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On the Estimation of an Almost Ideal Demand System with Autoregressive Errors

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Authors
Kim, Yongkyu
Issue Date
1994
Publisher
Seoul Journal of Economics
Citation
Seoul Journal of Economics 7 (No. 4 1994): 361-382
Keywords
GLS estimation procedureAlmost Ideal Demand Systemhabit formation
Abstract
A new GLS estimation procedure is employed in the estimation of a dynamic version of Almost Ideal Demand System with vector autoregressive errors. The procedure enables us to have more natural form of autoregressive parameters. Also, a new habit formation specification obeying the adding up restriction is proposed. In an application for four categories of food in the U.S., test results show that the error process is a first order vector autoregressive process and that the demand system is characterized by habit formation.
ISSN
1225-0279
Language
English
URI
http://hdl.handle.net/10371/1050
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College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of EconomicsSeoul Journal of Economics vol.07(4) (Winter 1994)
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