Artikel
Estimating the competitive storage model with stochastic trends in commodity prices
We propose a State-Space Model (SSM) for commodity prices that combines the competitive storage model with a stochastic trend. This approach fits into the economic rationality of storage decisions and adds to previous deterministic trend specifications of the storage model. For a Bayesian posterior analysis of the SSM, which is nonlinear in the latent states, we used a Markov chain Monte Carlo algorithm based on the particle marginal Metropolis-Hastings approach. An empirical application to four commodity markets showed that the stochastic trend SSM is favored over deterministic trend specifications. The stochastic trend SSM identifies structural parameters that differ from those for deterministic trend specifications. In particular, the estimated price elasticities of demand are typically larger under the stochastic trend SSM.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 9 ; Year: 2021 ; Issue: 4 ; Pages: 1-24 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
Bayesian posterior analysis
commodity price dynamics
particle marginal Metropolis-Hastings
state-space model
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Osmundsen, Kjartan Kloster
Kleppe, Tore Selland
Liesenfeld, Roman
Oglend, Atle
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2021
- DOI
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doi:10.3390/econometrics9040040
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Osmundsen, Kjartan Kloster
- Kleppe, Tore Selland
- Liesenfeld, Roman
- Oglend, Atle
- MDPI
Entstanden
- 2021
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