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Are price hazard functions really decreasing functions in Brazil?

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  • Prince, Diogo de

Abstract

I examine the slope of the price hazard function using microdata for the Brazilian consumer price index. I estimate the price hazard function slope by considering heterogeneity among the items and using a Weibull model with frailty and a finite mixture model (FMM). As in the literature, my results reproduce decreasing hazard functions using a simple Weibull model. However, when I consider heterogeneity among items (using either a Weibull model with frailty or an FMM), the evidence suggests an increasing hazard function. The comparison of the hazard function of the estimated models with the empirical hazard function indicates that the best fit is the Weibull model with frailty, besides the presence of heterogeneity.

Suggested Citation

  • Prince, Diogo de, 2018. "Are price hazard functions really decreasing functions in Brazil?," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 266-276.
    • Handle: RePEc:eee:jmacro:v:57:y:2018:i:c:p:266-276
    DOI: 10.1016/j.jmacro.2018.06.011
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    More about this item

    Keywords

    Hazard function; Heterogeneity; Finite mixture model;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies

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