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Title: Estimating a Demand System with Seasonally Differenced Data
Authors: Harri, Ardian
Brorsen, B. Wade
Muhammad, Andrew
Anderson, John D.
Keywords: autocorrelation
demand system
Monte Carlo
overlapping data
seasonal differences
JEL Codes: C13
Issue Date: 2010-05-01
Abstract: Several recent papers have used annual changes and monthly data to estimate demand systems. Such use of overlapping data introduces a moving average error term. This paper shows how to obtain consistent and asymptotically efficient estimates of a demand system using seasonally differenced data. Monte Carlo simulations and an empirical application to the estimation of the U.S. meat demand are used to compare the proposed estimator with alternative estimators. Once the correct estimator is used, there is no advantage to using overlapping data in estimating a demand system.
Institution/Association: Journal of Agricultural and Applied Economics>Volume 42, Number 02, May 2010
From Page: 321
To Page: 335
Collections:Volume 42, Number 02, May 2010

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