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Estimation of Dynamic Decision Models with Corner Solutions : A Model of Price and Inventory Decisions

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Author Info
Aguirregabiria, V

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Abstract

This paper proposes and applies a method of moments to estimate dynamic decision models with corner solutions. The method is applied to estimate a model of price and inventory decisions using data of individual goods from a supermarket chain.

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Publisher Info
Paper provided by University of Western Ontario, Department of Economics in its series UWO Department of Economics Working Papers with number 9602.

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Length: 47 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:uwo:uwowop:9602

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Postal: Department of Economics, Reference Centre, Social Science Centre, University of Western Ontario, London, Ontario, Canada N6A 5C2
Phone: 519-661-2111 Ext.85228
Web page: http://economics.uwo.ca/econref/WorkingPapers/

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Related research
Keywords: ECONOMETRICS INFLATION PRICING RETAIL TRADE WHOLESALE TRADE

Other versions of this item:

Find related papers by JEL classification:
C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models
C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models
D92 - Microeconomics - - Intertemporal Choice and Growth - - - Intertemporal Firm Choice and Growth, Investment, or Financing
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
L81 - Industrial Organization - - Industry Studies: Services - - - Retail and Wholesale Trade; e-Commerce

References listed on IDEAS
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  1. Cecchetti, Stephen G., 1986. "The frequency of price adjustment : A study of the newsstand prices of magazines," Journal of Econometrics, Elsevier, vol. 31(3), pages 255-274, April. [Downloadable!] (restricted)
  2. Rust, John, 1987. "Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher," Econometrica, Econometric Society, vol. 55(5), pages 999-1033, September. [Downloadable!] (restricted)
  3. repec:att:wimass:19916 is not listed on IDEAS
  4. Anil K. Kashyap, 1991. "Sticky prices: new evidence from retail catalogs," Working Paper Series, Macroeconomic Issues 91-26, Federal Reserve Bank of Chicago.
    Other versions:
  5. Ariel Pakes, 1991. "Dynamic Structural Models: Problems and Prospects. Mixed Continuous Discrete Controls and Market Interactions," Cowles Foundation Discussion Papers 984, Cowles Foundation, Yale University. [Downloadable!]
  6. Newey, Whitney K., 1984. "A method of moments interpretation of sequential estimators," Economics Letters, Elsevier, vol. 14(2-3), pages 201-206. [Downloadable!] (restricted)
  7. Lach, Saul & Tsiddon, Daniel, 1992. "The Behavior of Prices and Inflation: An Empirical Analysis of Disaggregated Price Data," Journal of Political Economy, University of Chicago Press, vol. 100(2), pages 349-89, April. [Downloadable!] (restricted)
  8. Eckstein, Zvi & Wolpin, Kenneth I, 1989. "Dynamic Labour Force Participation of Married Women and Endogenous Work Experience," Review of Economic Studies, Blackwell Publishing, vol. 56(3), pages 375-90, July.
  9. Slade, M.E., 1992. "Sticky Prices in a Dynamic Oligopoly; An Empirical Investigation of Fixed and Variable Adjustment Costs," UBC Departmental Archives 92-06, UBC Department of Economics.
    Other versions:
  10. Rust, J., 1992. "Do Peaple Behave According to Bellman's Principle of Optimality," Papers e-92-10, Stanford - Hoover Institution.
  11. Pakes, Ariel S, 1986. "Patents as Options: Some Estimates of the Value of Holding European Patent Stocks," Econometrica, Econometric Society, vol. 54(4), pages 755-84, July. [Downloadable!] (restricted)
  12. Sheshinski, Eytan & Weiss, Yoram, 1983. "Optimum Pricing Policy under Stochastic Inflation," Review of Economic Studies, Blackwell Publishing, vol. 50(3), pages 513-29, July. [Downloadable!] (restricted)
  13. Das, Sanghamitra, 1992. "A Micro-econometric Model of Capital Utilization and Retirement: The Case of the U.S. Cement Industry," Review of Economic Studies, Blackwell Publishing, vol. 59(2), pages 277-97, April. [Downloadable!] (restricted)
  14. Ariel Pakes, 1986. "Patents as Options: Some Estimates of the Value of Holding European Patent Stocks," NBER Working Papers 1340, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  15. Sheshinski, Eytan & Weiss, Yoram, 1977. "Inflation and Costs of Price Adjustment," Review of Economic Studies, Blackwell Publishing, vol. 44(2), pages 287-303, June. [Downloadable!] (restricted)
  16. Hotz, V Joseph & Robert A. Miller & Seth Sanders & Jeffrey Smith, 1994. "A Simulation Estimator for Dynamic Models of Discrete Choice," Review of Economic Studies, Blackwell Publishing, vol. 61(2), pages 265-89, April. [Downloadable!] (restricted)
    Other versions:
  17. Hotz, V Joseph & Miller, Robert A, 1993. "Conditional Choice Probabilities and the Estimation of Dynamic Models," Review of Economic Studies, Blackwell Publishing, vol. 60(3), pages 497-529, July. [Downloadable!] (restricted)
  18. Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-86, September. [Downloadable!] (restricted)
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