| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7447 |
| DP7447 Frequentist Inference in Weakly Identified DSGE Models | |
| Lutz Kilian; Atsushi Inoue; Pablo A. Guerron-Quintana | |
| 发表日期 | 2009-09-23 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | I present two flexible models of multivariate, count data regression that make use of the Sarmanov family of distributions. This approach overcomes several existing difficulties to extend Poisson regressions to the multivariate case, namely: i) it is able to account for both over and underdispersion, ii) it allows for correlations of any sign among the counts, iii) correlation and dispersion depend on different parameters, and iv) constrained maximum likelihood estimation is computationally feasible. Models can be extended beyond the bivariate case. I estimate the bivariate versions of two of these models to address whether the pricing strategies of competing duopolists in the early U.S. cellular telephone industry can be considered strategic complements or substitutes. I show that a Sarmanov model with double Poisson marginals outperforms the alternative count data model based on a multivariate renewal process with gamma distributed arrival times because the latter imposes very restrictive constraints on the valid range of the correlation coefficients. |
| 主题 | Industrial Organization |
| 关键词 | Sarmanov distributions Double poisson Gamma Multivariate count data models Tariff options |
| URL | https://cepr.org/publications/dp7447 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536298 |
| 推荐引用方式 GB/T 7714 | Lutz Kilian,Atsushi Inoue,Pablo A. Guerron-Quintana. DP7447 Frequentist Inference in Weakly Identified DSGE Models. 2009. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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