2001
DOI: 10.1093/erae/28.3.349
|View full text |Cite
|
Sign up to set email alerts
|

Estimation and inference in cointegrated demand systems: an application to Tunisian meat consumption

Abstract: -In this paper, a new framework for estimating and identifying cointegrated demand systems is presented. This method is then applied to the analysis of meat demand in Tunisia with an Almost Ideal Demand system functioning as the underlying model. TheJohansen and Juselius approach is used to identify cointegrated vectors as demand equations and to test theoretical economic restrictions. Finally, a structural VAR model is specified and impulse response functions are calculated to analyse both long and short-run … Show more

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
1
1
1

Citation Types

0
5
0

Year Published

2001
2001
2017
2017

Publication Types

Select...
7

Relationship

1
6

Authors

Journals

citations
Cited by 16 publications
(5 citation statements)
references
References 28 publications
0
5
0
Order By: Relevance
“…The estimation of cointegrated demand systems is routinely carried out using Engle and Granger's (1987) two-step procedure. This approach, however, has been subject to criticism (Ben Kaabia and Gil, 2001). An alternative framework for estimating a demand system has been proposed by Pesaran and Shin (1999), who estimated a Vector Autoregressive (VAR) model using Johansen's cointegration procedure.…”
Section: Theoretical and Econometric Frameworkmentioning
confidence: 99%
“…The estimation of cointegrated demand systems is routinely carried out using Engle and Granger's (1987) two-step procedure. This approach, however, has been subject to criticism (Ben Kaabia and Gil, 2001). An alternative framework for estimating a demand system has been proposed by Pesaran and Shin (1999), who estimated a Vector Autoregressive (VAR) model using Johansen's cointegration procedure.…”
Section: Theoretical and Econometric Frameworkmentioning
confidence: 99%
“…With a moderate number of observations (T 5 96) and a large number of parameters in a vector autoregression system, preliminary analyses reveal that the Johansen approach can only reach convergence for systems with no more than three countries. In the literature, studies using the Johansen approach also usually can handle no more than four commodities (e.g., Kaabia and Gil, 2001). In this study, given the main objective is to evaluate the competition among major suppliers, the two-stage approach by Engle and Granger is adopted to cover more countries and to consider cointegration in the dynamic AIDS model.…”
Section: Dynamic Almost Ideal Demand System Modelmentioning
confidence: 99%
“…The cointegration approach has been applied to demand analysis in recent years by two main methods: Engle and Granger's (1987) two‐step procedure (Attfield, 1997; Balcombe and Davis, 1996; Ng, 1995, among others) and Johansen's cointegration procedure (Johansen, 1988) estimating a vector autoregressive model (Ben Kaabia et al, 2001; Ben Kaabia and Gil, 2001; Pesaran and Shin, 2000). The latter does not depend on an arbitrary division of variables into endogenous and exogenous, and the number of long‐run relationships is not assumed a priori .…”
Section: System Specification and Cointegrationmentioning
confidence: 99%
“… The application of the Johansen procedure to the estimation and testing of cointegrated demand systems is not straightforward. In some cases, when the number of products considered is four or five it is difficult to obtain any kind of convergence when overidentifying restrictions are imposed (Ben Kaabia and Gil, 2001). …”
mentioning
confidence: 99%
See 1 more Smart Citation