Estimating a Demand System with Seasonally Differenced Data

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.

Issue Date:
May 01 2010
Publication Type:
Journal Article
Record Identifier:
PURL Identifier:
Published in:
Journal of Agricultural and Applied Economics, Volume 42, Number 2
Page range:
JEL Codes:
C13; Q11; Q13

 Record created 2017-04-01, last modified 2018-01-22

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