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Author: Lung-fei Lee
Publisher:
ISBN:
Category :
Languages : en
Pages : 58
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Author: Lung-fei Lee
Publisher:
ISBN:
Category :
Languages : en
Pages : 58
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Book Description
Author: Lung-fei Lee
Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 40
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Author: Lung-fei Lee
Publisher:
ISBN:
Category :
Languages : en
Pages : 70
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Author: Zhong Jin
Publisher:
ISBN:
Category :
Languages : en
Pages : 176
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Book Description
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.
Author:
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ISBN:
Category : Econometrics
Languages : en
Pages : 868
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Author: Christian Gouriéroux
Publisher: OUP Oxford
ISBN: 019152509X
Category : Business & Economics
Languages : en
Pages : 190
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This book introduces a new generation of statistical econometrics. After linear models leading to analytical expressions for estimators, and non-linear models using numerical optimization algorithms, the availability of high- speed computing has enabled econometricians to consider econometric models without simple analytical expressions. The previous difficulties presented by the presence of integrals of large dimensions in the probability density functions or in the moments can be circumvented by a simulation-based approach. After a brief survey of classical parametric and semi-parametric non-linear estimation methods and a description of problems in which criterion functions contain integrals, the authors present a general form of the model where it is possible to simulate the observations. They then move to calibration problems and the simulated analogue of the method of moments, before considering simulated versions of maximum likelihood, pseudo-maximum likelihood, or non-linear least squares. The general principle of indirect inference is presented and is then applied to limited dependent variable models and to financial series.
Author: Lung-fei Lee
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 44
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Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Lung-fei Lee
Publisher:
ISBN:
Category :
Languages : en
Pages : 56
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Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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