Conditional Correlation Demand Systems

Apostolos Serletis and Libo Xu

No 2018-17, Working Papers from Department of Economics, University of Calgary

Abstract: We address the estimation of singular demand systems with heteroscedastic disturbances. As in Serletis and Isakin (2017) and Serletis and Xu (2019) we assume that the covariance matrix of the errors of the demand system is time-varying, and contribute to the literature by considering the constant conditional correlation (CCC) and dynamic conditional correlation (DCC) parameterizations of the variance model. We derive a number of important practical results and also provide an empirical application to support our methodology.

Keywords: Flexible functional forms; Demand systems; Volatility (search for similar items in EconPapers)
JEL-codes: C32 E44 E52 (search for similar items in EconPapers)
Date: 2018-11-25
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Journal Article: Conditional Correlation Demand Systems (2020)
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