The Two Perils of Symmetry-Constrained Estimation of Demand Systems

Part of the Advanced Studies in Theoretical and Applied Econometrics book series (ASTA, volume 25)


When the error covariance matrix Σ of a demand system is unknown and is estimated, (1) symmetry-constrained estimates based on such a Σ estimate may have large mean squared errors, and (2) the conventionally computed standard errors may seriously underestimate the variability of these estimates. Several procedures are compared; the conventional one (which uses a Σ estimate consisting of mean squares and products of LS residuals) performs worst.


Covariance Matrix Demand System Error Covariance Matrix Economic Letter Covariance Matrix Estimator 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Springer Science+Business Media Dordrecht 1992

Authors and Affiliations

  1. 1.University of SydneySydneyAustralia
  2. 2.University of ChicagoChicagoUSA

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