Time-varying intercepts and equilibrium analysis: an extension of the dynamic almost ideal demand model

Demographic effects and user costs in demand systems have usually been modelled explicitly. A more robust approach is a state space formulation of the demand system, where time-varying intercepts account for the effects of unobservable variables. The author embeds such a system in a vector autoregre...

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Bibliographic Details
Published in:Journal of applied econometrics (Chichester, England) England), 2003-03, Vol.18 (2), p.209-236
Main Author: Deschamps, Philippe J.
Format: Article
Language:English
Subjects:
Algorithms
Bayesian method
Coefficients
Commodities
Confidence interval
Demand analysis
Demand models
Econometrics
Economic models
Equilibrium
Expenditures
Financial budgets
Housing
Markovian processes
Mathematical vectors
Modeling
Point estimators
Regression analysis
Studies
Trends
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Summary:Demographic effects and user costs in demand systems have usually been modelled explicitly. A more robust approach is a state space formulation of the demand system, where time-varying intercepts account for the effects of unobservable variables. The author embeds such a system in a vector autoregressive distributed lag model, with a Bayesian hierarchical prior. The model is estimated by a Markov chain Monte Carlo method on samples involving quarterly US and UK data. In the US case, the results are compared with a previously published cointegration analysis of the same data.
ISSN:0883-7252
1099-1255
DOI:10.1002/jae.674