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Modelling the Dynamics of Market Shares in a Pooled Data Setting

[journal article]

Nowak-Lehmann D., Felicitas; Herzer, Dierk; Vollmer, Sebastian; Martínez-Zarzoso, Inmaculada

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Abstract The objective of this paper is twofold: first, to study the applicability of the widely used Autoregressive Distributed Lag Model (ARDL) in a pooled data setting. Second, it is to analyze Chile’s market shares in the EU in the period 1988–2002, pointing to application problems that might jeopardize the model and searching for estimation methods that deal with the problem of inter-temporal and cross-sectional correlation of the disturbances. To estimate the coefficients of the ARDL model, Feasible Generalized Least Squares (FGLS) is utilized within the Three Stage Least Squares (3SLS) framework. A computation of errors is added to highlight the susceptibility of the model to problems related to the underlying model assumptions.
Classification Economic Statistics, Econometrics, Business Informatics; National Economy
Document language English
Publication Year 2009
Page/Pages p. 823-835
Journal Applied Economics, 43 (2009) 7
DOI http://dx.doi.org/10.1080/00036840802599925
ISSN 1466-4283
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)