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Erscheinungsjahr: 
2000
Schriftenreihe/Nr.: 
Discussion Papers No. 283
Verlag: 
Statistics Norway, Research Department, Oslo
Zusammenfassung: 
The 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.
Schlagwörter: 
Expectations
export prices
LQAC-model
cointegrated VAR
EqCM-model
exogeneity
Lucas critique.
JEL: 
C51
C52
D84
E31
Dokumentart: 
Working Paper

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