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