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dc.contributor.authorBoug, Pål
dc.contributor.authorCappelen, Ådne
dc.contributor.authorSwensen, Anders Rygh
dc.date.accessioned2011-12-13T09:58:07Z
dc.date.available2011-12-13T09:58:07Z
dc.date.issued2000
dc.identifier.issn1892-753x
dc.identifier.urihttp://hdl.handle.net/11250/180095
dc.description.abstractThe 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. Keywords: Expectations, export prices, LQAC-model, cointegrated VAR, EqCM-model, exogeneity, Lucas critiqueno_NO
dc.language.isoengno_NO
dc.publisherStatistics Norway, Research Departmentno_NO
dc.relation.ispartofseriesDiscussion Papers;No. 283
dc.subjectExport pricesno_NO
dc.subjectEquilibrium correction modelno_NO
dc.subjectCointegrated VARno_NO
dc.subjectLinear quadratic adjustment cost MODELno_NO
dc.subjectJEL classification: C51no_NO
dc.subjectJEL classification: C52no_NO
dc.subjectJEL classification: D84no_NO
dc.subjectJEL classification: E31no_NO
dc.titleExpectations in export price formation tests using cointegrated VAR modelsno_NO
dc.typeWorking paperno_NO
dc.subject.nsiVDP::Social science: 200::Economics: 210::Economics: 212no_NO
dc.source.pagenumber20 s.no_NO


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