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Stochastic Trends, Demographics and Demand Systems

Author

Listed:
  • Clifford Attfield
Abstract
Techniques for determining the number of stochastic trends generating a set of non-stationary panel data are applied to budget shares for a number of commodity groups from the Family Expenditure Survey (FES) for the UK for the years 1973-2001. It is argued that some stochastic trends in macro data are generated by the aggregation of fixed demographic effects in the micro data. From cross section data, fixed effect coefficients are estimated which incorporate both age and income distribution effects. The estimated coefficients are combined with age proportion variables to form a set of I(1) indices for broad commodity groups which are then incorporated into a system of aggregate demand equations. The equations are estimated and tested in a non-stationary time series setting.

Suggested Citation

  • Clifford Attfield, 2004. "Stochastic Trends, Demographics and Demand Systems," Bristol Economics Discussion Papers 04/563, School of Economics, University of Bristol, UK.
    • Handle: RePEc:bri:uobdis:04/563
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    File URL: http://www.bristol.ac.uk/efm/media/workingpapers/working_papers/pdffiles/dp04563.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. L. Pieroni & D. Lanari & L. Salmasi, 2013. "Food prices and overweight patterns in Italy," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 14(1), pages 133-151, February.

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    More about this item

    Keywords

    Demand Equations; Age Demographics; Stochastic Trends.;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • D1 - Microeconomics - - Household Behavior

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