Cover IMF Working Papers
Time-Series Estimation of Structural Import Demand Equations: A Cross-Country Analysis
Author:
Mr. Abdelhak S Senhadji
Search for other papers by Mr. Abdelhak S Senhadji in
Current site
Google Scholar
PubMedClose
Series:
IMF Working Papers
Volume/Issue:
Volume 1997: Issue 132
Language:
English
Publication Date:
01 Oct 1997
DOI:
https://doi.org/10.5089/9781451855340.001
ISBN:
9781451855340
ISSN:
1018-5941
Pages:
29
Keywords:
WP; dependent variable; income elasticity; Structural Import Demand; Income and Price Elasticities; Cointegration; Monte Carlo Methods; import demand equation; long-run elasticity; import demand elasticity estimate; t-statistic distribution; Imports; Price elasticity; Import prices; Personal income; Real exchange rates; Africa
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
Download PDF (1.1 MB) Download Epub
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.
  • Collapse
  • Expand
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund
Volume 1997: Issue 132