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Book Maximum Likelihood Estimation of Disequilibrium Models

Download or read book Maximum Likelihood Estimation of Disequilibrium Models written by Richard E. Quandt and published by . This book was released on 1976 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book The Econometrics of Disequilibrium Models

Download or read book The Econometrics of Disequilibrium Models written by Vijay Kumar Lal Srivastava and published by Praeger. This book was released on 1990-09-25 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work is an accessible examination of the nature of various estimation methods written for those who have limited knowledge of economic theory. Some of the relatively simple methods can be implemented by using existing software packages. It reviews the Walrasian general equilibrium theory, compares the two genuine alternative frameworks for analyzing economic phenomena, and aids in establishing a necessary methodological consistency between analytical philosophy and the estimation methods in applied work on disequilibrium economics.

Book The Consistency of the Maximum Likelihood Estimator in a Disequilibrium Model

Download or read book The Consistency of the Maximum Likelihood Estimator in a Disequilibrium Model written by Stanford University. Institute for Mathematical Studies in the Social Sciences and published by . This book was released on 1977 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Estimation of Disequilibrium Models

Download or read book Estimation of Disequilibrium Models written by Hans-Jürg Büttler and published by Springer Science & Business Media. This book was released on 2013-03-08 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph grew out of a project which was sponsored by the Swiss National Foundation ("Schweizerischer Nationalfonds") under grant no. 4. 636-0. 83. 09. Yithin this project, prediction-oriented estimation methods for the canonical econometric disequilibrium model were developed. The present monograph deals with the application of these estimation techniques to three aggregative markets of the Swiss economy. Parts of the monograph have been presented at various places: the estimation techniques described in chapter 3 at the European Meeting of the Econometric Society, Madrid 1984; the application to residential investment described in chapter 4 at a symposium on housing policy at the University of Mannheim, 1984; the empirical study on the money stock described in chapter 5 at the Symposium on Money, Banking and Insurance held at the University of Karlsruhe, 1984, as well as at a joint seminar of the University of Basle and the Bank for International Settlements (BIS), 1985; and, finally, the empirical study on the aggregate labor market described in chapter 6 at a seminar of the University of ZUrich, 1985. Comments from toe seminar participants, in particular from Palle S. Andersen (BIS) who served as a discussant, Pascal Bridel (Swiss National Bank, SNB), Franz Ettlin (SNB), and Kurt Schiltknecht (Nordfinanz-Bank, Zurich) are gratefully acknowledged, without implying any responsibility on their part. The methodological part described in chapters 2 and 3 is contributed by G. Frei and B.

Book Models of Disequilibrium and Shortage in Centrally Planned Economies

Download or read book Models of Disequilibrium and Shortage in Centrally Planned Economies written by C.M. Davis and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt: The centrally planned economies (CPEs) of the Soviet Union and Eastern Europe have experienced severe imbalances in domestic and external markets over the past several decades. As a result, they have been chronically afflicted by problems such as excess demand, repressed inflation, deficits of commodities, queues, waiting lists, and forced savings. Economists have responded to these phenomena by developing appropriate theoretical and empirical models of CPEs. Of particular note have been the pioneering studies of Richard Portes on disequilibrium econometric models and Janos Kornai on the shortage economy. Each approach has attracted followers who have produced numerous, innovative macro- and microeconomic models of Poland, Czechoslovakia, the German Democratic Republic, Hungary, and the USSR. These models have proved to be of considerable value in the analysis of the causes, consequences and remedies of disequilibrium phenomena. Inevitably, the new research has also generated controversies both between and within the schools of shortage and disequilibrium modelling, concerning the fundamental nature of the socialist economy, theoretical concepts and definitions, the specification of models, estimation techniques, interpretation of empirical findings, and policy recommend ations. Furthermore, the research effort has been energetic but incomplete, so many gaps exist in the field.

Book Generalized Economic Models and Methods for Markets in Disequilibrium

Download or read book Generalized Economic Models and Methods for Markets in Disequilibrium written by Walter James Mayer and published by . This book was released on 1986 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical studies of markets in disequilibrium have relied on the appropriateness of explicit price adjustment equations, serial independence, normally distributed errors, and explicit equations relating the observed quantity transacted to desired supply and demand. For example, the asymptotic properties of "disequilibrium" estimators and test statistics are sensitive to the parametric forms chosen for price adjustment, the serial behavior of the observations, error distributions, and the quantity transacted. In a word, "disequilibrium" estimators and statistics are non-robust. Unfortunately, economic theory provides little basis for choosing the parametric forms. A lack of economic-theoretic restrictions coupled with non-robust estimators and statistics has severely limited empirical studies of markets in disequilibrium. This dissertation develops new methods for more meaningful estimation of disequilibrium models. The new methods involve more general models and robust estimators. A switching regression model with imperfect sample separation is used to incorporate price adjustment into a disequilibrium model. The model enables price adjustment to be incorporated with less a prior information than usual. To estimate the model, maximum likelihood and least squares estimators are proposed. The asymptotic properties of the maximum likelihood estimator are examined. Previous results for maximum likelihood estimators of disequilibrium models are generalized with asymptotic theory for serially dependent observations. The maximum likelihood estimator is shown to be consistent and asymptotically normal even if the data are characterized by unknown forms of serial dependence. Asymptotic test statistics are also derived. The methodology is illustrated with an empirical application to the U.S. commercial loan market from 1979 to 1984. Finally, I propose semiparametric models and estimators for markets in disequilibrium. These methods are applicable when the error distributions are unknown, and the quantity transacted is an unknown function of supply and demand. Consistent estimators are derived using the method of maximum score.

Book Disequilibrium Macroeconomic Models

Download or read book Disequilibrium Macroeconomic Models written by Jean-Paul Lambert and published by CUP Archive. This book was released on 1988-05-26 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book A Likelihood Simulator for Dynamic Disequilibrium Models

Download or read book A Likelihood Simulator for Dynamic Disequilibrium Models written by Lung-fei Lee and published by . This book was released on 1994 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book The Estimation of Macroeconomic Disequilibrium Models with Regime Classification Information

Download or read book The Estimation of Macroeconomic Disequilibrium Models with Regime Classification Information written by Glenn D. Rudebusch and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Unemployment Disequilibrium and the Short Run Phillips Curve

Download or read book Unemployment Disequilibrium and the Short Run Phillips Curve written by Richard E. Quandt and published by . This book was released on 1985 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper specifies a disequilibrium model for the aggregate labor market consisting of demand and supply functions for labor, an adjustment equation for wages as well as for prices, a transactions equation and, finally, an equation that relates measured unemployment to vacancies and to excess demand. The model has a more sophisticated treatment of dynamics than earlier disequilibrium models, and uses measured unemployment as an endogenous variable. Two of the error terms are assumed to be serially correlated and the coefficients are estimated by maximum likelihood. The parameter estimates and the goodness-of-fit are satisfactory and the model's implications for the behavior of several important variables are sensible. Excess demand estimates computed in various ways are reasonable. The model is used to estimate the natural rate of unemployment as well as a short run Phillips curve. Finally, the stability properties ofthe model are analyzed by considering the eigenvalues of the system; they are found to have moduli less than one.

Book A Dynamic Disequilibrium Model for Panel Data

Download or read book A Dynamic Disequilibrium Model for Panel Data written by Zhong Jin and published by . This book was released on 2009 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: In this dissertation, a new simulated maximum likelihood estimation method for dynamic disequilibrium panel data model is proposed. Disequilibrium is specified as a situation where the observed quantity equals the minimum of the quantities demanded and supplied, whereas in equilibrium prices always clear the market. The new method uses simulation to handle the multiple integrals in the likelihood function. I used a Markov structure in which the demand and supply equations depend on their own lagged latent-variables to reduce the computational complexity in the simulation. The new method is the first one designed for dynamic disequilibrium panel data models with unknown sample separation. I also apply the proposed method to the regional panel data on U.S. housing markets. In contrast to previous empirical studies, I conduct an analysis of housing demand and supply that controls for heterogeneity and the serial correlation of the regional housing markets. Using two different set of data, I found that price and income both have significant impacts on the quantity of houses demanded, while price and construction costs have significant negative impacts on quantity of houses demanded. Estimates of disequilibrium models with the Case-Schiller index used as price suggest that most regions experienced excess demand during the sample periods. Finally, a Hausman-type test is employed to ensure that the estimated parameter values correspond to global maximums of the likelihood functions.