Estimation of Dynamic Nonlinear Rational Expectations Models for Primary Commodity Markets with Private and Government Stockholding

Stochastic-dynamic programming and disequilibrium econometric methods are combined to obtain maximum likelihood estimates of a dynamic nonlinear rational expectations model of a market for a storable primary commodity. The structural model captures the essential processes governing the dynamics of primary commodity markets including: the nontrivial role of private stockholding, the disequilibrium effects of government intervention, and the impact of expectations and risk on private supply and stockholding decisions.


Issue Date:
Aug 04 1991
Publication Type:
Conference Paper/ Presentation
Record Identifier:
http://ageconsearch.umn.edu/record/271242
Language:
English
Total Pages:
31




 Record created 2018-04-12, last modified 2018-04-12

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