Aggregation of Non Stationary Demand Systems
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Jérôme Adda
This paper studies under which conditions a cross-sectional regression yields unbiased estimates of the parameters of an individual dynamic model with fixed effects and individual-specific responses to macro shocks. We show that the OLS estimation of a relationship involving non stationary variables on a cross-section yields estimates which converge to the true value when calendar time tends to infinity. We then consider the particular case of an AI demand model, and we show, using French quarterly aggregate time-series, that budget shares, relative prices and the log of real total expenditure are I(1) and form a cointegrated system. We compare these macro estimates to estimates obtained from three Family Expenditure Surveys and find large differences.
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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Articles in the same Issue
- Contributions Article
- Suggested Subsidies are Sub-optimal Unless Combined with an Output Tax
- War or Peace
- Selective Information Provision and Special Interest Influence: The Case of Trade Policy
- Price Discrimination via Proprietary Aftermarkets
- The Spite Motive and Equilibrium Behavior in Auctions
- Optimal Liability for Libel
- Aggregation of Non Stationary Demand Systems
- The Savings Impact of College Financial Aid
- A Theory of Utilization Review
- Cigarette Demand, Structural Change, and Advertising Bans: International Evidence, 1970-1995
- Piracy and the Legitimate Demand for Recorded Music
- Oligopoly Deregulation and the Taxation of Commodities
- Forming Voting Blocs and Coalitions as a Prisoner's Dilemma: A Possible Theoretical Explanation for Political Instability
- Ethnicity and Networks in African Trade
- Endogenous Preferential Trade Agreements: An Empirical Analysis
