and frequentist risks of bayesian estimators of vector-autoregressive models," Journal of Econometrics, Elsevier, vol. 115(1), pages 159-197, July.

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