Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5058725 | Economics Letters | 2015 | 4 Pages |
Abstract
In this paper, we consider a model where producers set their prices based on their prediction of the aggregated price level and an exogenous variable, which can be a demand or a cost-push shock. To form their expectations, they use OLS-type econometric learning with bounded memory. We show that the aggregated price follows the random coefficient autoregressive process and we prove that this process is covariance stationary.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Tatiana Damjanovic, Å arÅ«nas GirdÄnas, Keqing Liu,