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Testing Symmetry And Homogeneity In The Aids With Cointegrated Data Using Fully-Modified Estimation And The Bootstrap

  • Tiffin, J. Richard
  • Balcombe, Kelvin George

Convential SUR estimation of the AIDS is shown to lead to small sample bias and distortions in the size of a Wald test for symmetry and homogeneity when the data are cointegrated. A fully-modified estimator is developed in an attempt to remedy these problems. It is shown that this estimator reduces the small sample bias but fails to eliminate the size distortion. Bootstrapping is shown to be ineffective as a method of removing small sample bias in both the conventional and fully modified estimators. Bootstrapping is effective however as a method of removing the size distortion and performs equally well in this respect with both estimators.

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File URL: http://purl.umn.edu/25845
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Paper provided by International Association of Agricultural Economists in its series 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa with number 25845.

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Date of creation: 2003
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Handle: RePEc:ags:iaae03:25845
Contact details of provider: Web page: http://www.iaae-agecon.org/
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  1. Li, Hongyi & Maddala, G. S., 1997. "Bootstrapping cointegrating regressions," Journal of Econometrics, Elsevier, vol. 80(2), pages 297-318, October.
  2. Deaton, Angus S & Muellbauer, John, 1980. "An Almost Ideal Demand System," American Economic Review, American Economic Association, vol. 70(3), pages 312-26, June.
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  4. 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.
  5. Joel L. Horowitz, 1996. "Bootstrap Methods in Econometrics: Theory and Numerical Performance," Econometrics 9602009, EconWPA, revised 05 Mar 1996.
  6. Banerjee, Anindya, et al, 1986. "Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 253-77, August.
  7. Blanciforti, Laura & Green, Richard, 1983. "An Almost Ideal Demand System Incorporating Habits: An Analysis of Expenditures on Food and Aggregate Commodity Groups," The Review of Economics and Statistics, MIT Press, vol. 65(3), pages 511-15, August.
  8. Laitinen, Kenneth, 1978. "Why is demand homogeneity so often rejected?," Economics Letters, Elsevier, vol. 1(3), pages 187-191.
  9. Balcombe, Kelvin & Tiffin, Richard, 2002. "Fully modified estimation with cross-equation restrictions," Economics Letters, Elsevier, vol. 74(2), pages 257-263, January.
  10. Moon, Hyungsik R., 1999. "A note on fully-modified estimation of seemingly unrelated regressions models with integrated regressors," Economics Letters, Elsevier, vol. 65(1), pages 25-31, October.
  11. Pashardes, Panos, 1993. "Bias in Estimating the Almost Ideal Demand System with the Stone Index Approximation," Economic Journal, Royal Economic Society, vol. 103(419), pages 908-15, July.
  12. Adolf Buse, 1998. "Testing Homogeneity in the Linearized Almost Ideal Demand System," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 80(1), pages 208-220.
  13. 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.
  14. Anderson, Gordon & Blundell, Richard, 1983. "Testing Restrictions in a Flexible Dynamic Demand System: An Application to Consumers' Expenditure in Canada," Review of Economic Studies, Wiley Blackwell, vol. 50(3), pages 397-410, July.
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