Demand systems with heteroscedastic disturbances
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DOI: 10.1007/s00181-018-1599-0
Abstract: We address the estimation of singular demand systems with heteroscedastic disturbances. We relax the homoscedasticity assumption and instead assume that the covariance matrix of the errors of the demand system is time varying. In doing… read more here.
Keywords: demand system; demand systems; systems heteroscedastic; heteroscedastic disturbances ... See more keywords