Testing symmetry and homogeneity in the almost ideal demand system with co-integrated data using fully modified estimation and the bootstrap

Tiffin, R. and Balcombe, K. (2005) Testing symmetry and homogeneity in the almost ideal demand system with co-integrated data using fully modified estimation and the bootstrap. Journal of Agricultural Economics, 56 (2). pp. 253-270. ISSN 0021-857X doi: 10.1111/j.1477-9552.2005.00003.x

Abstract/Summary

Conventional seemingly unrelated estimation of the almost ideal demand system 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 co-integrated. 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. size distortion and performs equally well in this respect with both estimators.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/9278
Item Type	Article
Refereed	Yes
Divisions	Life Sciences > School of Agriculture, Policy and Development
Uncontrolled Keywords	AIDS, bootstrapping, cointegration, fully modified estimation, MEAT DEMAND, RESTRICTIONS, REGRESSIONS, INFERENCE, CANADA, MODELS
Download/View statistics	View download statistics for this item