IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v14y2007i7p497-502.html
   My bibliography  Save this article

Testing demand homogeneity when error terms have an elliptically symmetric distribution

Author

Listed:
  • Manami Ogura
  • Kazuhiro Ohtani

Abstract

In this article, we show that the exact test for the homogeneity restriction developed by Laitinen (1978) is robust when the error terms have an elliptically symmetric distribution. The power performance of the test is also examined, assuming that the error terms have a multivariate t distribution. Our empirical example shows that the homogeneity restriction is not rejected at the 5% level by the exact test though it is rejected by the asymptotic Wald test.

Suggested Citation

  • Manami Ogura & Kazuhiro Ohtani, 2007. "Testing demand homogeneity when error terms have an elliptically symmetric distribution," Applied Economics Letters, Taylor & Francis Journals, vol. 14(7), pages 497-502.
    • Handle: RePEc:taf:apeclt:v:14:y:2007:i:7:p:497-502
    DOI: 10.1080/13504850500447430
    as

    Download full text from publisher

    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/13504850500447430&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504850500447430?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Meisner, James F., 1979. "The sad fate of the asymptotic Slutsky symmetry test for large systems," Economics Letters, Elsevier, vol. 2(3), pages 231-233.
    2. Italianer, Alexander, 1985. "A small-sample correction for the likelihood ratio test," Economics Letters, Elsevier, vol. 19(4), pages 315-317.
    3. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
    4. Laitinen, Kenneth, 1978. "Why is demand homogeneity so often rejected?," Economics Letters, Elsevier, vol. 1(3), pages 187-191.
    5. Bera, A. K. & Byron, R. P. & Jarque, C. M., 1981. "Further evidence on asymptotic tests for homogeneity and symmetry in large demand systems," Economics Letters, Elsevier, vol. 8(2), pages 101-105.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mizobuchi, Kenichi, 2008. "An empirical study on the rebound effect considering capital costs," Energy Economics, Elsevier, vol. 30(5), pages 2486-2516, September.
    2. W D A Bryant, 2009. "General Equilibrium:Theory and Evidence," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6875, January.
    3. Paul Oslington, 2012. "General Equilibrium: Theory and Evidence," The Economic Record, The Economic Society of Australia, vol. 88(282), pages 446-448, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Dufour, Jean-Marie & Khalaf, Lynda, 2002. "Simulation based finite and large sample tests in multivariate regressions," Journal of Econometrics, Elsevier, vol. 111(2), pages 303-322, December.
    2. van Heeswijk, B J & de Boer, P M C & Harkema, R, 1993. "A Dynamic Specification of an AIDS Import Allocation Model," Empirical Economics, Springer, vol. 18(1), pages 57-73.
    3. LaFrance, Jeffrey T., 1999. "U.S. Food and Nutrient Demand and the Effects of Agricultural Policies," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt52h9v4dq, Department of Agricultural & Resource Economics, UC Berkeley.
    4. Kenneth W. Clements & E. A. Selvanathan & Saroja Selvanathan, 1992. "Henri Theil’s Contributions to Demand Analysis," Palgrave Macmillan Books, in: Ronald Bewley & Tran Hoa (ed.), Contributions to Consumer Demand and Econometrics, chapter 5, pages 74-104, Palgrave Macmillan.
    5. C. Dongling, 1993. "Introduction to World Consumption Economics," Economics Discussion / Working Papers 93-23, The University of Western Australia, Department of Economics.
    6. Paul Cashin, 1991. "A Model Of The Disaggregated Demand For Meat In Australia," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 35(3), pages 263-283, December.
    7. Syriopoulos, Theodore, 2002. "Risk aversion and portfolio allocation to mutual fund classes," International Review of Economics & Finance, Elsevier, vol. 11(4), pages 427-447.
    8. LaFrance, Jeffrey T., 1999. "An Econometric Model of the Demand for Food and Nutrition," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt2z5516c2, Department of Agricultural & Resource Economics, UC Berkeley.
    9. Kesavan, Thulasiram, 1988. "Monte Carlo experiments of market demand theory," ISU General Staff Papers 198801010800009854, Iowa State University, Department of Economics.
    10. Barten, Anton P., 2003. "On the Empirical Content of Demand Analysis," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 35(Supplemen), pages 1-11.
    11. S. Selvanathan, 1988. "The Reliability of ML Estimators of Systems of Demand Equations," Economics Discussion / Working Papers 88-05, The University of Western Australia, Department of Economics.
    12. Saroja Selvanathan, 1991. "Regional Consumption Patterns in Australia: A System‐Wide Analysis," The Economic Record, The Economic Society of Australia, vol. 67(4), pages 338-345, December.
    13. E.J. Roberts, 1990. "The Demand for Meat: Part III," Economics Discussion / Working Papers 90-13, The University of Western Australia, Department of Economics.
    14. K.W. Clements, 1988. "UWA Studies in Applied Demand Analysis," Economics Discussion / Working Papers 88-20, The University of Western Australia, Department of Economics.
    15. Miyazaki, Shigetaka & Griffiths, William E., 1984. "The properties of some covariance matrix estimators in linear models with AR(1) errors," Economics Letters, Elsevier, vol. 14(4), pages 351-356.
    16. Tiffin, J. Richard & Balcombe, Kelvin George, 2003. "Testing Symmetry And Homogeneity In The Aids With Cointegrated Data Using Fully-Modified Estimation And The Bootstrap," 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa 25845, International Association of Agricultural Economists.
    17. Zhijie Xiao & Peter C.B. Phillips, 1998. "Higher Order Approximations for Wald Statistics in Cointegrating Regressions," Cowles Foundation Discussion Papers 1192, Cowles Foundation for Research in Economics, Yale University.
    18. Dufour, Jean-Marie & Khalaf, Lynda, 2001. "Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions," Cahiers de recherche 0105, GREEN.
    19. Kenneth Stewart, 1997. "Exact testing in multivariate regression," Econometric Reviews, Taylor & Francis Journals, vol. 16(3), pages 321-352.
    20. Xiao, Zhijie & Phillips, Peter C. B., 2002. "Higher order approximations for Wald statistics in time series regressions with integrated processes," Journal of Econometrics, Elsevier, vol. 108(1), pages 157-198, May.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:14:y:2007:i:7:p:497-502. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.