Empirical Economics

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

A note on estimating disequilibrium models with aggregation

  • R. E. Quandt


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.


Economic Theory Maximum Likelihood Estimation Likelihood Estimation Aggregate Demand Monte Carlo Experiment 
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Copyright information

© Physica-Verlag 1986

Authors and Affiliations

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

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