Estimation of Dynamic Nonlinear Rational Expectations Models of Primary Commodity Markets with Private and Government Stockholding

Mario Miranda () and Joseph W Glauber

The Review of Economics and Statistics, 1993, vol. 75, issue 3, 463-70

Abstract: Stochastic-dynamic programming and disequilibrium maximum likelihood methods are combined to estimate a dynamic nonlinear rational expectations model of a market for a storable primary commodity. The estimation model captures the inherently nonlinear structure of private stockholding dynamics, the disequilibrium effects of government buffer stock intervention, and the impact of price expectations and risk on private supply and stockholding decisions. Copyright 1993 by MIT Press.

Date: 1993
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Working Paper: Estimation of Dynamic Nonlinear Rational Expectations Models for Primary Commodity Markets with Private and Government Stockholding (1991)
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