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Estimating a cointegrating demand system

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  • Attfield, C. L. F.

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  • Attfield, C. L. F., 1997. "Estimating a cointegrating demand system," European Economic Review, Elsevier, vol. 41(1), pages 61-73, January.
  • Handle: RePEc:eee:eecrev:v:41:y:1997:i:1:p:61-73
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    References listed on IDEAS

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    1. Attfield, C. L. F., 1991. "Estimation and testing when explanatory variables are endogenous : An application to a demand system," Journal of Econometrics, Elsevier, vol. 48(3), pages 395-408, June.
    2. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
    3. repec:bla:restud:v:57:y:1990:i:1:p:99-125 is not listed on IDEAS
    4. Phillips, Peter C B, 1994. "Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models," Econometrica, Econometric Society, vol. 62(1), pages 73-93, January.
    5. Ghysels, Eric & Perron, Pierre, 1993. "The effect of seasonal adjustment filters on tests for a unit root," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 57-98.
    6. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
    7. Haug, Alfred A., 1996. "Tests for cointegration a Monte Carlo comparison," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 89-115.
    8. Hansen, Bruce E., 1992. "Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 87-121.
    9. Phillips, P C B, 1986. "The Exact Distribution of the Wald Statistic," Econometrica, Econometric Society, vol. 54(4), pages 881-895, July.
    10. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-193, January.
    11. Stock, James H, 1987. "Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors," Econometrica, Econometric Society, vol. 55(5), pages 1035-1056, September.
    12. Attfield, C. L. F., 1995. "A Bartlett adjustment to the likelihood ratio test for a system of equations," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 207-223.
    13. Deaton, Angus S & Muellbauer, John, 1980. "An Almost Ideal Demand System," American Economic Review, American Economic Association, vol. 70(3), pages 312-326, June.
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    Cited by:

    1. Barnett, William A. & Serletis, Apostolos, 2008. "Consumer preferences and demand systems," Journal of Econometrics, Elsevier, vol. 147(2), pages 210-224, December.
    2. Ogura, Manami, 2011. "Testing for structural break in Japanese demand system after the bubble era," Structural Change and Economic Dynamics, Elsevier, vol. 22(3), pages 277-286, September.
    3. Karagiannis, G. & Mergos, G. J., 2002. "Estimating theoretically consistent demand systems using cointegration techniques with application to Greek food data," Economics Letters, Elsevier, vol. 74(2), pages 137-143, January.
    4. Rangkakulnuwat, Poomthan & Wang, H. Holly & Ahn, Sung K., 2007. "The inverse imported factor demand system in Thailand: A cointegration analysis," Economics Letters, Elsevier, vol. 94(3), pages 402-407, March.
    5. Tsionas, Efthymios G. & Christopoulos, Dimitris K., 2003. "Cointegration modeling of interrelated factor demands: With an application to labor-import substitution in the European Union," Journal of Macroeconomics, Elsevier, vol. 25(4), pages 509-526, December.
    6. Feng, Guohua & Serletis, Apostolos, 2008. "Productivity trends in U.S. manufacturing: Evidence from the NQ and AIM cost functions," Journal of Econometrics, Elsevier, vol. 142(1), pages 281-311, January.
    7. Li, Gang & Song, Haiyan & Witt, Stephen F., 2006. "Time varying parameter and fixed parameter linear AIDS: An application to tourism demand forecasting," International Journal of Forecasting, Elsevier, vol. 22(1), pages 57-71.
    8. Duffy, Martyn, 2003. "On the estimation of an advertising-augmented, cointegrating demand system," Economic Modelling, Elsevier, vol. 20(1), pages 181-206, January.
    9. Serletis, Apostolos & Timilsina, Govinda & Vasetsky, Olexandr, 2011. "International evidence on aggregate short-run and long-run interfuel substitution," Energy Economics, Elsevier, vol. 33(2), pages 209-216, March.
    10. 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.

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