Inflationary Expectations and Price Setting Behavior
This paper tests for the existence of expectational effects in very disaggregate price equations. Price equations are estimated using monthly data for each of forty products. The dynamic specification of the equations is also tested, including whether the equations should be specified in level form or in change form. The results support the hypothesis that aggregate price expectations aff ect individual pricing decisions. The results do not discriminate very w ell between the level and change forms of the price equation, although there is a slight edge for the level form. The lag and lead lengths are not estimated precisely. The average lag length is about thirty-eigh t months, and the average lead length is about five months. Copyright 1993 by MIT Press.
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Volume (Year): 75 (1993)
Issue (Month): 1 (February)
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- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
- Andrews, Donald W. K. & Fair, Ray C., 1992.
"Estimation of polynomial distributed lags and leads with end point constraints,"
Journal of Econometrics,
Elsevier, vol. 53(1-3), pages 123-139.
- Donald W.K. Andrews & Ray C. Fair, 1989. "Estimation of Polynomial Distributed Lags and Leads with End Point Constraints," NBER Technical Working Papers 0079, National Bureau of Economic Research, Inc.
- Fair, Ray C, 1993. "Testing the Rational Expectations Hypothesis in Macroeconometric Models," Oxford Economic Papers, Oxford University Press, vol. 45(2), pages 169-190, April.
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