Time-Series Estimation of Structural Import Demand Equations: A Cross-Country Analysis

October 1, 1997

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Abdelhak S Senhadji. Time-Series Estimation of Structural Import Demand Equations: A Cross-Country Analysis, (USA: International Monetary Fund, 1997) accessed November 21, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper derives a structural import demand equation and estimates it for a large number of countries, using recent time series techniques that address the problem of nonstationarity. Because the statistical properties of the different estimators have been derived only asymptotically, econometric theory does not offer any guidance when it comes to comparing different estimators in small samples. Consequently, the paper derives the small-sample properties of both the ordinary-least-squares (OLS) and the fully-modified (FM) estimators using Monte Carlo methods. It is shown that FM dominates OLS for both the short- and long-run elasticities.

Subject: Foreign exchange, Import prices, Imports, International trade, National accounts, Personal income, Price elasticity, Prices, Real exchange rates

Keywords: Africa, Cointegration, Dependent variable, Import demand elasticity estimate, Import demand equation, Import prices, Imports, Income and Price Elasticities, Income elasticity, Long-run elasticity, Monte Carlo Methods, Personal income, Price elasticity, Real exchange rates, Structural Import Demand, T-statistic distribution, WP

Publication Details

Pages:

29
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 1997/132
Stock No:

WPIEA1321997
ISBN:

9781451855340
ISSN:

1018-5941

Notes

Also published in Staff Papers, Vol. 45, No. 2, June 1998.

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