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A smooth likelihood simulator for dynamic disequilibrium models

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  • Lee, Lung-Fei

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  • Lee, Lung-Fei, 1997. "A smooth likelihood simulator for dynamic disequilibrium models," Journal of Econometrics, Elsevier, vol. 78(2), pages 257-294, June.
    • Handle: RePEc:eee:econom:v:78:y:1997:i:2:p:257-294
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    2. Duffie, Darrell & Singleton, Kenneth J, 1993. "Simulated Moments Estimation of Markov Models of Asset Prices," Econometrica, Econometric Society, vol. 61(4), pages 929-952, July.
    3. 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.
    4. Keane, Michael P, 1994. "A Computationally Practical Simulation Estimator for Panel Data," Econometrica, Econometric Society, vol. 62(1), pages 95-116, January.
    5. Maddala, G S & Nelson, Forrest D, 1974. "Maximum Likelihood Methods for Models of Markets in Disequilibrium," Econometrica, Econometric Society, vol. 42(6), pages 1013-1030, November.
    6. Dagenais, M.G., 1980. "Specification and Estimation of a Dynamic Disequilibrium Model," Cahiers de recherche 8046, Universite de Montreal, Departement de sciences economiques.
    7. McFadden, Daniel, 1989. "A Method of Simulated Moments for Estimation of Discrete Response Models without Numerical Integration," Econometrica, Econometric Society, vol. 57(5), pages 995-1026, September.
    8. 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 371-379, August.
    9. 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.
    10. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-1057, September.
    11. Laroque, Guy & Salanie, B, 1993. "Simulation-Based Estimation of Models with Lagged Latent Variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 119-133, Suppl. De.
    12. 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.
    13. Amemiya, Takeshi, 1974. "A Note on a Fair and Jaffee Model," Econometrica, Econometric Society, vol. 42(4), pages 759-762, July.
    14. Lee, Lung-Fei, 1995. "Asymptotic Bias in Simulated Maximum Likelihood Estimation of Discrete Choice Models," Econometric Theory, Cambridge University Press, vol. 11(3), pages 437-483, June.
    15. Pakes, Ariel S, 1986. "Patents as Options: Some Estimates of the Value of Holding European Patent Stocks," Econometrica, Econometric Society, vol. 54(4), pages 755-784, July.
    16. Dagenais, Marcel G., 1980. "Specification and estimation of a dynamic disequilibrium model," Economics Letters, Elsevier, vol. 5(4), pages 323-328.
    17. Gersovitz, Mark, 1980. "Classification probabilities for the disequilibrium model," Journal of Econometrics, Elsevier, vol. 14(2), pages 239-246, October.
    18. 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.
    19. 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.
    20. 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.
    21. 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.
    22. Keane, Michael, 1993. "Simulation estimation for panel data models with limited dependent variables," MPRA Paper 53029, University Library of Munich, Germany.
    23. Fair, Ray C & Kelejian, Harry H, 1974. "Methods of Estimation for Markets in Disequilibrium: A Further Study," Econometrica, Econometric Society, vol. 42(1), pages 177-190, January.
    24. Lee, Lung-Fei, 1997. "Simulated maximum likelihood estimation of dynamic discrete choice statistical models some Monte Carlo results," Journal of Econometrics, Elsevier, vol. 82(1), pages 1-35.
    25. Goldfeld, Stephen M. & Quandt, Richard E., 1973. "A Markov model for switching regressions," Journal of Econometrics, Elsevier, vol. 1(1), pages 3-15, March.
    26. Nicholas M. Kiefer, 1980. "A Note on Regime Classification in Disequilibrium Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 47(3), pages 637-639.
    27. 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.
    28. Gourieroux, C. & Monfort, A. & Trognon, A., 1985. "A General Approach to Serial Correlation," Econometric Theory, Cambridge University Press, vol. 1(3), pages 315-340, December.
    29. repec:crs:wpaper:9315 is not listed on IDEAS
    30. Richard Portes & David Winter, 1980. "Disequilibrium Estimates for Consumption Goods Markets in Centrally Planned Economies," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 47(1), pages 137-159.
    31. Lee, Lung-Fei, 1984. "Regime classifications in the disequilibrium market models," Economics Letters, Elsevier, vol. 14(2-3), pages 187-193.
    32. Lee, Lung-Fei, 1997. "Simulation estimation of dynamic switching regression and dynamic disequilibrium models -- some Monte Carlo results," Journal of Econometrics, Elsevier, vol. 78(2), pages 179-184, June.
    33. Quandt, Richard E., 1981. "Autocorrelated errors in simple disequilibrium models," Economics Letters, Elsevier, vol. 7(1), pages 55-61.
    34. Fair, Ray C & Jaffee, Dwight M, 1972. "Methods of Estimation for Markets in Disequilibrium," Econometrica, Econometric Society, vol. 40(3), pages 497-514, May.
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    Cited by:

    1. Baird, Matthew & Daugherty, Lindsay & Kumar, Krishna B., 2019. "Improving Estimation of Labor Market Disequilibrium Using Shortage Indicators, with an Application to the Market for Anesthesiologists," IZA Discussion Papers 12129, Institute of Labor Economics (IZA).
    2. Matthew Baird & Lindsay Daugherty & Krishna Kumar, 2017. "Improving Estimation of Labor Market Disequilibrium through Inclusion of Shortage Indicators," CINCH Working Paper Series 1701, Universitaet Duisburg-Essen, Competent in Competition and Health.
    3. Luc Bauwens & Michel Lubrano, 2007. "Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 469-486.
    4. Charemza, Wojciech W, 2002. "Guesstimation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(6), pages 417-433, September.
    5. Torsten Schmidt & Lina Zwick, 2012. "In Search for a Credit Crunch in Germany," Ruhr Economic Papers 0361, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
    6. Edwige Burdeau, 2015. "Assessing dynamics of credit supply and demand for French SMEs, an estimation based on the Bank Lending Survey," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Indicators to support monetary and financial stability analysis: data sources and statistical methodologies, volume 39, Bank for International Settlements.
    7. repec:zbw:rwirep:0361 is not listed on IDEAS
    8. Schmidt, Torsten & Zwick, Lina, 2012. "In Search for a Credit Crunch in Germany," Ruhr Economic Papers 361, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.

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