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Unit Roots and the Demand for Cigarettes in Turkey: Pitfalls and Possibilities

Author

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  • Katarina Juselius

    (Institute of Economics, University of Copenhagen)

Abstract

The partial adjustment model for cigarette demand in Tansel (1993) is formulated as a restriction on the more general VAR model. The question whether the Tansel estimation results are spurious as claimed by Cameron and Collins (1998) is addressed in this framework. The role of intervention dummies and data transformations for the cointegration results is discussed in some detail. Finally, a more general model is estimated and two steady-state relations measuring demand and supply behaviour in the cigarette market are identified.

Suggested Citation

  • Katarina Juselius, 2001. "Unit Roots and the Demand for Cigarettes in Turkey: Pitfalls and Possibilities," Discussion Papers 01-02, University of Copenhagen. Department of Economics.
  • Handle: RePEc:kud:kuiedp:0102
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    File URL: http://www.econ.ku.dk/english/research/publications/wp/2001/0102.pdf/
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    References listed on IDEAS

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    4. Lawrence Blume & David Easley, 2006. "If You're so Smart, why Aren't You Rich? Belief Selection in Complete and Incomplete Markets," Econometrica, Econometric Society, vol. 74(4), pages 929-966, July.
    5. Luenberger, David G., 1997. "Investment Science," OUP Catalogue, Oxford University Press, number 9780195108095.
    6. Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2002. "Market Selection Of Financial Trading Strategies: Global Stability," Mathematical Finance, Wiley Blackwell, vol. 12(4), pages 329-339.
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    Cited by:

    1. ISMIHAN Mustafa & METIN-OZCAN Kivilcim & TANSEL Aysit, "undated". "Macroeconomic Instability, Capital Accumulation and Growth: The Case of Turkey 1963-1999," EcoMod2003 330700071, EcoMod.
    2. Durevall, Dick, 2017. "Cost Pass-Through in the Swedish Coffee Market," HUI Working Papers 120, HUI Research.
    3. Durevall, Dick, 2007. "Demand for coffee in Sweden: The role of prices, preferences and market power," Food Policy, Elsevier, vol. 32(5-6), pages 566-584.

    More about this item

    Keywords

    Partial Adjustment Models; Cointegrated VAR; Intervention Dummies; Data Transformations; Identification;

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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