TESTING SYMMETRY AND HOMOGENEITY IN THE AIDS WITH COINTEGRATED DATA USING FULLY-MODIFIED ESTIMATION AND THE BOOTSTRAP

Richard Tiffin () and Kelvin Balcombe

No 25845, 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa from International Association of Agricultural Economists

Abstract: Convential SUR estimation of the AIDS is shown to lead to small sample bias and distortions in the size of a Wald test for symmetry and homogeneity when the data are cointegrated. A fully-modified estimator is developed in an attempt to remedy these problems. It is shown that this estimator reduces the small sample bias but fails to eliminate the size distortion. Bootstrapping is shown to be ineffective as a method of removing small sample bias in both the conventional and fully modified estimators. Bootstrapping is effective however as a method of removing the size distortion and performs equally well in this respect with both estimators.

Keywords: Demand; and; Price; Analysis (search for similar items in EconPapers)
Pages: 25
Date: 2003
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:iaae03:25845

DOI: 10.22004/ag.econ.25845

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