Scrutinizing hundreds of TAR models, we examine the persistence of price dynamics across market segments. Using a unique dataset of monthly actual product prices of 47 items collected from three different market segments in Istanbul over 1993:01-2008:12, we provide evidence that the extent of price persistence differs across market segments while the half-life estimates do not. (C) 2015 Elsevier B.V. All rights reserved.
- TAR models
- Market segmentation