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Modelling the dynamics of market shares in a pooled data setting: econometric and empirical issues

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  • Felicitas Nowak-Lehmann D.
  • Dierk Herzer
  • Sebastian Vollmer
  • Inmaculada Martinez-Zarzoso

Abstract

The objective of this article is twofold. First, it is to study the applicability of the widely used Autoregressive Distributed Lag Model (ARDL) in a pooled data setting. Second, it is to analyse Chile's market shares in the EU during the period 1988 to 2002, pointing to application problems that might jeopardize the model and searching for estimation methods that deal with the problem of inter-temporal and cross-sectional correlation of the disturbances. To estimate the coefficients of the ARDL model, Feasible Generalized Least Squares (FGLS) is utilized within the Three-Stage Least Squares (3SLS) and the nonstandard Generalized Method of Moments (GMM) frameworks. A computation of errors is added to highlight the susceptibility of the model to problems related to the underlying model assumptions.

Suggested Citation

  • Felicitas Nowak-Lehmann D. & Dierk Herzer & Sebastian Vollmer & Inmaculada Martinez-Zarzoso, 2009. "Modelling the dynamics of market shares in a pooled data setting: econometric and empirical issues," Applied Economics, Taylor & Francis Journals, vol. 43(7), pages 823-835.
    • Handle: RePEc:taf:applec:v:43:y:2009:i:7:p:823-835
    DOI: 10.1080/00036840802599925
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    1. Kim, MinKyoung & Cho, Guedae & Koo, Won W., 2003. "Determining Bilateral Trade Patterns Using A Dynamic Gravity Equation," Agribusiness & Applied Economics Report 23538, North Dakota State University, Department of Agribusiness and Applied Economics.
    2. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, Decembrie.
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    Cited by:

    1. Wright, Nicholas Anthony, 2013. "Examining measures of the equilibrium Real Exchange Rate: Macroeconomic Balance and the Natural Real Exchange Rate Approaches," MPRA Paper 61170, University Library of Munich, Germany.

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