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Time-Series Estimation of Structural Import Demand Equations: A Cross-Country Analysis

Author

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  • Abdelhak Senhadji

    (International Monetary Fund)

Abstract

A structural import demand equation is derived and estimated for a large number of countries, using recent time-series techniques that address the problem of nonstationarity. The average price elasticity is close to zero in the short run but is slightly higher than one in the long run. A similar pattern holds for income elasticities: the short-run income elasticities are on average less than 0.5, while the long-run income elasticities are close to 1.5. The paper also analyses the small-sample properties of both the ordinary-least-squares (OLS) and the fully modified (FM) estimators of the short- and long-run elasticities, using Monte Carlo methods.

Suggested Citation

  • Abdelhak Senhadji, 1998. "Time-Series Estimation of Structural Import Demand Equations: A Cross-Country Analysis," IMF Staff Papers, Palgrave Macmillan, vol. 45(2), pages 236-268, June.
  • Handle: RePEc:pal:imfstp:v:45:y:1998:i:2:p:236-268
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    References listed on IDEAS

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    1. Lewis, W Arthur, 1980. "The Slowing Down of the Engine of Growth," American Economic Review, American Economic Association, vol. 70(4), pages 555-564, September.
    2. repec:bla:restud:v:57:y:1990:i:1:p:99-125 is not listed on IDEAS
    3. Peter C. B. Phillips & Mico Loretan, 1991. "Estimating Long-run Economic Equilibria," Review of Economic Studies, Oxford University Press, vol. 58(3), pages 407-436.
    4. 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.
    5. Riedel, James, 1984. "Trade as the Engine of Growth in Developing Countries, Revisited," Economic Journal, Royal Economic Society, vol. 94(373), pages 56-73, March.
    6. Marquez, Jaime & McNeilly, Caryl, 1988. "Income and Price Elasticities for Exports of Developing Countries," The Review of Economics and Statistics, MIT Press, vol. 70(2), pages 306-314, May.
    7. Carmen M. Reinhart, 1995. "Devaluation, Relative Prices, and International Trade: Evidence from Developing Countries," IMF Staff Papers, Palgrave Macmillan, vol. 42(2), pages 290-312, June.
    8. Rose, Andrew K., 1990. "Exchange rates and the trade balance : Some evidence from developing countries," Economics Letters, Elsevier, vol. 34(3), pages 271-275, November.
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    More about this item

    JEL classification:

    • F14 - International Economics - - Trade - - - Empirical Studies of Trade
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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