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Forward- and Backward Looking Models for Norwegian Export Prices

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    Abstract

    The 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.

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    File URL: http://www.ssb.no/a/publikasjoner/pdf/DP/dp_152.pdf
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    Bibliographic Info

    Paper provided by Research Department of Statistics Norway in its series Discussion Papers with number 152.

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    Date of creation: Aug 1995
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    Handle: RePEc:ssb:dispap:152

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    Related research

    Keywords: Export prices; Imperfect competition; Multiperiod loss function; Rational expectations; Error correction models;

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    Cited by:
    1. Ingvild Svendsen, 1998. "Rational Expectations in Price Setting. Tests Based on Norwegian Export Prices," Discussion Papers 226, Research Department of Statistics Norway.

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