Simulation-based Estimation of Spatial Price Equilibrium Models and Market Integration PDF Download
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Author: Huseyin Tastan
Publisher:
ISBN:
Category :
Languages : en
Pages : 174
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Book Description
Keywords: simulation-based estimation, spatial market integration, indirect inference.
Author: Huseyin Tastan
Publisher:
ISBN:
Category :
Languages : en
Pages : 174
Get Book Here
Book Description
Keywords: simulation-based estimation, spatial market integration, indirect inference.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This dissertation explores the applicability of recently developed simulation-based econometric methods to the analysis of spatial price determination and integration of markets. As such a measure of market integration is developed within the context of well-known point-location competitive price equilibrium model. Two markets are said to be integrated to the extent that an excess demand shock arising in one region is transmitted to the other region. This model imposes the market efficiency (i.e., the law of one price) and explicitly accounts for the nonlinear relationship between prices and underlying variables. A critical distinction from most of the current literature is that market integration is defined and estimated as a degree rather than a binary outcome. Simulation-based estimation approach to spatial market integration can be outlined as follows: summarize the information contained in prices in an auxiliary (reduced) model and match the parameters of the auxiliary model obtained from observed data to the parameters of the same model obtained from simulated data. The particular estimation framework used is known as the extit[indirect inference] methodology. The auxiliary model is chosen as a finite order Gaussian vector auto-regression for prices. The underlying variables, autarky prices and transaction costs, are modelled as low-order vector auto-regression. Transaction costs on each link is modelled as a function of a small number of common factors. After the structural parameter estimates are obtained the measure of market integration is approximated by simple Monte Carlo integration methods. The results from a set of controlled experiments indicate that the estimation strategy works reasonably well. It is also shown that simulation-based estimation methods can be useful for the two-location switching regime models with serially correlated underlying variables.
Author: Christopher B. Barrett
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This article introduces a new spatial price analysis methodology based on maximum likelihood estimation of a mixture distribution model incorporating price, transfer cost, and trade flow data. This method permits differentiation between market integration and competitive market equilibrium and derivation of intuitive measures of intermarket tradability, competitive market equilibrium, perfect integration, segmented equilibrium, and segmented disequilibrium. One can also use these estimates to derive semiparametric measures of time-varying regime probabilities to track changing market conditions. An application to trade in soybean meal among Pacific Rim economies demonstrates the usefulness of the method.
Author: Robert J. Baulch
Publisher:
ISBN:
Category : Food
Languages : en
Pages : 284
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Book Description
Author: Jeroen C.J.M.van den Bergh
Publisher: Springer Science & Business Media
ISBN: 3642800807
Category : Business & Economics
Languages : en
Pages : 396
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Book Description
Prices and quantities of both stock and flow variables in an economic system are decisively influenced by their spatial coordinates. Any equilibrium state also mirrors the underlying spatial structure and a tatonnement process also incorporates the spatial ramifications of consumer and producer behaviour. The recognition ofthe spatial element in the formation of a general equilibrium in a complex space-economy already dates back to early work of LOsch, Isard and Samuelson, but it reached a stage of maturity thanks to the new inroads made by T. Takayama. This book is devoted to spatial economic equilibrium (SPE) analysis and is meant to pay homage to the founding father of modern spatial economic thinking, Professor Takayama. This book witnesses his great talents in clear and rigorous economic thinking regarding an area where for decades many economists have been groping in the dark. Everybody who wants to study the phenomenon of spatial economic equilibrium will necessarily come across Takayama's work, but this necessity is at the same time a great pleasure. Studying his work means a personal scientific enrichment in a field which is still not completely explored. The present volume brings together recent contributions to spatial equilibrium analysis, written by friends and colleagues of Takayama. The structure of the book is based on four main uses of spatial equilibrium models: (i) the imbedding of spatial flows in the economic environment, related to e.g.
Author: Walter C. Labys
Publisher: Springer Science & Business Media
ISBN: 1461551013
Category : Business & Economics
Languages : en
Pages : 180
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Book Description
This book provides a framework for analyzing and forecasting a variety of mineral and energy markets and related industries. Such modeling activity has been at the forefront of the economic and engineering professions for some time, having received a major stimulus fC?llowing the first oil price shock in 1973. Since that time, other shocks have affected these markets and industries, causing disequilibrium economic adjustments which are difficult to analyze and to predict. Moreover, geopolitics remains an important factor which can destabilize crude oil markets and associated refining industries. Mineral and energy modeling, consequently, has become a major interest of energy-related corporations, mining and drilling companies, metal manufacturers, public utilities, investment banks,. national government agencies and international organizations. This book hopes to advance mineral and energy modeling as follows: (1) The modeling process is presented sequentially by leading the model builder from model specification, estimation, simulation, and validation to practical model applications, including explaining history, analyzing policy, and market and price forecasting; (2) New developments in modeling approaches are presented which encompass econometric market and industry models, spatial equilibrium and programming models, optimal resource depletion models, input-output models, economic sector models, and macro oriented energy interaction models (including computable general equilibrium); (3) The verification and application of the models is considered not only individually but also in relation to the performance of alternative modeling approaches; and (4) The modeling framework includes a perspective on new directions, so that the present model building advice will extend into the future.
Author: Luc Anselin
Publisher: Springer Science & Business Media
ISBN: 9783540437291
Category : Business & Economics
Languages : en
Pages : 540
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Book Description
World-renowned experts in spatial statistics and spatial econometrics present the latest advances in specification and estimation of spatial econometric models. This includes information on the development of tools and software, and various applications. The text introduces new tests and estimators for spatial regression models, including discrete choice and simultaneous equation models. The performance of techniques is demonstrated through simulation results and a wide array of applications related to economic growth, international trade, knowledge externalities, population-employment dynamics, urban crime, land use, and environmental issues. An exciting new text for academics with a theoretical interest in spatial statistics and econometrics, and for practitioners looking for modern and up-to-date techniques.
Author: Matthew Shum
Publisher: World Scientific
ISBN: 981310967X
Category : Business & Economics
Languages : en
Pages : 154
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Book Description
Economic Models for Industrial Organization focuses on the specification and estimation of econometric models for research in industrial organization. In recent decades, empirical work in industrial organization has moved towards dynamic and equilibrium models, involving econometric methods which have features distinct from those used in other areas of applied economics. These lecture notes, aimed for a first or second-year PhD course, motivate and explain these econometric methods, starting from simple models and building to models with the complexity observed in typical research papers. The covered topics include discrete-choice demand analysis, models of dynamic behavior and dynamic games, multiple equilibria in entry games and partial identification, and auction models.
Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 756
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Book Description
Author: Bob Baulch
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Conventional tests for food market integration ask, often misleadingly, whether prices in different markets move together. In this paper an alternative methodology, the parity bounds model (PBM) is developed which uses information on transfer costs in addition to food prices to access the efficiency of spatial arbitrage. Monte Carlo experiments using data generated by a point-space spatial price equilibrium model show the PBM to be statistically reliable. An application to Philippine rice markets demonstrates that the PBM detects efficient arbitrage when other tests do not.
