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The problem of changing parameters in demand analysis and forecasting

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  • JUHANI ROUHIAINEN

Abstract

Particularly in a demand analysis of long time-series data, the validity of the assumption of a constant regression relationship over time is open to question. The examination of changes in the parameters is of crucial importance if the model is used to make forecasts. To detect such changes, tests based on recursive residuals can be applied. When examining the demand for cereals in Finland between 1950 and 1975, the hypothesis of constancy of the regression parameters was rejected on the basis of these tests. Forecasts of cereal consumption were then made by means of weighted regression technics.

Suggested Citation

  • Juhani Rouhiainen, 1978. "The problem of changing parameters in demand analysis and forecasting," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 5(3-4), pages 349-359.
    • Handle: RePEc:oup:erevae:v:5:y:1978:i:3-4:p:349-359.
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    File URL: http://hdl.handle.net/10.1093/erae/5.3-4.349
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    Cited by:

    1. Schlicht, Ekkehart, 2006. "VC - A Method For Estimating Time-Varying Coefficients in Linear Models," Discussion Papers in Economics 61656, University of Munich, Department of Economics.
    2. Chapman, W.G. & Warwick, K.S., 1981. "The long-term demand for milk, dairy produce and meat," Centre for Agricultural Strategy - Papers and Reports 337644, University of Reading.

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