カナザワ,ユウイチロウ   KANAZAWA, Yuichiro
  金澤 雄一郎
   所属   国際基督教大学教養学部 アーツ・サイエンス学科
   職種   教授
言語種別 英語
発行・発表の年月 2014/12
形態種別 研究論文
標題 Estimating the Markov-switching almost ideal demand systems: a Bayesian approach
執筆形態 共著
掲載誌名 Empirical Economics
掲載区分国外
出版社・発行元 Springer
巻・号・頁 47(4),pp.1193-1220
著者・共著者 Satoshi KABE
概要 Allias and Nichèle (Eur Rev Agric Econ, 34(4):517–538, 2007) proposed a Markov-switching almost ideal demand system (MS-AIDS) model by extending the idea of Hamilton (Econometrica, 57(2):357–384, 1989). In this paper, we propose a Bayesian estimation for MS-AIDS model and illustrate applicability of our proposed method. We then run two sets of simulation studies to confirm the validity of the proposed method. In the empirical study on the Japanese meat market, our Bayesian estimation improves the MSEs for all meat products over the ML estimation, while successfully capturing the regime shifts of meat demand coinciding with the timing of bovine spongiform encephalopathy cases in Japan and US.
DOI https://doi.org/10.1007/s00181-013-0777-3