Conditional Correlation Demand Systems

Computational Economics, Forthcoming

12 Pages Posted: 2 Dec 2018

See all articles by Apostolos Serletis

Apostolos Serletis

University of Calgary - Department of Economics

Libo Xu

University of San Francisco - Department of Economics

Date Written: November 26, 2018

Abstract

We address the estimation of singular demand systems with heteroscedastic disturbances. As in Serletis and Isakin (2017) and Serletis and Xu (2019) we assume that the covariance matrix of the errors of the demand system is time-varying, and contribute to the literature by considering the constant conditional correlation (CCC) and dynamic conditional correlation (DCC) parameterizations of the variance model. We derive a number of important practical results and also provide an empirical application to support our methodology.

Suggested Citation

Serletis, Apostolos and Xu, Libo, Conditional Correlation Demand Systems (November 26, 2018). Computational Economics, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3290687

Apostolos Serletis (Contact Author)

University of Calgary - Department of Economics ( email )

2500 University Drive, NW
Calgary, Alberta T2N 1N4
Canada
403 220-4091 (Phone)
403 282-5262 (Fax)

Libo Xu

University of San Francisco - Department of Economics ( email )

2130 Fulton Street
San Francisco, CA 94117-1080
United States

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