Consistent Evidence on Duration Dependence of Price Changes

• 成果类型: Article
• 署名作者: Alvarez, Fernando; Borovickova, Katarina; Shimer, Robert
• 署名单位: University of Chicago; Federal Reserve System - USA; Federal Reserve Bank - Richmond
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20211317
• 发表日期: 2025
• 页码: 3322-3366
• 关键词: PROPORTIONAL HAZARDS MODEL; nonparametric identification; monetary nonneutrality; Identifiability; DYNAMICS; COSTS

摘要

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. (JEL C24, C41, E23, E31, E52, L11)