Forward- and Backward Looking Models for Norwegian Export Prices

Arbeitspapier

The Norwegian export price for an aggregated commodity is modelled assuming price-setting behaviour. The focus is on the choice between backward- and forward looking models. The dynamics is modelled according to three different approaches; a backward looking error correction model and two forward looking models where rational expectations are assumed. The first forward looking model is derived from a multiperiod quadratic loss function imposing backward-forward restrictions on the parameters. The results from this specification are not encouraging. We then allow data to choose the lead structure, resulting in a less restrictive forward looking model. The backward- and forward looking models are compared to an estimated cointegrating vector for the long-run solution. An encompassing test on the backward- and forward looking model indicates that further research should look for a model that encompasses both of them.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Discussion Papers ; No. 152

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Expectations; Speculations ; Models of Trade with Imperfect Competition and Scale Economies; Fragmentation
• Subject: Export prices ; Imperfect competition ; Multiperiod loss function ; Rational expectations ; Error correction models

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Svendsen, Ingvild
• Event: Veröffentlichung
• (who): Statistics Norway, Research Department
• (where): Oslo
• (when): 1995

Further information

• Handle: http://hdl.handle.net/10419/192136
• Last update: 10.03.2025, 11:46 AM CET