Scandinavian Working Papers in Economics

Discussion Papers,
Norwegian School of Economics, Department of Business and Management Science

No 2025/26: Mixed Frequency Data in a Heterogenous Sticky Price Model

Jonas Andersson (), Øivind A. Nilsen () and Hans J. Skaug ()
Additional contact information
Jonas Andersson: Dept. of Business and Management Science, Norwegian School of Economics, Postal: NHH , Department of Business and Management Science, Helleveien 30, N-5045 Bergen, Norway
Øivind A. Nilsen: Dept. of Economics, Norwegian School of Economics, Postal: NHH , Department of Economics, Helleveien 30, N-5045 Bergen, Norway
Hans J. Skaug: Dept. of Mathematics, University of Bergen, Postal: University of Bergen , P.O. Box 7803, NO-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 mixed-frequency 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

45 pages, December 30, 2025

Full text files 

2625.pdf PDF-file Full text

Download statistics

Questions (including download problems) about the papers in this series should be directed to Stein Fossen ()
Report other problems with accessing this service to Sune Karlsson ().

RePEc:hhs:nhhfms:2025_026This page generated on 2026-03-19 14:58:24.