Testing Restrictions in a Flexible Dynamic Demand System: An Application to Consumers' Expenditure in Canada
开发了一个向量时间序列模型来分析支出份额，允许短期行为非对称和非齐次，仅在长期结构中检验齐次性和对称性限制。基于加拿大数据的结果表明，静态建模被拒绝，而经济理论限制在长期结构中未被拒绝。
Traditionally, restrictions on systems of demand equations have been tested using static models, whilst being estimated with time series data. This paper develops a vector time series model of expenditure shares in the context of a singular dynamic demand system. The model allows for non-symmetric and non-homogeneous short run behaviour. The homogeneity and symmetry restrictions are only examined in the long run structure. Results based on Canadian time series data are presented and reject the current practise of static modelling while restrictions suggested by economic theory are not rejected when imposed on the long run structure.