Holt, Matthew T. and Balagtas, Joseph V. (2009): Estimating Structural Change with Smooth Transition Regressions: an Application to Meat Demand. Forthcoming in: American Journal of Agricultural Economics , Vol. 91, No. 5 (2009)

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Abstract
This paper explores the role of structural change in systems of demand equations. Specifically, we adapt the time—varying regression framework of Lin and Teräsvirta (1994), which in turn is related to the dynamic smooth transition models introduced by Teräsvirta (1994). Unlike previous efforts at modeling structural change in demand systems, we do not impose the nature of the change to be monotonic—several nonmonotonic alternatives are considered. An application is presented using the Almost Ideal Inverse Demand System (IAIDS) applied to U.S. meat demand data, 19602004. Results show the importance of modeling structural change and that, moreover, the bestfitting model is associated with a form of symmetric, nonmonotonic structural change.
Item Type:  MPRA Paper 

Original Title:  Estimating Structural Change with Smooth Transition Regressions: an Application to Meat Demand 
Language:  English 
Keywords:  Inverse Almost Ideal Demand System; Meat Demand; Structural Change; TimeVarying Regression 
Subjects:  C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables > C32  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models Q  Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q1  Agriculture > Q11  Aggregate Supply and Demand Analysis ; Prices C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General 
Item ID:  15331 
Depositing User:  Matthew T. Holt 
Date Deposited:  21. May 2009 13:58 
Last Modified:  16. Feb 2013 00:50 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/15331 