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European Review of Agriculture Economics Vol 30 (2) (2003) pp.241-270
© 2003 Oxford University Press and the Foundation for the European Review of Agricultural Economics

Time-varying coefficients in the Almost Ideal Demand System: an empirical appraisal

Mario Mazzocchi

University of Reading, Reading, UK

Summary

This paper provides a generalisation of the structural time series version of the Almost Ideal Demand System (AIDS) that allows for time-varying coefficients (TVC/AIDS) in the presence of cross-equation constraints. An empirical appraisal of the TVC/AIDS is made using a dynamic AIDS with trending intercept as the baseline model with a data set from the Italian Household Budget Survey (1986–2001). The assessment is based on four criteria: adherence to theoretical constraints, statistical diagnostics on residuals, forecasting performance and economic meaningfulness. No clear evidence is found for superior performance of the TVC/AIDS, apart from improved short-term forecasts.

Keywords: structural change, almost ideal demand system, theoretical restrictions, food demand, structural time series models


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