| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29112 |
| 来源ID | Working Paper 29112 |
| Consistent Evidence on Duration Dependence of Price Changes | |
| Fernando E. Alvarez; Katarína Borovičková; Robert Shimer | |
| 发表日期 | 2021-08-02 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We develop an estimator and tests of a discrete time mixed proportional hazard (MPH) model of duration with unobserved heterogeneity. We allow for competing risks, observable characteristics, and censoring, and we use linear GMM, making estimation and inference straightforward. With repeated spell data, our estimator is consistent and robust to the unknown shape of the frailty distribution. We apply our estimator to the duration of price spells in weekly store data from IRI. We find substantial unobserved heterogeneity, accounting for a large fraction of the decrease in the Kaplan-Meier hazard with elapsed duration. Still, we show that the estimated baseline hazard rate is decreasing and a homogeneous firm model can accurately capture the response of the economy to a monetary policy shock even if there is significant strategic complementarity in pricing. Using competing risks and spell-specific observable characteristics, we separately estimate the model for regular and temporary price changes and find that the MPH structure describes regular price changes better than temporary ones. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Business Cycles ; Monetary Policy |
| URL | https://www.nber.org/papers/w29112 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/586786 |
| 推荐引用方式 GB/T 7714 | Fernando E. Alvarez,Katarína Borovičková,Robert Shimer. Consistent Evidence on Duration Dependence of Price Changes. 2021. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w29112.pdf（1024KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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