Estimating Dynamic Dual Models under Nonstatic Expectations
推导了非静态价格预期下代理人动态决策规则的方程组，基于企业调整成本模型建立可积条件，并用美国农业生产数据估计了一个两阶段计量模型，发现非静态价格预期的存在证据。
Abstract In this paper we derive a system of equations depicting agents' dynamic decision rules under nonstatic price expectations. Based on the adjustment cost model of the firm, the integrability conditions which can serve to guide the specification of flexible functional forms are established. A two‐stage econometric model permitting empirical examination of both the expectations formation process and the dynamic structure of the industry is estimated using two different data series for U.S. production agriculture. The estimation results suggest evidence of the presence of nonstatic price expectations in dynamic dual models for U.S. production agriculture.