Modelling the dynamics of market shares in a pooled data setting: econometric and empirical issues

The objective of this paper is twofold. First, it is to study the applicability of the widely used Autoregressive Distributed Lag Model (ARDL) in a pooled data setting. Second, it is to analyse Chile’s market shares in the EU during the period 1988 to 2002, pointing to application problems that might jeopardise 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 Generalised Least Squares (FGLS) is utilised within the Three-Stage Least Squares (3SLS) and the non-standard Generalised Method of Moments (GMM) frameworks. A computation of errors is added to highlight the susceptibility of the model to problems related to the underlying model assumptions.