Unit Roots and the Demand for Cigarettes in Turkey: Pitfalls and Possibilities

19 Pages Posted: 21 Mar 2011

See all articles by Katarina Juselius

Katarina Juselius

University of Copenhagen - Department of Economics

Date Written: January 21, 2001

Abstract

The partial adjustment model for cigarette demand in Tansel (1993) is formulated as a restriction on the more general VAR model. The question whether the Tansel estimation results are spurious as claimed by Cameron and Collins (1998) is addressed in this framework. The role of intervention dummies and data transformations for the cointegration results is discussed in some detail. Finally, a more general model is estimated and two steady-state relations measuring demand and supply behaviour in the cigarette market are identified.

Keywords: Partial Adjustment Models, Cointegrated VAR, Intervention Dummies, Data Transformations, Identification

JEL Classification: C3, E3

Suggested Citation

Juselius, Katarina, Unit Roots and the Demand for Cigarettes in Turkey: Pitfalls and Possibilities (January 21, 2001). University of Copenhagen Dept. of Economics Discussion Paper No. 01-02, Available at SSRN: https://ssrn.com/abstract=1791676 or http://dx.doi.org/10.2139/ssrn.1791676

Katarina Juselius (Contact Author)

University of Copenhagen - Department of Economics ( email )

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