Estimating a Demand System with Seasonally Differenced Data

Ardian Harri, Andrew Muhammad and John Anderson

No 6427, 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: Researchers estimating demand systems have often used annual data even though monthly or quarterly data are available. Monthly data may be avoided because with monthly data it becomes more difficult to specify seasonality, autocorrelation is more likely to be significant, and there is a greater chance of finding significant dynamics in demand. This paper shows how to obtain consistent and asymptotically efficient estimates of a demand system using seasonal differenced data. It also shows that several alternative estimators are either inefficient or implausible for demand systems.

Keywords: Demand; and; Price; Analysis (search for similar items in EconPapers)
Pages: 19
Date: 2008
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https://ageconsearch.umn.edu/record/6427/files/469864.pdf (application/pdf)

Related works:
Journal Article: Estimating a Demand System with Seasonally Differenced Data (2010)
Journal Article: Estimating a Demand System with Seasonally Differenced Data (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea08:6427

DOI: 10.22004/ag.econ.6427

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