Time-Series Estimation of Structural Import Demand Equations : A Cross-Country Analysis

Author/Editor:

Abdelhak S Senhadji

Publication Date:

October 1, 1997

Electronic Access:

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Summary:

This paper derives a structural import demand equation and estimates it for a large number of countries, using recent time series techniques that address the problem of nonstationarity. Because the statistical properties of the different estimators have been derived only asymptotically, econometric theory does not offer any guidance when it comes to comparing different estimators in small samples. Consequently, the paper derives the small-sample properties of both the ordinary-least-squares (OLS) and the fully-modified (FM) estimators using Monte Carlo methods. It is shown that FM dominates OLS for both the short- and long-run elasticities.

Series:

Working Paper No. 97/132

Subject:

Notes:

Also published in Staff Papers, Vol. 45, No. 2, June 1998.

English

Publication Date:

October 1, 1997

ISBN/ISSN:

9781451855340/1018-5941

Stock No:

WPIEA1321997

Format:

Paper

Pages:

29

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