KANAZAWA, Yuichiro
Tokunin Kyoju (Professor by Special Appointment) Division of Arts and Sciences, College of Liberal Arts, International Christian University |
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Language | English |
Publication Date | 2014/12 |
Type | Research Paper |
Title | Estimating the Markov-switching almost ideal demand systems: a Bayesian approach |
Contribution Type | Joint Work |
Journal | Empirical Economics |
Journal Type | Another Country |
Publisher | Springer |
Volume, Issue, Pages | 47(4),pp.1193-1220 |
Author and coauthor | Satoshi KABE |
Details | 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 |