文章基本信息

标题：Estimating a Demand System with Seasonally Differenced Data
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作者：Harri, Ardian ; Brorsen, B. Wade ; Muhammad, Andrew 等
期刊名称：Journal of Agribusiness
印刷版ISSN：0738-8950
出版年度：2010
页码：321-335
出版社：Journal of Agribusiness
摘要：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.
关键词：autocorrelation;demand system;Monte Carlo;overlapping data;seasonal differences