期刊
AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS
卷 84, 期 1, 页码 83-89出版社
BLACKWELL PUBLISHERS
DOI: 10.1111/1467-8276.00244
关键词
demand estimation; forecasting performance; stochastic seasonality; stochastic trend
If budget shares have stochastic trend or seasonality or both, then demand equations based on the assumption of deterministic trend and deterministic seasonality will be mis-specified. We test this proposition by estimating a Linearized Almost Ideal (LAI) demand system for meat demand in the United Kingdom using Harvey's structural time series methodology. We demonstrate that the model specification allowing for stochastic trend and deterministic seasonality performs best in terms of diagnostic tests and goodness of fit measures. It is also shown that the model with stochastic trend is better at out-of-sample forecasting.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据