English
 
Help Privacy Policy Disclaimer
  Advanced SearchBrowse

Item

ITEM ACTIONSEXPORT
  The estimation of threshold models in price transmission analysis.

Greb, F., von Cramon-Taubadel, S., Krivobokova, T., & Munk, A. (2013). The estimation of threshold models in price transmission analysis. American Journal of Agricultural Economics, 95(4), 900-916. doi:10.1093/ajae/aat006.

Item is

Files

show Files
hide Files
:
1834505.pdf (Publisher version), 647KB
 
File Permalink:
-
Name:
1834505.pdf
Description:
-
OA-Status:
Visibility:
Restricted (UNKNOWN id 303; )
MIME-Type / Checksum:
application/pdf
Technical Metadata:
Copyright Date:
-
Copyright Info:
-
License:
-
:
1834505_Supp.doc (Supplementary material), 30KB
Name:
1834505_Supp.doc
Description:
-
OA-Status:
Visibility:
Public
MIME-Type / Checksum:
application/msword / [MD5]
Technical Metadata:
Copyright Date:
-
Copyright Info:
-
License:
-

Locators

show
hide
Description:
-
OA-Status:

Creators

show
hide
 Creators:
Greb, F., Author
von Cramon-Taubadel, S., Author
Krivobokova, T., Author
Munk, A.1, Author           
Affiliations:
1Research Group of Statistical Inverse-Problems in Biophysics, MPI for biophysical chemistry, Max Planck Society, ou_1113580              

Content

show
hide
Free keywords: -
 Abstract: The threshold vector error correction model is a popular tool for the analysis of spatial price transmission. In the literature, the profile likelihood estimator is the preferred choice for estimating this model. Yet, in many settings this estimator performs poorly. In particular, if the true thresholds are such that one or more regimes contain only a small number of observations, if unknown model parameters are numerous, or if parameters differ little between regimes, the profile likelihood estimator displays large bias and variance. Such settings are likely when studying price transmission. We analyze the weaknesses of the profile likelihood approach and propose an alternative regularized Bayesian estimator, which was developed for simpler but related threshold models. Simulation results show that the regularized Bayesian estimator outperforms profile likelihood in the estimation of threshold vector error correction models. Two empirical applications demonstrate the relevance of this new estimator for spatial price transmission analysis.

Details

show
hide
Language(s): eng - English
 Dates: 2013-07
 Publication Status: Issued
 Pages: -
 Publishing info: -
 Table of Contents: -
 Rev. Type: Peer
 Identifiers: DOI: 10.1093/ajae/aat006
 Degree: -

Event

show

Legal Case

show

Project information

show

Source 1

show
hide
Title: American Journal of Agricultural Economics
Source Genre: Journal
 Creator(s):
Affiliations:
Publ. Info: -
Pages: - Volume / Issue: 95 (4) Sequence Number: - Start / End Page: 900 - 916 Identifier: -