The Asymptotic Properties of a Maximum Likelihood Estimator for a Model of Markets in Disequilibrium

DOI10.2307/1914068zbMATH Open0361.62091OpenAlexW2046991352MaRDI QIDQ4134780FDOQ4134780

Authors: Michael J. Hartley, Parthasaradhi Mallela 

Publication date: 1977

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1914068

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cited In (10)

• Semi-parametric estimation of disequilibrium models
• Extensions of estimation methods using the EM algorithm
• Estimating the canonical disequilibrium model. Asymptotic theory and finite sample properties
• Estimation of disequilibrium and limited dependent variable models with serially dependent residuals
• Two misspecification tests for the simple switching regressions disequilibrium model
• Econometric disequilibrium models^∗
• Test for normality in the econometric disequilibrium markets model
• Identification of parameters by the distribution of the minimum: The tri-variate normal case with negative correlations
• A Bayesian analysis of some threshold switching models
• A note on Phillips (1991): ``A constrained maximum likelihood approach to estimating switching regressions

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