Kaufmann, Daniel; Lein, Sarah Marit; Honoré, Bo E. - Schweizerische Nationalbank (SNB) - 2012
In this paper we follow the recent empirical literature that has specified reduced-form models for price setting that are closely tied to (S, s)-pricing rules. Our contribution to the literature is twofold. First, we propose an estimator that relaxes distributional assumptions on the unobserved...