Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/192327
Authors: 
Raknerud, Arvid
Skjerpen, Terje
Swensen, Anders Rygh
Year of Publication: 
2003
Series/Report no.: 
Discussion Papers No. 345
Publisher: 
Statistics Norway, Research Department, Oslo
Abstract: 
We consider a Seemingly Unrelated Time Series Equations framework for the linear Almost Ideal Demand system. The framework is applied to a consumer demand system covering nine non-durable commodities. We test for demand homogeneity within a specification where the static linear Almost Ideal Demand system is augmented by three stochastic trends and three stochastic seasonal variables. The homogeneity restriction is rejected for about half of the commodities and in the system as a whole using conventional significance levels. However, when comparing the out-of-sample predictions from a homogeneous and non-homogeneous model, we do not find that the non-homogenous model performs better than the homogeneous one. Moreover, the income and price elasticities calculated under homogeneity restrictions are all of the right sign and have reasonable magnitudes.
Subjects: 
Consumer demand. Linear Almost Ideal Demand system. Seemingly Unrelated Time Series Equations. Prediction.
JEL: 
C32
C51
C53
E21
Document Type: 
Working Paper

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