Scandinavian Working Papers in Economics
Discussion Paper Series in Economics,
Norwegian School of Economics, Department of Economics
No 21/2025: Mixed Frequency Data in a Heterogenous Sticky Price Model
Jonas Andersson (), Øivind Anti Nilsen () and Hans Julius Skaug ()
Additional contact information
Jonas Andersson: Dept. of Business and Management Science, Norwegian School of Economics and Business Administration, Postal: NHH, Department of Business and Management Science, Helleveien 30, N-5045 Bergen, Norway
Øivind Anti Nilsen: Dept. of Economics, Norwegian School of Economics and Business Administration, Postal: NHH, Department of Economics, Helleveien 30, N-5045 Bergen, Norway
Hans Julius Skaug: Dept. of Mathematics, University of Bergen, Postal: UiB, Department of Mathematics, Postbox 7803, N-5020 Bergen, Norway
Abstract: We develop a model to estimate price-adjustment behavior when prices are observed more frequently than key explanatory variables such as wage costs. We propose a mixedfrequency stochastic (S, s)-model that accommodates infrequently observed costs and allows for plant-, product-, and season-specific heterogeneity. The model is estimated using a likelihood-based nonlinear state-space approach, enabling estimation as if all variables were observed at the same frequency. Applied to monthly price survey data matched with plant-level annual cost data for manufacturing producers, the model yields precise estimates of both cost pass-through and price-inaction thresholds, and reduces the blurring of intermittent price changes.
Keywords: Latent Variables; Pass-Through; Panel Data
JEL-codes: C34; D43; E31; E37; L16
Language: English
49 pages, December 30, 2025
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