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Mazzocchi, M. (2003) Time-varying coefficients in the almost ideal demand system: An empirical appraisal. European Review of Agricultural Economics, 30 (2). pp. 241-270. ISSN 0165-1587
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Abstract/Summary
This paper provides a generalisation of the structural time series version of the Almost Ideal Demand System (AIDS) that allows for time-varying coefficients (TVC/AIDS) in the presence of cross-equation constraints. An empirical appraisal of the TVC/AIDS is made using a dynamic AIDS with trending intercept as the baseline model with a data set from the Italian Household Budget Survey (1986-2001). The assessment is based on four criteria: adherence to theoretical constraints, statistical diagnostics on residuals, forecasting performance and economic meaningfulness. No clear evidence is found for superior performance of the TVC/AIDS, apart from improved short-term forecasts.
| Item Type: | Article |
|---|---|
| Refereed: | Yes |
| Divisions: | Life Sciences > School of Agriculture, Policy and Development |
| ID Code: | 8894 |
| Uncontrolled Keywords: | structural change, almost ideal demand system, theoretical, restrictions, food demand, structural time series models, STRUCTURAL-CHANGE, MEAT DEMAND, MAXIMUM LIKELIHOOD, MODEL SELECTION, EM, ALGORITHM, PREFERENCES, EQUATIONS, PRODUCTS, FISH, BEEF |
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