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Estimating the linear-quadratic inventory model Maximum likelihood versus generalized method of moments

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Cited by:

  1. Athanasopoulos, George & de Carvalho Guillén, Osmani Teixeira & Issler, João Victor & Vahid, Farshid, 2011. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Journal of Econometrics, Elsevier, vol. 164(1), pages 116-129, September.
  2. Zivot, Eric & Startz, Richard & Nelson, Charles R, 1998. "Valid Confidence Intervals and Inference in the Presence of Weak Instruments," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1119-1146, November.
  3. Paloviita, Maritta, 2008. "Dynamics of inflation expectations in the euro area," Scientific Monographs, Bank of Finland, number 40/2008.
  4. Galí, Jordi & Gertler, Mark, 1999. "Inflation Dynamics: A Structural Economic Analysis," CEPR Discussion Papers 2246, C.E.P.R. Discussion Papers.
  5. Joseph P. Byrne & Alexandros Kontonikas & Alberto Montagnoli, 2013. "International Evidence on the New Keynesian Phillips Curve Using Aggregate and Disaggregate Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(5), pages 913-932, August.
  6. Charlotta Groth & Hashmat Khan, 2010. "Investment Adjustment Costs: An Empirical Assessment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(8), pages 1469-1494, December.
  7. Sampi Bravo,James Robert Ezequiel & Jooste,Charl & Vostroknutova,Ekaterina, 2021. "Identification Properties for Estimating the Impact of Regulation on Markups and Productivity," Policy Research Working Paper Series 9523, The World Bank.
  8. Jondeau, E. & Le Bihan, H., 2001. "Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US Data," Working papers 86, Banque de France.
  9. Katarína Danišková & Jarko Fidrmuc, 2011. "Inflation Convergence and the New Keynesian Phillips Curve in the Czech Republic," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 5(2), pages 099-115, August.
  10. Gomes, Fábio Augusto Reis & Ribeiro, Priscila Fernandes, 2015. "Estimating the elasticity of intertemporal substitution taking into account the precautionary savings motive," Journal of Macroeconomics, Elsevier, vol. 45(C), pages 108-123.
  11. Paloviita, Maritta, 2008. "Estimating open economy Phillips curves for the euro area with directly measured expectations," Bank of Finland Research Discussion Papers 16/2008, Bank of Finland.
  12. Daria Finocchiaro & Virginia Queijo Heideken, 2013. "Do Central Banks React to House Prices?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(8), pages 1659-1683, December.
  13. repec:zbw:bofism:2005_032 is not listed on IDEAS
  14. Emmanuel U. Haruna, 2023. "The multidimensional effect of financial development on the shadow economy in Africa: A dynamic panel analysis approach," International Economics and Economic Policy, Springer, vol. 20(2), pages 327-365, May.
  15. Gilchrist, Simon & Himmelberg, Charles P., 1995. "Evidence on the role of cash flow for investment," Journal of Monetary Economics, Elsevier, vol. 36(3), pages 541-572, December.
  16. Eric JONDEAU & Herve LE BIHAN, 2003. "ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the "New Phillips Curve")," Econometrics 0303006, University Library of Munich, Germany.
  17. John D Tsoukalas, 2005. "Modelling manufacturing inventories," Bank of England working papers 284, Bank of England.
  18. Isakova, Asel, 2010. "Currency substitution in the economies of Central Asia : how much does it cost?," BOFIT Discussion Papers 14/2010, Bank of Finland, Institute for Economies in Transition.
  19. James M. Nason & Gregor W. Smith, 2008. "Identifying the new Keynesian Phillips curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 525-551.
  20. Jean Imbs & Eric Jondeau & Florian Pelgrin, 2006. "Aggregating Phillips curves," 2006 Meeting Papers 640, Society for Economic Dynamics.
  21. Kuikeu, Oscar, 2011. "Arguments contre la zone franc [Against the cfa franc zone]," MPRA Paper 33710, University Library of Munich, Germany.
  22. André Kurmann, 2004. "Maximum Likelihood Estimation of Dynamic Stochastic Theories with an Application to New Keynesian Pricing," Cahiers de recherche 0421, CIRPEE.
  23. Liu, Wen-Hsien & Chung, Ching-Fan & Chang, Kuang-Liang, 2013. "Inventory change, capacity utilization and the semiconductor industry cycle," Economic Modelling, Elsevier, vol. 31(C), pages 119-127.
  24. Chistiano, Lawrence J & den Haan, Wouter J, 1996. "Small-Sample Properties of GMM for Business-Cycle Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 309-327, July.
  25. Henzel, Steffen & Wollmershäuser, Timo, 2008. "The New Keynesian Phillips curve and the role of expectations: Evidence from the CESifo World Economic Survey," Economic Modelling, Elsevier, vol. 25(5), pages 811-832, September.
  26. Linde, Jesper, 2005. "Estimating New-Keynesian Phillips curves: A full information maximum likelihood approach," Journal of Monetary Economics, Elsevier, vol. 52(6), pages 1135-1149, September.
  27. Durlauf, Steven N. & Maccini, Louis J., 1995. "Measuring noise in inventory models," Journal of Monetary Economics, Elsevier, vol. 36(1), pages 65-89, August.
  28. Fuhrer, Jeffrey C. & Rudebusch, Glenn D., 2004. "Estimating the Euler equation for output," Journal of Monetary Economics, Elsevier, vol. 51(6), pages 1133-1153, September.
  29. Daniele Coen-Pirani, 2004. "Markups, Aggregation, and Inventory Adjustment," American Economic Review, American Economic Association, vol. 94(5), pages 1328-1353, December.
  30. Andrei Semenov, 2004. "Asset Pricing with Idiosyncratic Consumption Risk and Limited Participation," Working Papers 2004_1, York University, Department of Economics.
  31. Jeffrey C. Fuhrer, 2000. "Habit Formation in Consumption and Its Implications for Monetary-Policy Models," American Economic Review, American Economic Association, vol. 90(3), pages 367-390, June.
  32. Nihed Ben Khalifa & Abdessalem Abbassi & Ahlem Dakhlaoui, 2024. "Evaluating the Impacts of Subsidy Removal by Using a Linear-Quadratic Storage Model: the Case of Tunisian Sugar Industry," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(1), pages 4673-4690, March.
  33. Ruge-Murcia, Francisco J., 2007. "Methods to estimate dynamic stochastic general equilibrium models," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2599-2636, August.
  34. Mollick, Andre Varella, 2004. "Production smoothing in the Japanese vehicle industry," International Journal of Production Economics, Elsevier, vol. 91(1), pages 63-74, September.
  35. Jeffrey C. Fuhrer & Giovanni P. Olivei, 2005. "Estimating forward-looking Euler equations with GMM estimators: an optimal-instruments approach," Proceedings, Board of Governors of the Federal Reserve System (U.S.), pages 87-114.
  36. Cogley, Timothy, 2001. "Estimating and testing rational expectations models when the trend specification is uncertain," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1485-1525, October.
  37. Waqas Ahmed & Adnan Haider & Javed Iqbal, 2012. "Estimation of Discount Factor ß and Coefficient of Relative Risk Aversion ? in Selected Countries," Working Papers id:5087, eSocialSciences.
  38. Louis J. Maccini & Bartholomew J. Moore & Huntley Schaller, 2004. "The Interest Rate, Learning, and Inventory Investment," American Economic Review, American Economic Association, vol. 94(5), pages 1303-1327, December.
  39. Lawrence J. Christiano & Robert J. Vigfusson, 1999. "Maximum likelihood in the frequency domain: a time to build example," Working Papers (Old Series) 9901, Federal Reserve Bank of Cleveland.
  40. Michelle L. Barnes & Fabia Gumbau-Brisa & Denny Lie & Giovanni P. Olivei, 2011. "Estimation of forward-looking relationships in closed form: an application to the New Keynesian Phillips curve," Working Papers 11-3, Federal Reserve Bank of Boston.
  41. Ramey, Valerie A. & West, Kenneth D., 1999. "Inventories," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 13, pages 863-923, Elsevier.
  42. Hasan Bakhshi & Ben Martin & Tony Yates, 2002. "How uncertain are the welfare costs of inflation?," Bank of England working papers 152, Bank of England.
  43. Charlotta Groth & Hashmat Khan, 2007. "Investment adjustment costs: evidence from UK and US industries," Bank of England working papers 332, Bank of England.
  44. Gali, Jordi & Gertler, Mark, 1999. "Inflation dynamics: A structural econometric analysis," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 195-222, October.
  45. Florens, C. & Jondeau, E. & Le Bihan, H., 2001. "Assessing GMM Estimates of the Federal Reserve Reaction Function," Working papers 83, Banque de France.
  46. Gali, Jordi & Gertler, Mark & Lopez-Salido, J. David, 2001. "European inflation dynamics," European Economic Review, Elsevier, vol. 45(7), pages 1237-1270.
  47. Craig Burnside & Martin Eichenbaum, 1994. "Small Sample Properties of Generalized Method of Moments Based Wald Tests," NBER Technical Working Papers 0155, National Bureau of Economic Research, Inc.
  48. Humphreys, Brad R. & Maccini, Louis J. & Schuh, Scott, 2001. "Input and output inventories," Journal of Monetary Economics, Elsevier, vol. 47(2), pages 347-375, April.
  49. Maximilian Koppenberg & Stefan Hirsch, 2022. "Markup estimation: A comparison of contemporary methods at the example of European food retailers," Agribusiness, John Wiley & Sons, Ltd., vol. 38(1), pages 108-133, January.
  50. Steffen Ahrens & Stephen Sacht, 2014. "Estimating a high-frequency New-Keynesian Phillips curve," Empirical Economics, Springer, vol. 46(2), pages 607-628, March.
  51. Luca Fanelli, 2008. "Testing the New Keynesian Phillips Curve Through Vector Autoregressive Models: Results from the Euro Area," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(1), pages 53-66, February.
  52. McAdam, Peter & Willman, Alpo, 2003. "New Keynesian Phillips Curves: a reassessment using euro-area data," Working Paper Series 265, European Central Bank.
  53. Ryan Banerjee & Nicoletta Batini, 2003. "UK Consumers’ Habits," Discussion Papers 13, Monetary Policy Committee Unit, Bank of England.
  54. John Shea, 1997. "Instrument Relevance in Multivariate Linear Models: A Simple Measure," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 348-352, May.
  55. Paolo Surico, 2002. "Inflation Targeting and Nonlinear Policy Rules: the Case of Asymmetric Preferences," Macroeconomics 0210002, University Library of Munich, Germany, revised 23 Feb 2004.
  56. Jeffrey C. Fuhrer, 1998. "An optimizing model for monetary policy analysis: can habit formation help?," Working Papers 98-1, Federal Reserve Bank of Boston.
  57. Ahmed, Waqas & Haider, Adnan & Iqbal, Javed, 2012. "Estimation of discount factor (beta) and coefficient of relative risk aversion (gamma) in selected countries," MPRA Paper 39736, University Library of Munich, Germany.
  58. Giesen, Sebastian & Scheufele, Rolf, 2016. "Effects of incorrect specification on the finite sample properties of full and limited information estimators in DSGE models," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 1-18.
  59. Weber, Christian E., 2002. "Intertemporal non-separability and "rule of thumb" consumption," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 293-308, March.
  60. repec:zbw:bofitp:2010_014 is not listed on IDEAS
  61. Scott Schuh, "undated". "Evidence on the Link between Firm-Level and Aggregate Inventory Behavior," Finance and Economics Discussion Series 1996-46, Board of Governors of the Federal Reserve System (U.S.), revised 10 Dec 2019.
  62. repec:zbw:bofism:2008_040 is not listed on IDEAS
  63. Adrian Pagan, 2007. "Weak instruments (in Russian)," Quantile, Quantile, issue 2, pages 71-81, March.
  64. Paloviita, Maritta, 2005. "The role of expectations in euro area inflation dynamics," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2005_032, July.
  65. Lingjuan Chen & Yijing Zhao & Zupeng Liu & Xinran Yang, 2022. "Construction of Commuters’ Multi-Mode Choice Model Based on Public Transport Operation Data," Sustainability, MDPI, vol. 14(22), pages 1-20, November.
  66. Steffen Henzel & Timo Wollmershäuser, 2006. "The New Keynesian Phillips Curve and the Role of Expectations: Evidence from the Ifo World Economic Survey," CESifo Working Paper Series 1694, CESifo.
  67. Berardi, Michele & Galimberti, Jaqueson K., 2017. "On the initialization of adaptive learning in macroeconomic models," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 26-53.
  68. Abbassi Abdessalem & Gervais Jean-Philippe, 2010. "Evaluating Reforms in Canadian Chicken Marketing Mechanisms Using a Linear-Quadratic Inventory Model," Journal of Agricultural & Food Industrial Organization, De Gruyter, vol. 8(1), pages 1-24, February.
  69. Éric Jondeau & Hervé Le Bihan, 2002. "Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies," Annals of Economics and Statistics, GENES, issue 67-68, pages 357-388.
  70. Otto, Glenn D. & Voss, Graham M., 1998. "Is public capital provision efficient?," Journal of Monetary Economics, Elsevier, vol. 42(1), pages 47-66, June.
  71. Pozzi, Lorenzo, 2003. "The coefficient of relative risk aversion: a Monte Carlo study investigating small sample estimator problems," Economic Modelling, Elsevier, vol. 20(5), pages 923-940, September.
  72. Paloviita, Maritta, 2005. "The role of expectations in euro area inflation dynamics," Scientific Monographs, Bank of Finland, number 2005_032.
  73. Isakova, Asel, 2010. "Currency substitution in the economies of Central Asia: how much does it cost?," BOFIT Discussion Papers 14/2010, Bank of Finland Institute for Emerging Economies (BOFIT).
  74. Gomes, Fábio Augusto Reis & Issler, João Victor, 2009. "Testing the optimality of aggregate consumption decisions: is there rule-of-thumb behavior?," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 682, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  75. Yang, Xiaolou, 2011. "Trade credit versus bank credit: Evidence from corporate inventory financing," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 419-434.
  76. Hamilton, James D., 2002. "On the interpretation of cointegration in the linear-quadratic inventory model," Journal of Economic Dynamics and Control, Elsevier, vol. 26(12), pages 2037-2049, October.
  77. Jondeau, Eric & Le Bihan, Hervé, 2008. "Examining bias in estimators of linear rational expectations models under misspecification," Journal of Econometrics, Elsevier, vol. 143(2), pages 375-395, April.
  78. Daniel Himarios, 2000. "How Forward Looking Are Consumers? Further Evidence for the United States," Southern Economic Journal, John Wiley & Sons, vol. 66(4), pages 991-1000, April.
  79. Paloviita, Maritta, 2008. "Dynamics of inflation expectations in the euro area," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2008_040, July.
  80. Katarína Danišková & Jarko Fidrmuc, 2012. "Meta-Analysis of the New Keynesian Phillips Curve," Working Papers 314, Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies).
  81. Charles A. Fleischman, 1997. "The GMM parameter normalization puzzle," Finance and Economics Discussion Series 1997-43, Board of Governors of the Federal Reserve System (U.S.).
  82. Areosa, Waldyr Dutra & Medeiros, Marcelo, 2007. "Inflation Dynamics in Brazil: The Case of a Small Open Economy," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 27(1), May.
  83. Maritta Paloviita, 2009. "Estimating open economy Phillips curves for the euro area with directly measured expectations," New Zealand Economic Papers, Taylor & Francis Journals, vol. 43(3), pages 233-254.
  84. Kim, Jinill, 2003. "Functional equivalence between intertemporal and multisectoral investment adjustment costs," Journal of Economic Dynamics and Control, Elsevier, vol. 27(4), pages 533-549, February.
  85. Jarko Fidrmuc & Katarína Danišková, 2020. "Meta-Analysis of the New Keynesian Phillips Curve in Developed and Emerging Economies," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(1), pages 10-31, January.
  86. Kamal, Khnd. Md. Mostafa, 2014. "Impact of Imported Intermediate Goods on Inflation Dynamics: Evidence from India," Bangladesh Development Studies, Bangladesh Institute of Development Studies (BIDS), vol. 37(04), pages 53-63, December.
  87. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  88. Paolo Surico, 2004. "Inflation Targeting and Nonlinear Policy Rules: The Case of Asymmetric Preferences (new title: The Fed's monetary policy rule and U.S. inflation: The case of asymmetric preferences)," CESifo Working Paper Series 1280, CESifo.
  89. Kurmann, Andre, 2007. "VAR-based estimation of Euler equations with an application to New Keynesian pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 767-796, March.
  90. Guariglia, Alessandra, 1999. "An analysis of the inventory behavior in a q-theoretic framework," International Journal of Production Economics, Elsevier, vol. 58(2), pages 131-146, January.
  91. repec:zbw:bofrdp:2008_016 is not listed on IDEAS
  92. Júlia Lendvai, 2005. "Hungarian Inflation Dynamics," MNB Occasional Papers 2005/46, Magyar Nemzeti Bank (Central Bank of Hungary).
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