Discussion Papers no. 283

Tests using cointegrated VAR models

Expectations in export price formation

Publisert:

Åpne og les publikasjonen i PDF (22 sider)

The formation of export prices is an area in which the linear quadratic adjustment cost (LQAC) model under rational expectations may be relevant in practice. This paper evaluates the empirical performance of the LQAC-model using Norwegian data and a new testing procedure suggested by Johansen and Swensen (1999). We find, however, that the model can be rejected for our data set. Conversely, we show in light of Hendry (1988) that there exists a data-coherent conditional equilibrium correction (EqCM) model, which is not subject to the Lucas critique. Our findings do not support the claim that Norwegian exporters act on expectations based models in the formation of prices.

Om publikasjonen

Tittel

Expectations in export price formation. Tests using cointegrated VAR models

Ansvarlige

Pål Boug, Anders Rygh Swensen, Ådne Cappelen

Serie og -nummer

Discussion Papers no. 283

Utgiver

Statistics Norway, Research Department

Emne

Discussion Papers

Antall sider

22

Målform

Engelsk

Om Discussion Papers

Discussion papers comprise research papers intended for international journals and books. A preprint of a Discussion Paper may be longer and more elaborate than a standard journal article as it may include intermediate calculations, background material etc.

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