土耳其的单位根和香烟需求:陷阱和可能性

ERN: Econometric Modeling in Microeconomics (Topic) Pub Date : 2001-01-21 DOI:10.2139/ssrn.1791676

K. Juselius

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引用次数: 8

摘要

Tansel(1993)的卷烟需求部分调整模型是作为对更一般的VAR模型的限制而制定的。Tansel估计结果是否如Cameron和Collins(1998)所声称的那样是虚假的问题在这个框架中得到了解决。详细讨论了干预假人和数据转换对协整结果的作用。最后，估计了一个更一般的模型，并确定了衡量卷烟市场需求和供给行为的两个稳态关系。

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Unit Roots and the Demand for Cigarettes in Turkey: Pitfalls and Possibilities

The partial adjustment model for cigarette demand in Tansel (1993) is formulated as a restriction on the more general VAR model. The question whether the Tansel estimation results are spurious as claimed by Cameron and Collins (1998) is addressed in this framework. The role of intervention dummies and data transformations for the cointegration results is discussed in some detail. Finally, a more general model is estimated and two steady-state relations measuring demand and supply behaviour in the cigarette market are identified.

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ERN: Econometric Modeling in Microeconomics (Topic)

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