Testing for Homogeneity in Demand Systems When the Regressors Are Nonstationary
Testing for Homogeneity in Demand Systems When the Regressors Are Nonstationary
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DOI：
10.1002/jae.3950100205
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发表时间：
1995-04
影响因子：
2.1
通讯作者：
Serena Ng
中科院分区：
文献类型：
--
作者：
Serena Ng
最优化理论的一个含义是，需求函数在价格和名义收入方面是零度齐次的。根据对需求系统的估计得出的证据一再发现，这种限制被数据所拒绝。然而，该假设往往是制定的回归是非平稳的。本文根据时间序列计量经济学的最新发展，特别强调对趋势的处理，重新审视了同质性的证据。我们发现需求系统是随机的，但不是确定性的协整。使用技术开发的确定性趋势的存在下，估计协整向量，我们重新估计的需求系统，并发现在许多情况下，同质性。版权所有1995年由约翰威利父子有限公司。
An implication of optimizing theory is that demand functions are homogeneous of degree zero in prices and nominal income. Evidence based on estimations of demand systems has repeatedly found this restriction to be rejected by the data. However, the hypothesis is often formulated in terms of regressors that are non-stationary. This paper reexamines the evidence for homogeneity in light of recent developments in time-series econometrics with special emphasis on the treatment of trends. We find the demand system to be stochastically but not deterministically cointegrated. Using techniques developed for estimating cointegrating vectors in the presence of deterministic trends, we re-estimate the demand system and find that homogeneity holds in many cases. Copyright 1995 by John Wiley & Sons, Ltd.