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Estimation of a continuous‐time dynamic demand system

Chambers, MJ (1992) 'Estimation of a continuous‐time dynamic demand system.' Journal of Applied Econometrics, 7 (1). 53 - 64. ISSN 0883-7252

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Abstract

A continuous‐time dynamic model of consumers' demand, explicitly taking account of the roles of depreciation, interest rates, habits, and stocks, is estimated using recently developed techniques from discrete quarterly UK data on three broad commodity groupings. The results suggest that, whilst being a significant determinant of demand, the actual magnitude of the influence of changes in interest rates may be relatively small in the long run. The cross‐price effects of durable goods are also found to be statistically significant, and symmetry of long‐run compensated price responses is not rejected. Copyright © 1992 John Wiley & Sons, Ltd.

Item Type: Article
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 09 Jul 2012 19:42
Last Modified: 17 Aug 2017 18:11
URI: http://repository.essex.ac.uk/id/eprint/2748

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