Modelling the Dynamics of Market Shares in a Pooled Data Setting

Felicitas Nowak-Lehmann D. (1) , Dierk Herzer (2) , Sebastian Vollmer (3) , Inmaculada Martínez-Zarzoso (4)

1 Economics
2 Economics
3 Economics
4 Economics

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.

Mots clés: Social Sciences & Humanities

Felicitas Nowak-Lehmann D., Dierk Herzer, Sebastian Vollmer, Inmaculada Martínez-Zarzoso. Modelling the Dynamics of Market Shares in a Pooled Data Setting. Applied Economics, 2009, 43 (7), pp.823. ⟨10.1080/00036840802599925⟩. ⟨hal-00582214⟩