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Mixed Frequency Data in a Heterogenous Sticky Price Model

Author

Listed:
  • Andersson, Jonas

    (Dept. of Business and Management Science, Norwegian School of Economics and Business Administration)

  • Nilsen, Øivind Anti

    (Dept. of Economics, Norwegian School of Economics and Business Administration)

  • Skaug, Hans Julius

    (Dept. of Mathematics, University of Bergen)

Abstract

We develop a model to estimate price-adjustment behavior when prices are observed more frequently than key explanatory variables such as wage costs. We propose a mixedfrequency stochastic (S, s)-model that accommodates infrequently observed costs and allows for plant-, product-, and season-specific heterogeneity. The model is estimated using a likelihood-based nonlinear state-space approach, enabling estimation as if all variables were observed at the same frequency. Applied to monthly price survey data matched with plant-level annual cost data for manufacturing producers, the model yields precise estimates of both cost pass-through and price-inaction thresholds, and reduces the blurring of intermittent price changes.

Suggested Citation

  • Andersson, Jonas & Nilsen, Øivind Anti & Skaug, Hans Julius, 2025. "Mixed Frequency Data in a Heterogenous Sticky Price Model," Discussion Paper Series in Economics 21/2025, Norwegian School of Economics, Department of Economics.
    • Handle: RePEc:hhs:nhheco:2025_021
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    File URL: https://hdl.handle.net/11250/5336872
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    JEL classification:

    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
    • D43 - Microeconomics - - Market Structure, Pricing, and Design - - - Oligopoly and Other Forms of Market Imperfection
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • L16 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Industrial Organization and Macroeconomics; Macroeconomic Industrial Structure

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