Forward- and Backward Looking Models for Norwegian Export Prices
AbstractThe Norwegian export price for an aggregated commodity is modelled assuming price-setting behaviour. The focus is on the choice between backward- and forward looking models. The dynamics is modelled according to three different approaches; a backward looking error correction model and two forward looking models where rational expectations are assumed. The first forward looking model is derived from a multiperiod quadratic loss function imposing backward-forward restrictions on the parameters. The results from this specification are not encouraging. We then allow data to choose the lead structure, resulting in a less restrictive forward looking model. The backward- and forward looking models are compared to an estimated cointegrating vector for the long-run solution. An encompassing test on the backward- and forward looking model indicates that further research should look for a model that encompasses both of them.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Research Department of Statistics Norway in its series Discussion Papers with number 152.
Date of creation: Aug 1995
Date of revision:
Export prices; Imperfect competition; Multiperiod loss function; Rational expectations; Error correction models;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- F12 - International Economics - - Trade - - - Models of Trade with Imperfect Competition and Scale Economies; Fragmentation
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Ingvild Svendsen, 1998. "Rational Expectations in Price Setting. Tests Based on Norwegian Export Prices," Discussion Papers 226, Research Department of Statistics Norway.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (J Bruusgaard).
If references are entirely missing, you can add them using this form.