Advertisement

Empirical Economics

, Volume 11, Issue 4, pp 223–242 | Cite as

A note on estimating disequilibrium models with aggregation

  • R. E. Quandt
Article

Abstract

When an aggregate disequilibrium is the result of disequilibrium in several submarkets, the usual maximum likelihood estimation, which is based on the min of aggregate demand and supply, represents a misspecification. The present paper compares ML with several nonlinear least squares methods that are appropriate for this situation. Monte Carlo experiments suggest that ML is robust with respect to the misspecification and may be preferable to the nonlinear least suqares methods in some situations.

Keywords

Economic Theory Maximum Likelihood Estimation Likelihood Estimation Aggregate Demand Monte Carlo Experiment 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Hajivassiliou VA (1983) Estimating and testing an aggregative disequilibrium model of the US labor market. MIT, mimeoGoogle Scholar
  2. Lambert J-P (1984) Disequilibrium macro models based on business survey data: Theory and estimation for the Belgian manufacturing sector. CORE, Louvain-1a-NeuveGoogle Scholar
  3. Frei G (1984) Methoden zur SchÄtzung des Kanonischen Ungleichgewichtsmodells. Forschungsstelle für Empirische Wirtschaftsforschung, Hochschule St. Gallen, mimeoGoogle Scholar
  4. Gourieroux C, Laroque G (1985) The aggregation of commodities in quantity rationing models. International Economic Review 26:681–700Google Scholar
  5. Muellbauer J (1977) Macromodels with regime changes: Discrete vs. continuous formulations of non-clearing markets. Birbeck College, mimeoGoogle Scholar
  6. Nasim A, Satchell S (1982) A nonlinear least squares method for estimating markets in disequilibrium. Essex Economic Papers, no 208Google Scholar
  7. Nasim A, Satchell S (1984) Limited information methods for estimating disequilibrium models with a stochastic price adjustment equations. Essex Economic Papers, no 248Google Scholar
  8. Quandt RE, Rosen HS (1986) Unemployment, disequilibrium and the short-run phillips curve: An econometric approach. Journal of Applied Econometrics 1:235–254Google Scholar
  9. Stalder P (1984) SchÄtzung von Ungleichgewichtsmodellen auf der Basis eines adaptierten “Nonlinear least squares”-Verfahrens. Paper no 11, Konjunkturforschungsstelle, ETH ZürichGoogle Scholar
  10. Stalder P (1985) SchÄtzung eines kleinen Ungleichgewichtsmodells für den Schweizerischen Arbeitsmarkt. Konjunkturforschungsstelle, ETH ZürichGoogle Scholar
  11. White H (1980) A heteroscedasticity-consistent covariance matrix estimator and a direct test for heteroscedasticity. Econometrica 48:817–838Google Scholar

Copyright information

© Physica-Verlag 1986

Authors and Affiliations

  • R. E. Quandt
    • 1
  1. 1.Dept. of EconomicsPrinceton UniversityPrincetonUSA

Personalised recommendations