Estimating a nonlinear rational expectations commodity price model with unobservable state variables
作者:
Angus Deaton,
Guy Laroque,
期刊:
Journal of Applied Econometrics
(WILEY Available online 1995)
卷期:
Volume 10,
issue S1
页码: 9-40
ISSN:0883-7252
年代: 1995
DOI:10.1002/jae.3950100503
出版商: Wiley Subscription Services, Inc., A Wiley Company
数据来源: WILEY
摘要:
AbstractThis paper is concerned with the estimation of a model in which a possibly serially correlated stochastic process, the ‘harvest’ of an agricultural commodity, generates a competitive price in a market comprising both final consumers and risk‐neutral speculators who can store the commodity at a cost in the anticipation of profit. Because storage cannot be negative, the relationship between prices and harvests is inherently nonlinear and is an unpromising candidate for a linear‐quadratic model, or for linearization more generally. Instead, we calculate numerically a policy function in which price is a function of two unobservable state variables, the harvest and current availability, and we use the result to fit the pri
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