S-Space College of Social Sciences (사회과학대학) Institute of Economics Research (경제연구소) Seoul Journal of Economics (SJE) Seoul Journal of Economics vol.07(4) (Winter 1994)
On the Estimation of an Almost Ideal Demand System with Autoregressive Errors
- Issue Date
- Seoul Journal of Economics, Vol.7 No.4, pp. 361-382
- 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.