Skip to main content Accessibility help

Time Varying Parameters with Random Components: The Orange Juice Industry

  • Ronald W. Ward (a1) and Daniel S. Tilley


The assumption of nonstochastic parameters has long been recognized as restrictive to the solution of many marketing problems and to economic modeling in general. Parameter variation historically has been treated with the use of nonstochastic adjustments through interaction variables and the use of proxy dummy and trend variables. Though these empirical techniques in many cases give reasonable results, they presuppose that the researcher can specify the nature of the parameter change. In fact, it may not be obvious that random parameters are part of the estimation problem. Furthermore, specification of structural shifts in parameters is usually difficult. Comparison of parameter changes through techniques such as grouping of data and using various F-tests is most often dependent on the criteria for grouping (Maddala, p. 390–404). Also, the procedure fails to identify the dynamic path of adjustments that must have occurred when various F-tests indicate that parameters have changed. Other approaches to determining structural shifts in parameters may require elaborate search procedures. To limit the extent to which the search is required, restrictive assumptions about many of the parameters are sometimes made (Simon).



Hide All
Belsley, David.On the Determination of Systematic Parameter Variation in the Linear Regression Model.Ann. Econ. andSoc. Meas. 2(Oct. 1973):495500.
Cooley, T. F. and Prescott, E. C.. “Test of an Adaptive Regression Model.Rev. Econ. and Statis. 55(May 1973):248–56.
Cooley, T. F. and Prescott, E. C.. ”The Adaptive Regression Model.Internat. Econ. Rev. 14(June 1973).
Cooley, T. F. and Prescott, E. C.. ”Varying Parameter Regression: A Theory and Some Applications.” Ann. Econ. and Soc. Meas. 2(Oct. 1973).
Cooley, T. F. and Prescott, E. C.. ”Estimation in the Presence of Stochastic Parameter Variation.” Econometrica. 44(Jan. 1976) p. 170.
Hsiao, C.Some Estimation Methods for a Random Coefficient Model.Econometrica. 43(March 1975).
Kmenta, Jan. Elements of Econometrics. New York: Macmillan Publishing Company, Inc., 1971, chap. 12.
Maddala, G.S., Econometrics. New York: McGraw-Hill Book Company, 1977, chap. 17.
Simon, Hermann. “Dynamics of Price Elasticity and Brand Life Cycles: An Empirical Study.J. Market. Res. 16(1979):439–52.
Swamy, P. A. V. D., “Efficient Inference in a Random Coefficient Regression Model.Econometrica. 38(1970):311–23.
Ward, Ronald W. and Kilmer, Richard L.. “The U.S. Citrus Subsector: Organization, Behavior and Performance.” N. C. 117 Mono. Ser., 1979. In press.
Ward, Ronald W. and Myers, Lester. “Advertising Effectiveness and Coefficient Variation Over Time.Agr. Econ. Res. 31(Jan. 1979).

Time Varying Parameters with Random Components: The Orange Juice Industry

  • Ronald W. Ward (a1) and Daniel S. Tilley


Full text views

Total number of HTML views: 0
Total number of PDF views: 0 *
Loading metrics...

Abstract views

Total abstract views: 0 *
Loading metrics...

* Views captured on Cambridge Core between <date>. This data will be updated every 24 hours.

Usage data cannot currently be displayed