A0801
Title: Estimating the competitive storage model with stochastic trend: A particle MCMC approach
Authors: Kjartan Kloster Osmundsen - University of Stavanger (Norway) [presenting]
Tore Selland Kleppe - University of Stavanger (Norway)
Atle Oglend - University of Stavanger (Norway)
Roman Liesenfeld - University of Cologne (Germany)
Abstract: The structural parameters of the competitive storage model with stochastic trend, completely bounded storage and i.i.d. supply shocks are estimated using particle Markov chain Monte Carlo, relying only on price data. Applied to several real data sets of monthly commodity prices, the estimated storage model exceeds the log-likelihood values obtained by commonly used time series models.
