Estimating the canonical disequilibrium model. Asymptotic theory and finite sample properties

DOI10.1016/0304-4076(94)90021-3MaRDI QIDQ1329129zbMATH OpenOpenAlexFDO

Authors Guy Laroque, Bernard Salanié

Publication date 1 March 1995

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(94)90021-3

zbMATH Keywords

asymptotic normalityconsistencyimportance samplingpseudo maximum likelihoodsimulation-based inferenceasymptotic resultsreviewfull information maximum likelihoodfinite samplescanonical disequilibrium modelFIMLsecond-order PML method

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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Cites work

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• scientific article; zbMATH DE number 3338262 (Why is no real title available?)
• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
• Asymptotic Properties of Non-Linear Least Squares Estimators
• Econometrics of First-Price Auctions
• Estimating the canonical disequilibrium model. Asymptotic theory and finite sample properties
• Estimation in a disequilibrium model and the value of information
• Estimation of Multi-Market Fix-Price Models: An Application of Pseudo Maximum Likelihood Methods
• Identification of the Ordered Bivariate Normal Distribution by Minimum Variate
• On unification of the asymptotic theory of nonlinear econometric models
• Power in Econometric Applications
• Pseudo Maximum Likelihood Methods: Theory
• Tests of the Equilibrium vs. Disequilibrium Hypotheses
• The Asymptotic Properties of a Maximum Likelihood Estimator for a Model of Markets in Disequilibrium
• The Consistency of Nonlinear Regressions

Cited in

(12)

• MMC techniques for limited dependent variables models: implementation by the branch-and-bound algorithm
• Semi-parametric estimation of disequilibrium models
• Simulation-based inference. A survey with special reference to panel data models
• An introduction to stochastic unit-root processes
• Estimating the canonical disequilibrium model. Asymptotic theory and finite sample properties
• Maximum score estimation of disequilibrium models and the role of anticipatory price-setting
• A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD
• Simulation estimation of dynamic switching regression and dynamic disequilibrium models - some Monte Carlo results
• An extension of the maximum score estimator for disequilibrium models.
• Estimation of Multi-Market Fix-Price Models: An Application of Pseudo Maximum Likelihood Methods
• scientific article; zbMATH DE number 4049348 (Why is no real title available?)
• A smooth likelihood simulator for dynamic disequilibrium models

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