Estimation of Disequilibrium Models Using the MGF and CF Estimators PDF Download
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Author: Kaddour Hadri
Publisher:
ISBN:
Category :
Languages : en
Pages : 18
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Author: Kaddour Hadri
Publisher:
ISBN:
Category :
Languages : en
Pages : 18
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Author: Hans-Jürg Büttler
Publisher: Springer Science & Business Media
ISBN: 3642483402
Category : Business & Economics
Languages : en
Pages : 124
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Book Description
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.
Author: Leif Andreassen
Publisher:
ISBN:
Category :
Languages : en
Pages : 80
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Author: Glenn D. Rudebusch
Publisher: Springer
ISBN:
Category : Business & Economics
Languages : en
Pages : 148
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Author: Mark Russell Upcher
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages :
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Author: Walter James Mayer
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 178
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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.
Author: Richard E. Quandt
Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 22
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Author: Lung-fei Lee
Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 40
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Author: Anjum Nasim
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 17
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Author: Christopher Martin
Publisher:
ISBN:
Category : Applied mathematics
Languages : en
Pages : 33
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