Estimation of a continuous‐time dynamic demand system
利用英国季度数据估计了一个连续时间动态消费者需求模型，发现利率变化对需求的长期影响虽显著但较小，且耐用品交叉价格效应显著。
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.