Time-Series Estimation of Structural Import Demand Equations: A Cross-Country Analysis
IMF Working Papers, October 1, 1997
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- Time-Series Estimation of Structural Import Demand Equations: A Cross-Country Analysis
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Bibliographic details
- Authors: Abdelhak S Senhadji
- Published: October 1, 1997
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451855340.001
Objective and approach
- Derives a structural import demand equation and estimates it for a large number of countries.
- Employs recent time series techniques that address the problem of nonstationarity.
- Uses Monte Carlo methods to derive small-sample properties of estimators because econometric theory provides only asymptotic properties.
Estimators compared
- Ordinary-least-squares (OLS)
- Fully-modified (FM)
Key findings
- FM dominates OLS for both the short-run elasticities and the long-run elasticities.
- Small-sample properties of both OLS and FM are derived via Monte Carlo simulation (no asymptotic-only reliance).
Thematic scope and keywords
- Subjects: Foreign exchange, Import prices, Imports, International trade, National accounts, Personal income, Price elasticity, Prices, Real exchange rates
- Keywords: Africa, Cointegration, dependent variable, import demand elasticity estimate, import demand equation, Import prices, Imports, Income and Price Elasticities, income elasticity, long-run elasticity, Monte Carlo Methods, Personal income, Price elasticity, Real exchange rates, Structural Import Demand, t-statistic distribution, WP
Content in this bundle
- Time-Series Estimation of Structuaral Import Demand Equations: A Cross-Country Analysis -WP/97/132