Estimating the Competitive Storage Model with Trending Commodity Prices

Article English OPEN
Gouel , Christophe; LEGRAND , Nicolas;
(2017)
  • Publisher: Wiley
  • Related identifiers: doi: 10.1002/jae.2553
  • Subject: stockage | Trend | matière première | prix | Commodity prices;Non-linear dynamic models;Storage;Structural estimation;Trend | storage | raw materials | JEL : C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C51 - Model Construction and Estimation | modèle non linéaire | [ SHS.ECO ] Humanities and Social Sciences/Economies and finances | Non-linear dynamic models | JEL : C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C52 - Model Evaluation, Validation, and Selection | Commodity prices | non linear model | JEL : Q - Agricultural and Natural Resource Economics • Environmental and Ecological Economics/Q.Q1 - Agriculture/Q.Q1.Q11 - Aggregate Supply and Demand Analysis • Prices | Structural estimation | prices

We present a method to estimate jointly the parameters of a standard commodity storage model and the parameters characterizing the trend in commodity prices. This procedure allows the influence of a possible trend to be removed without restricting the model specificatio... View more
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