Further evidence on asymptotic tests for homogeneity and symmetry in large demand systems

Bera, Anil K.; Byron, Neil; Jarque, Carlos M.

doi:10.1016/0165-1765(81)90001-x

Cited by 86 publications

(23 citation statements)

References 5 publications

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“…However, simulation experiments have shown that these tests have considerable bias towards rejection of the null hypothesis, especially when they are applied to large demand systems with relatively few observations (Laitinen 1978;Meinser 1979;Bera et al 1981;Balcombe and Davis 1996). Therefore, this study applies two sample-size-corrected statistics (see Appendix 1) developed by Court (1968) and Deaton (1974) to avoid the overrejection of the null hypotheses.…”

Section: Model Estimation and Restriction Testsmentioning

confidence: 99%

Modeling Tourism Demand: A Dynamic Linear AIDS Approach

Song

Witt

2004

Journal of Travel Research

109

103

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The linear almost ideal demand system (LAIDS), in both static and dynamic forms, is examined in the context of international tourism demand. The superiority of the dynamic error correction LAIDS compared to its static counterpart is demonstrated in terms of both the acceptability of theoretical restrictions and forecasting accuracy, using a data set on the expenditure of U.K. tourists in 22 Western European countries. Both long-run and short-run demand elasticities are calculated. The expenditure elasticities show that traveling to most major destinations in Western Europe appears to be a luxury for U.K. tourists in the long run. The demand for travel to these destinations by U.K. tourists is also likely to be more price elastic in the long run than in the short run. The calculated cross-price elasticities suggest that the substitution/complementarity effects vary from destination to destination.

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Section: Model Estimation and Restriction Testsmentioning

confidence: 99%

Modeling Tourism Demand: A Dynamic Linear AIDS Approach

Song

Witt

2004

Journal of Travel Research

109

103

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“…It has been shown, however, that in finite samples, these asymptotic criteria are seriously biased towards overrejection when the number of equations relative to the sample size is large (even moderately). Well known examples include Laitinen (1978), Meisner (1979), Bera, Byron and Jarque (1981) and Theil and Fiebig (1985) on testing homogeneity and symmetry in demand systems. Further evidence for the case of multivariate tests in capital asset pricing models (CAPM) is also available; see Stambaugh (1982), Jobson and Korkie (1982), Amsler and Schmidt (1985) and MacKinlay (1987).…”

Section: Introductionmentioning

confidence: 99%

Simulation based finite and large sample tests in multivariate regressions

Dufour

Khalaf

2002

Journal of Econometrics

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CIRANOLe CIRANO est un organisme sans but lucratif constitué en vertu de la Loi des compagnies du Québec. Le financement de son infrastructure et de ses activités de recherche provient des cotisations de ses organisationsmembres, d'une subvention d'infrastructure du ministère de la Recherche, de la Science et de la Technologie, de même que des subventions et mandats obtenus par ses équipes de recherche. CIRANO is a private non-profit organization incorporated under the Résumé / AbstractDans le contexte des modèles de régression multivariés (MLR), il est bien connu que les tests asymptotiques usuels tendent à rejeter trop souvent les hypothèse considérées. Dans cet article, nous proposons une méthode générale qui permet de construire des tests exacts pour des hypothèses possiblement non linéaires sur les coefficients de tels modèles. Pour le cas des hypothèse uniformes linéaires, nous présentons des résultats sur la distribution exacte de plusieurs statistiques de test usuelles. Ces dernières incluent le critère du quotient de vraisemblance (Wilks), de même que les critères de la trace et de la racine maximale. L'hypothèse de normalité des erreurs n'est pas requise pour la plupart des résultats présentés. Ceux-ci ont deux types de conséquences pour l'inférence statistique. Premièrement, l'invariance par rapport aux paramètres de nuisance signifie que l'on peut appliquer la technique des tests de Monte Carlo afin de construire des tests exacts pour les hypothèses uniformes linéaires. Deuxième-ment, nous montrons comment exploiter cette propriété afin d'obtenir des bornes sans paramètres de nuisance sur la distribution des statistiques de quotient de vraisemblance pour des hypothèses générales. Même si les bornes ne sont pas faciles à calculer par des moyens analytiques, on peut les simuler aisément et ainsi effectuer des tests de Monte Carlo à bornes. Nous présentons une expérience de simulation qui montre que ces bornes sont suffisamment serrées pour fournir des résultats concluants avec une forte probabilité. Nos résultats démontrent la valeur de ces bornes comme instrument à utiliser conjointement avec des méthodes d'inférence simulée plus traditionnelles (telles que le bootstrap paramétrique) que l'on peut appliquer lorsque le test à borne n'est pas concluant.

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“…Evidence from work by Laitinen (1978), Meisner (1979), Bera, Byron and Jarque (1981) and Bewley (1983) indicates that asymptotic test statistics tend to over-reject restrictions derived from utility theory when imposed on demand systems in finite samples. Using Monte Carlo experiments on LR tests of functional form restrictions, Wales (1984) also found that the LR test rejected the null hypothesis too often.…”

Section: S T S Of Demand Restrictionsmentioning

confidence: 99%

A Model of the Disaggregated Demand for Meat in Australia

Cashin

1991

Australian Journal of Agricultural Economics

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The focus of this study is the estimation of the Australian demand for meat between 1967 and 1990, employing a demand systems approach which uses the linear approximate, almost ideal demand system (LA/AIDS) model. Two demand systems are estimated by maximum likelihood methods, one for aggregate types of meat and one for disaggrgated meat products. After correcting for serial correlation in the two demand systems, restrictions from utility theory are imposed and tested for thcirappropriatcness. By using a new data set on the Australian retail price and consumption of fresh pork, ham and bacon, the results from the disaggregated model provide the first estimates of the own-price, cross-price and expenditure elasticities for these commodities.

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Further evidence on asymptotic tests for homogeneity and symmetry in large demand systems

Cited by 86 publications

References 5 publications

Modeling Tourism Demand: A Dynamic Linear AIDS Approach

Modeling Tourism Demand: A Dynamic Linear AIDS Approach

Simulation based finite and large sample tests in multivariate regressions

A Model of the Disaggregated Demand for Meat in Australia

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