Estimation with price and output uncertainty
AbstractThis paper extends the existing estimation methods to allow estimation under simultaneous price and output uncertainty. In contrast with the previous literature, our approach is applicable to the direct and indirect utility functions and does not require specification and estimation of the production function. We derive estimating equations for the two most common forms of output risk (additive and multiplicative risks) and empirically determine which form is appropriate. Moreover, our estimation method can be utilized by future empirical studies in several ways. First, our method can be extended to include multiple sources of uncertainty. Second, it is applicable to other specifications of output uncertainty. Third, it can be used to conduct hypothesis tests regarding the functional forms and distributions. Furthermore, it enables the future empirical researcher to empirically verify/ refute the theoretical comparative statics results.
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Bibliographic InfoArticle provided by Universidad del CEMA in its journal Journal of Applied Economics.
Volume (Year): VIII (2005)
Issue (Month): (November)
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More information through EDIRC
estimating equations; output uncertainty; price uncertainty; utility;
Find related papers by JEL classification:
- D8 - Microeconomics - - Information, Knowledge, and Uncertainty
- D2 - Microeconomics - - Production and Organizations
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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"Estimation Of Moments And Production Decisions Under Uncertainty,"
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- Antonovitz, Frances & Roe, Terry, 1986.
"A Theoretical and Empirical Approach to the Value of Information in Risky Markets,"
The Review of Economics and Statistics,
MIT Press, vol. 68(1), pages 105-14, February.
- Antonovitz, Frances & Roe, Terry L., 1984. "A Theoretical And Empirical Approach To The Value Of Information In Risky Markets," Staff Papers 13467, University of Minnesota, Department of Applied Economics.
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- Dalal, Ardeshir, 1990. "Symmetry Restrictions in the Analysis of the Competitive Firm under Price Uncertainty," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(1), pages 207-11, February.
- Alghalith, Moawia & Dalal, Ardeshir, 2009. "The choice between multiplicative and additive production uncertainty," Economic Modelling, Elsevier, vol. 26(5), pages 1129-1133, September.
- Moawia Alghalith, 2010. "A test of statistical independence under uncertainty," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 1(3/4), pages 343-345.
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