ESTIMATION OF DYNAMIC NONLINEAR RATIONAL-EXPECTATIONS MODELS OF PRIMARY COMMODITY-MARKETS WITH PRIVATE AND GOVERNMENT STOCKHOLDING

Authors
MIRANDA MJ GLAUBER JW
Citation
Mj. Miranda et Jw. Glauber, ESTIMATION OF DYNAMIC NONLINEAR RATIONAL-EXPECTATIONS MODELS OF PRIMARY COMMODITY-MARKETS WITH PRIVATE AND GOVERNMENT STOCKHOLDING, Review of economics and statistics, 75(3), 1993, pp. 463-470
Citations number
23
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics
Journal title
Review of economics and statistics → ACNP
ISSN journal
00346535
Volume
75
Issue
3
Year of publication
1993
Pages
463 - 470
Database
ISI
SICI code
0034-6535(1993)75:3<463:EODNRM>2.0.ZU;2-M
Abstract
Stochastic-dynamic programming and disequilibrium maximum likelihood m ethods are combined to estimate a dynamic nonlinear rational expectati ons model of a market for a storable primary commodity. The estimation model captures the inherently nonlinear structure of private stockhol ding dynamics, the disequilibrium effects of government buffeT stock i ntervention, and the impact of price expectations and risk on private supply and stockholding decisions.