A structural time series approach to modelling multiple and resurgent meat scares in Italy

Mazzocchi, M., Delle Monache, D. and Lobb, A. E. (2006) A structural time series approach to modelling multiple and resurgent meat scares in Italy. Applied Economics, 38 (14). pp. 1677-1688. ISSN 1466-4283 doi: 10.1080/00036840500405862

Abstract/Summary

This paper exploits a structural time series approach to model the time pattern of multiple and resurgent food scares and their direct and cross-product impacts on consumer response. A structural time series Almost Ideal Demand System (STS-AIDS) is embedded in a vector error correction framework to allow for dynamic effects (VEC-STS-AIDS). Italian aggregate household data on meat demand is used to assess the time-varying impact of a resurgent BSE crisis (1996 and 2000) and the 1999 Dioxin crisis. The VEC-STS-AIDS model monitors the short-run impacts and performs satisfactorily in terms of residuals diagnostics, overcoming the major problems encountered by the customary vector error correction approach.