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Extending the traditional discrete choice model by incorporating latent psychological factors can help to better understand the individual’s decision-making process and therefore to yield more reliable part-worth estimates and market share predictions. Several integrated choice and latent variable (ICLV) models which merge the conditional logit model with a structural equation model exist in the literature. They assume homogeneity in the part-worths and use latent variables to model the heterogeneity among the respondents. This paper starts from the mixed logit model that describes the heterogeneity in the part-worths and uses the latent variables to decrease the unexplained part of the heterogeneity. The empirical study presented here shows these ICLV models perform very well with respect to model fit and prediction.  相似文献   

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This paper presents a test of the nature of the pricing and promotion game played by supermarket retailers in a large, U.S. market. Using a nested-logit modeling approach, the results show that retailers set discount depth and promotional frequency in a manner that is less competitive than Bertrand. We also find that the elasticity of substitution among competing stores is lower than among products within each store, but not equal to zero. Therefore, sales do cannibalize existing products, but can also build a significant amount of store-traffic. Relative to strategic factors, price promotions have their greatest impact on store-conditional product demand.
Timothy J. RichardsEmail:
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Articles in Marketing and choice literatures have demonstrated the need for incorporating person-level heterogeneity into behavioral models (e.g., logit models for multiple binary outcomes as studied here). However, the logit likelihood extended with a population distribution of heterogeneity doesn’t yield closed-form inferences, and therefore numerical integration techniques are relied upon (e.g., MCMC methods). We present here an alternative, closed-form Bayesian inferences for the logit model, which we obtain by approximating the logit likelihood via a polynomial expansion, and then positing a distribution of heterogeneity from a flexible family that is now conjugate and integrable. For problems where the response coefficients are independent, choosing the Gamma distribution leads to rapidly convergent closed-form expansions; if there are correlations among the coefficients one can still obtain rapidly convergent closed-form expansions by positing a distribution of heterogeneity from a Multivariate Gamma distribution. The solution then comes from the moment generating function of the Multivariate Gamma distribution or in general from the multivariate heterogeneity distribution assumed. Closed-form Bayesian inferences, derivatives (useful for elasticity calculations), population distribution parameter estimates (useful for summarization) and starting values (useful for complicated algorithms) are hence directly available. Two simulation studies demonstrate the efficacy of our approach. JEL Classification C6 · C8 · M3  相似文献   

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We model the effects of variety-seeking and marketing-mix variables on consumers' purchases of coffee using a nested logit model. We premise that on any given purchase occasion, the utilities of brands other than the one purchased on the previous occasion may be correlated due to the consumer's tendency to seek variety or to avoid variety. This results in a two-level hierarchical model where choice on any purchase occasion is conditioned on the brand purchased on the immediately preceding occasion. Such a structure accounts for variety seeking and inertia tendencies of consumers and is consistent with a hierarchical decision process, where consumers first decide whether or not to make a repeat purchase and then decide which brand size to purchase. The assumed hierarchical structure is shown to be consistent with observed coffee purchase behavior, and the model is shown to outperform a nonhierarchical logit model in predicting consumers' brand choices.  相似文献   

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This study develops and estimates a stochastic volatility model of commodity prices that nests many of the previous models in the literature. The model is an affine three‐factor model with one state variable driving the volatility and is maximal among all such models that are also identifiable. The model leads to quasi‐analytical formulas for futures and options prices. It allows for time‐varying correlation structures between the spot price and convenience yield, the spot price and its volatility, and the volatility and convenience yield. It allows for expected mean‐reversion in the short term and for an increasing expected long‐term price, and for time‐varying risk premia. Furthermore, the model allows for the situation in which options' prices depend on risk not fully spanned by futures prices. These properties are desirable and empirically important for modeling many commodities, especially crude oil. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:101–133, 2010  相似文献   

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This article presents a model of commodity price dynamics under the risk‐neutral measure where the spot price switches between two distinct stochastic processes depending on whether or not inventory is being held. Specifically, the drift of the spot price is equal to the cost of carry when the stock is positive. Conversely, whenever the drift of the spot price is less than the cost of carry, no inventory is being held. The properties of the spot price and the forward curves implied by this model are illustrated and analyzed with the use of numerical examples. A comparison with the single‐factor model by E. S. Schwartz (1997) is also provided. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:1025–1044, 2005  相似文献   

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This article studies the ability of an N‐factor Gaussian model to explain the stochastic behavior of oil futures prices when estimated with the use of all available price information, as opposed to traditional approaches of aggregating data for a set of maturities. A Kalman filter estimation procedure that allows for a time‐dependent number of daily observations is used to calibrate the model. When applied to all daily oil futures price transactions from 1992 to 2001, the model performs very well, requiring at least three factors to explain the term structure of futures prices, but four factors to fit the volatility term structure. The model also performs very well for daily copper futures transactions from 1992 to 2001 and for out‐of‐sample daily oil futures transactions from 2002 to 2004. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:243–268, 2006  相似文献   

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This paper looks at one aspect of current United States agricultural policy. This concerns the attempt by the federal government to support commodity prices and income of farmers. This is accomplished through the deficiency payments program. Unfortunately, the program is inherently economically inefficient. Moreover, alternatives (short of eliminating the program altogether and not replacing it) also are not economically efficient.
Zusammenfassung In der amerikanischen Agrarpolitik spielen Preis- und Einkommenssubventionen für Farmer eine wichtige Rolle. Der Beitrag behandelt die Wirkungen des seit 1985 bestehenden Systems von Ausgleichszahlungen für landwirtschaftliche Erzeugnisse. Diese Zahlungen errechnen sich als Differenz zwischen dem Subventionspreis für ein bestimmtes landwirtschaftliches Erzeugnis und seinem Marktpreis.Die bei den Landwirten eintretenden Wirkungen sind meist positiv, hingegen werden die Konsumenten bei Lebensmitteln mit Preiserhöhungen belastet. Seit die Marktpreise in den USA über den Weltmarktpreisen liegen, sind zusätzliche staatliche Subventionen notwendig, um landwirtschaftliche Erzeugnisse auf dem Weltmarkt verkaufen zu können. Auch dafür werden die Konsumenten in ihrer Rolle als Steuerzahler belastet. Die Kosten des Systems betragen für jeden Steuerzahler jährlich etwa 413$.Die Ausgleichszahlungen führen zu Verzerrungen bei wirtschaftlichen Anreizen und dadurch zu einer Fehlallokation von Ressourcen. Deshalb wird diese Politik vom Autor als ineffizient beurteilt. Er diskutiert Alternativen, die darauf abzielen, die gewünschten politischen Ziele zu erreichen. Doch keine dieser Alternativen geht ernsthaft das Problem der wirtschaftlichen Ineffizienz an, das mit Subventionen verbunden ist.


Noel D. Uri is a Supervisor Agricultural Economist in the Resources and Technology Division, Economic Research Service, U.S. Department of Agriculture, 1301 New York Avenue, N.W., Washington, DC 20005, USA. The views expressed are those of the author and do not necessarily represent the policies of the U.S. Department of Agriculture or the views of other U.S. Department of Agriculture staff members.  相似文献   

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We propose the Hawkes flocking model that assesses systemic risk in high-frequency processes at the two perspectives—endogeneity and interactivity. We examine the futures markets of West Texas Intermediate (WTI) crude oil and gasoline for the past decade, and perform a comparative analysis with conditional value-at-risk as a benchmark measure. In terms of high-frequency structure, we derive the empirical findings. The endogenous systemic risk in WTI was significantly higher than that in gasoline, and the level at which gasoline affects WTI was constantly higher than that in the opposite case. Moreover, although the relative influence's degree was asymmetric, its difference has gradually reduced.  相似文献   

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In the European Union, some citizens adapt to the Euro transition by converting the new currency to the old familiar one (‘re‐scaling’), whereas some adapt by learning the product prices in the Euro (‘re‐learning’). Employing a total of 65 undergraduates in two laboratory experiments, factors that may make such price learning difficult were identified. In Experiment 1, learning of unit prices for cellular phone calls from sequences of duration–price examples was more difficult when a fixed connection fee is added to the price of each call. Witnessing the adverse impact of price variation, Experiment 2 showed that simultaneous learning of several unit prices was less accurate than learning of single unit price.  相似文献   

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