Estimating a nonlinear rational expectations commodity price model with unobservable state variables (replication data)

DOI

This paper is concerned with the estimation of a model in which a possibly serially correlated stochastic process, the harvest of an agricultural commodity, generates a competitive price in a market comprising both final consumers and risk-neutral speculators who can store the commodity at a cost in the anticipation of profit. Because storage cannot be negative, the relationship between prices and harvests is inherently nonlinear and is an unpromising candidate for a linear-quadratic model, or for linearization more generally. Instead, we calculate numerically a policy function in which price is a function of two unobservable state variables, the harvest and current availability, and we use the result to fit the price data.

Identifier
DOI https://doi.org/10.15456/jae.2022313.1131979979
Metadata Access https://www.da-ra.de/oaip/oai?verb=GetRecord&metadataPrefix=oai_dc&identifier=oai:oai.da-ra.de:776452
Provenance
Creator Deaton, Angus; Laroque, Guy
Publisher ZBW - Leibniz Informationszentrum Wirtschaft
Publication Year 1995
Rights Creative Commons Attribution 4.0 (CC-BY); Download
OpenAccess true
Contact ZBW - Leibniz Informationszentrum Wirtschaft
Representation
Language English
Resource Type Collection
Discipline Economics