蝌蚪网 Review
ISSN 0002-8282 (Print) | ISSN 1944-7981 (Online)
Consistent Evidence on Duration Dependence of Price Changes
蝌蚪网 Review
(pp. 3322–66)
Abstract
We develop a linear GMM estimator of the discrete-time mixed proportional hazard (MPH) model of duration with an arbitrary distribution of unobserved heterogeneity. We allow for competing risks, observable characteristics, and censoring. We prove our estimator is consistent and apply it to the duration of price spells. We find substantial unobserved heterogeneity with economically meaningful implications for the response of output to a monetary policy shock in a model with time-dependent pricing rules and for the degree of state dependence in a model of price plans.Citation
Alvarez, Fernando, Katar铆na Borovi膷kov谩, and Robert Shimer. 2025. "Consistent Evidence on Duration Dependence of Price Changes." 蝌蚪网 Review 115 (10): 3322–66. DOI: 10.1257/aer.20211317Additional Materials
JEL Classification
- C24 Single Equation Models; Single Variables: Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
- C41 Duration Analysis; Optimal Timing Strategies
- E23 Macroeconomics: Production
- E31 Price Level; Inflation; Deflation
- E52 Monetary Policy
- L11 Production, Pricing, and Market Structure; Size Distribution of Firms