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A smooth likelihood simulator for dynamic disequilibrium models

  • Lee, Lung-Fei

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File URL: http://www.sciencedirect.com/science/article/B6VC0-3SWY1BT-8/2/c88731aeb24c9249c691ce655282e642
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 78 (1997)
Issue (Month): 2 (June)
Pages: 257-294

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Handle: RePEc:eee:econom:v:78:y:1997:i:2:p:257-294
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Dagenais, Marcel G., 1980. "Specification and estimation of a dynamic disequilibrium model," Economics Letters, Elsevier, vol. 5(4), pages 323-328.
  2. Lee, Lung-Fei, 1995. "Asymptotic Bias in Simulated Maximum Likelihood Estimation of Discrete Choice Models," Econometric Theory, Cambridge University Press, vol. 11(03), pages 437-483, June.
  3. Robinson, Peter M, 1982. "On the Asymptotic Properties of Estimators of Models Containing Limited Dependent Variables," Econometrica, Econometric Society, vol. 50(1), pages 27-41, January.
  4. repec:fth:inseep:9315 is not listed on IDEAS
  5. Gersovitz, Mark, 1980. "Classification probabilities for the disequilibrium model," Journal of Econometrics, Elsevier, vol. 14(2), pages 239-246, October.
  6. Salanie, Bernard, 1991. "Wage and Price Adjustment in a Multimarket Disequilibrium Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(1), pages 1-15, Jan.-Marc.
  7. Amemiya, Takeshi, 1974. "A Note on a Fair and Jaffee Model," Econometrica, Econometric Society, vol. 42(4), pages 759-62, July.
  8. Borsch-Supan, Axel & Hajivassiliou, Vassilis A., 1993. "Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models," Journal of Econometrics, Elsevier, vol. 58(3), pages 347-368, August.
  9. Gourieroux, Christian & Monfort, Alain, 1993. "Simulation-based inference : A survey with special reference to panel data models," Journal of Econometrics, Elsevier, vol. 59(1-2), pages 5-33, September.
  10. Gourieroux, C. & Monfort, A. & Trognon, A., 1985. "A General Approach to Serial Correlation," Econometric Theory, Cambridge University Press, vol. 1(03), pages 315-340, December.
  11. Darrell Duffie & Kenneth J. Singleton, 1990. "Simulated Moments Estimation of Markov Models of Asset Prices," NBER Technical Working Papers 0087, National Bureau of Economic Research, Inc.
  12. Rosen, Harvey S & Quandt, Richard E, 1978. "Estimation of a Disequilibrium Aggregate Labor Market," The Review of Economics and Statistics, MIT Press, vol. 60(3), pages 371-79, August.
  13. Maddala, G S & Nelson, Forrest D, 1974. "Maximum Likelihood Methods for Models of Markets in Disequilibrium," Econometrica, Econometric Society, vol. 42(6), pages 1013-30, November.
  14. Keane, Michael, 1993. "Simulation estimation for panel data models with limited dependent variables," MPRA Paper 53029, University Library of Munich, Germany.
  15. Dagenais, M.G., 1980. "Specification and Estimation of a Dynamic Disequilibrium Model," Cahiers de recherche 8046, Universite de Montreal, Departement de sciences economiques.
  16. Laffont, Jean-Jacques & Monfort, Alain, 1979. "Disequilibrium econometrics in dynamic models," Journal of Econometrics, Elsevier, vol. 11(2-3), pages 353-361.
  17. Pakes, Ariel S, 1986. "Patents as Options: Some Estimates of the Value of Holding European Patent Stocks," Econometrica, Econometric Society, vol. 54(4), pages 755-84, July.
  18. Lee, Lung-Fei, 1984. "The likelihood function and a test for serial correlation in a disequilibrium market model," Economics Letters, Elsevier, vol. 14(2-3), pages 195-200.
  19. Keane, Michael P, 1994. "A Computationally Practical Simulation Estimator for Panel Data," Econometrica, Econometric Society, vol. 62(1), pages 95-116, January.
  20. Portes, Richard & Winter, David, 1980. "Disequilibrium Estimates for Consumption Goods Markets in Centrally Planned Economies," Review of Economic Studies, Wiley Blackwell, vol. 47(1), pages 137-59, January.
  21. Goldfeld, Stephen M. & Quandt, Richard E., 1973. "A Markov model for switching regressions," Journal of Econometrics, Elsevier, vol. 1(1), pages 3-15, March.
  22. Goldfelfd, Stephen M. & Quandt, Richard E., 1975. "Estimation in a disequilibrium model and the value of information," Journal of Econometrics, Elsevier, vol. 3(4), pages 325-348, November.
  23. Nishimizu, Mieko & Quandt, Richard E. & Rosen, harvey S., 1982. "The demand and supply for investment goods: does the market clear?," Journal of Macroeconomics, Elsevier, vol. 4(1), pages 1-21.
  24. Lee, Lung-Fei, 1984. "Regime classifications in the disequilibrium market models," Economics Letters, Elsevier, vol. 14(2-3), pages 187-193.
  25. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September.
  26. Fair, Ray C & Jaffee, Dwight M, 1972. "Methods of Estimation for Markets in Disequilibrium," Econometrica, Econometric Society, vol. 40(3), pages 497-514, May.
  27. Fair, Ray C & Kelejian, Harry H, 1974. "Methods of Estimation for Markets in Disequilibrium: A Further Study," Econometrica, Econometric Society, vol. 42(1), pages 177-90, January.
  28. Laroque, Guy & Salanie, Bernard, 1994. "Estimating the canonical disequilibrium model : Asymptotic theory and finite sample properties," Journal of Econometrics, Elsevier, vol. 62(2), pages 165-210, June.
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