Economics at your fingertips  

The cross-Euler equation approach to intertemporal substitution in import demand

Shin-Ichi Nishiyama

Journal of Applied Econometrics, 2005, vol. 20, issue 7, 841-872

Abstract: This paper addresses the empirical dilemma in identifying and estimating the parameters governing the intertemporal elasticity of substitution (IES) for import demand. We propose a new concept, the cross-Euler equation, for overcoming this empirical dilemma. IES parameters are estimated by exploiting the cointegrating restriction implied by the cross-Euler equation. Further, by comparing the IES estimates from the cross-Euler equation to those from the standard Euler equation, we test the hypothesis whether import demand is affected by nuisance factors. Using the US data, we found imported goods consumption to be robust against nuisance factors, but not for domestic goods. Copyright © 2005 John Wiley & Sons, Ltd.

Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link) Link to full text; subscription required (text/html) Supporting data files and programs (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

DOI: 10.1002/jae.816

Access Statistics for this article

Journal of Applied Econometrics is currently edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().

Page updated 2023-03-26
Handle: RePEc:jae:japmet:v:20:y:2005:i:7:p:841-872