TESTING SYMMETRY AND HOMOGENEITY IN THE AIDS WITH COINTEGRATED DATA USING FULLY-MODIFIED ESTIMATION AND THE BOOTSTRAP Report as inadecuate




TESTING SYMMETRY AND HOMOGENEITY IN THE AIDS WITH COINTEGRATED DATA USING FULLY-MODIFIED ESTIMATION AND THE BOOTSTRAP - Download this document for free, or read online. Document in PDF available to download.

Convential SUR estimation of the AIDS is shown to lead to small sample bias and distortions in the size of a Wald test for symmetry and homogeneity when the data are cointegrated. A fully-modified estimator is developed in an attempt to remedy these problems. It is shown that this estimator reduces the small sample bias but fails to eliminate the size distortion. Bootstrapping is shown to be ineffective as a method of removing small sample bias in both the conventional and fully modified estimators. Bootstrapping is effective however as a method of removing the size distortion and performs equally well in this respect with both estimators.

Keywords: AIDS ; cointegration ; fully modified estimation ; bootstrapping

Subject(s): Demand and Price Analysis

Issue Date: 2003

Publication Type: Conference Paper/ Presentation

PURL Identifier: http://purl.umn.edu/25845

Total Pages: 25

Series Statement: Contributed Paper

Record appears in: International Association of Agricultural Economists (IAAE) > 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa





Author: Tiffin, J. Richard ; Balcombe, Kelvin George

Source: http://ageconsearch.umn.edu/record/25845?ln=en







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