Mixed Frequency Data in a Heterogenous Sticky Price Model

Jonas Andersson (), Øivind Anti Nilsen () and Hans Julius Skaug ()
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Jonas Andersson: Dept. of Business and Management Science, Norwegian School of Economics and Business Administration, Postal: NHH, Department of Business and Management Science, Helleveien 30, N-5045 Bergen, Norway, https://www.nhh.no/en/employees/faculty/jonas-andersson/
Øivind Anti Nilsen: Dept. of Economics, Norwegian School of Economics and Business Administration, Postal: NHH, Department of Economics, Helleveien 30, N-5045 Bergen, Norway, https://www.oivindnilsen.com/home
Hans Julius Skaug: Dept. of Mathematics, University of Bergen, Postal: UiB, Department of Mathematics, Postbox 7803, N-5020 Bergen, Norway, https://www4.uib.no/finn-ansatte/Hans.Julius.Skaug

No 21/2025, Discussion Paper Series in Economics from Norwegian School of Economics, Department of Economics

Abstract: We develop a model to estimate price-adjustment behavior when prices are observed more frequently than key explanatory variables such as wage costs. We propose a mixedfrequency stochastic (S, s)-model that accommodates infrequently observed costs and allows for plant-, product-, and season-specific heterogeneity. The model is estimated using a likelihood-based nonlinear state-space approach, enabling estimation as if all variables were observed at the same frequency. Applied to monthly price survey data matched with plant-level annual cost data for manufacturing producers, the model yields precise estimates of both cost pass-through and price-inaction thresholds, and reduces the blurring of intermittent price changes.

Keywords: Latent Variables; Pass-Through; Panel Data (search for similar items in EconPapers)
JEL-codes: C34 D43 E31 E37 L16 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2025-12-30
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