Limited Information Methods for Estimating Disequilibrium Models with a Stochastic Price Adjustment Equation PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Limited Information Methods for Estimating Disequilibrium Models with a Stochastic Price Adjustment Equation PDF full book. Access full book title Limited Information Methods for Estimating Disequilibrium Models with a Stochastic Price Adjustment Equation by Anjum Nasim. Download full books in PDF and EPUB format.
Author: Anjum Nasim
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 17
Get Book Here
Book Description
Author: Anjum Nasim
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 17
Get Book Here
Book Description
Author: Hans-Jürg Büttler
Publisher: Springer Science & Business Media
ISBN: 3642483402
Category : Business & Economics
Languages : en
Pages : 124
Get Book Here
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: Richard E. Quandt
Publisher: Edward Elgar Publishing
ISBN: 9781782543176
Category : Business & Economics
Languages : en
Pages : 876
Get Book Here
Book Description
Professor Richard Quandt has made a major contribution to the development of economics in the 20th century. The range and significance of his work has long required a collection of his essays which will allow his contribution to be assessed as a whole. Despite an early interest in microeconomic theory, Richard Quandt has devoted most of his career to econometrics and, in particular, modal split estimation. More recently his work has focused on the econometrics of disequilibrium models with reference to both free market and planned economies. As well as outlining his many articles in microtheory, general econometrics, disequilibrium modeling, financial economics and the economics of planned economies, this collection should have a particular value for all scholars interested in the emergence of the new economies in Eastern Europe, a subject to which Professor Quandt has applied himself in recent years. This book includes an introduction by Professor Quandt describing his early life in Budapest and the circumstances which led him to study economics in America.
Author: Walter James Mayer
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 178
Get Book Here
Book Description
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: Ray C. Fair
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 36
Get Book Here
Book Description
Author: Joseph Bisignano
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 122
Get Book Here
Book Description
Author: British Library. Lending Division
Publisher:
ISBN:
Category : Great Britain
Languages : en
Pages : 444
Get Book Here
Book Description
Issue for Mar. 1981 contains index for Jan.-Mar. 1981 in microfiche form.
Author: Francisco Javier Ruge-Murcia
Publisher: Montréal : Centre interuniversitaire de recherche en économie quantitative
ISBN: 9782893824758
Category :
Languages : en
Pages : 39
Get Book Here
Book Description
Author: Ray C. FAIR
Publisher: Harvard University Press
ISBN: 0674036638
Category : Business & Economics
Languages : en
Pages : 314
Get Book Here
Book Description
Macroeconomics tries to describe and explain the economywide movement of prices, output, and unemployment. The field has been sharply divided among various schools, including Keynesian, monetarist, new classical, and others. It has also been split between theorists and empiricists. Ray Fair is a resolute empiricist, developing and refining methods for testing theories and models. The field cannot advance without the discipline of testing how well the models approximate the data. Using a multicountry econometric model, he examines several important questions, including what causes inflation, how monetary authorities behave and what are their stabilization limits, how large is the wealth effect on aggregate consumption, whether European monetary policy has been too restrictive, and how large are the stabilization costs to Europe of adopting the euro. He finds, among other things, little evidence for the rational expectations hypothesis and for the so-called non-accelerating inflation rate of unemployment (NAIRU) hypothesis. He also shows that the U.S. economy in the last half of the 1990s was not a new age economy.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 448
Get Book Here
Book Description
