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A modified logit model for time series with an application to the pricing behaviour of manufacturing firms in Australia

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  • Chris M. Alaouze

Abstract

The modified logit model (Amemiya and Nold, 1975) is generalised to the case where the error term is autocorrelated. The asymptotic distribution (as n →∞ and T →∞) of a feasible GLS estimator of β is derived. Tests of linear restrictions on β and the significance of ρ are presented. The results of the applied work suggest that the factors which explain the pricing behaviour of manufacturing firms, as reported in the tendency survey conducted by the Australian Chamber of Commerce and Industry and the Westpac Banking Corporation, include historical inflation rates of up to 7 quarters and capacity utilisation. Copyright Springer-Verlag Berlin Heidelberg 2003

Suggested Citation

  • Chris M. Alaouze, 2003. "A modified logit model for time series with an application to the pricing behaviour of manufacturing firms in Australia," Empirical Economics, Springer, vol. 28(3), pages 599-613, July.
    • Handle: RePEc:spr:empeco:v:28:y:2003:i:3:p:599-613
    DOI: 10.1007/s001810200148
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    References listed on IDEAS

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    1. repec:bla:ecorec:v:55:y:1979:i:149:p:136-48 is not listed on IDEAS
    2. Amemiya, Takeshi & Nold, Frederick C, 1975. "A Modified Logit Model: A Note," The Review of Economics and Statistics, MIT Press, vol. 57(2), pages 255-257, May.
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    8. Eytan Sheshinski & Yoram Weiss (ed.), 1993. "Optimal Pricing, Inflation, and the Cost of Price Adjustment," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262193329, December.
    9. Adrian R Pagan & Anthony D Hall, 1983. "Diagnostic tests as residual analysis," Published Paper Series 1983-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    10. Batchelor, R. A., 1982. "Expectations, output and inflation : The European experience," European Economic Review, Elsevier, vol. 17(1), pages 1-25.
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    Cited by:

    1. Kalyuzhnova, Yelena & Vagliasindi, Maria, 2006. "Capacity utilization of the Kazakhstani firms and the Russian financial crisis: A panel data analysis," Economic Systems, Elsevier, vol. 30(3), pages 231-248, October.

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    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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