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- Title
ESTIMACIÓN DEL MODELO DE ALMACENAMIENTO UTILIZANDO LA CUADRATURA DE GAUSS-HERMITE PAPA LA DISCRETIZACIÓN DELAS COSECHAS.
- Authors
Vallejos, Ernesto Guerra
- Abstract
Following Bobenrieth (2004) who establishes the importance that the commodity storage model has acquired in a growing number of theoretical and empirical papers, this article contributes with a study of the sensitivity of the estimated parameters and the implications that a more accurate method to estimate the harvest process's distribution would have, especially in the case when the size of the sample is increasing. Deaton and Laroque (1995, 1996) conclude that the commodity price model with rational expectations and competitive storage is unable to explain the high degree of autocorrelation of prices when the production process is independent and identically distributed (i.i.d.). Furthermore, the article written by Cafiero et al. (2009) concludes that when the accuracy of the estimation is improved by using a finer grid, the storage model explains the autocorrelation of prices in five of the thirteen commodities considered by Deaton and Laroque (1995, 1996). Additionally, if the model also considers the presence of a positive marginal cost of storage, Gustafson (1958) argues that the levels of autocorrelation in prices are explained for seven commodities. This paper estimates the storage model considering the Gauss-Hermite quadrature for the discretization of the distribution that characterizes the harvest, following the estimating methodology model of Cafiero et al. (2009) for annual data of real prices of sugar, in different time periods. The paper concludes that the use of Gauss-Hermite quadrature produces no significant changes in the magnitudes of the estimated parameters and the conclusion of Cafiero et al. (2009) for the model's ability to explain the autocorrelation of prices and profits is maintained, in all periods considered.
- Subjects
COMMERCIAL products; AUTOCORRELATION (Statistics); DIRECT costing; PRICE fixing; ADMINISTERED prices; DISTRIBUTION management
- Publication
Economía y Administración, 2009, Vol 46, Issue 72, p47
- ISSN
0716-0100
- Publication type
Article