A conditional least squares estimation procedure for a disequilibrium market model with autocorrelated errors. (English) Zbl 1328.62637
Econ. Lett. 20, No. 3, 251-254 (1986); erratum ibid. 22, No. 4, 401 (1987).
Summary: Maximum likelihood estimation of parameters in a market disequilibrium model with unknown sample separation and autocorrelated errors is computationally intractable [R. E. Quandt, “Autocorrelated errors in simple disequilibrium models”, ibid. 7, No. 1, 55–61 (1981; doi:10.1016/0165-1765(81)90111-7; L. F. Lee, Econ. Lett. 14, No. 2–3, 195–200 (1984; Zbl 1273.62274)]. This paper presents a computationally convenient conditional least squares procedure for estimation of parameters in this model.
MSC:
| 62P20 | Applications of statistics to economics |
| 91B82 | Statistical methods; economic indices and measures |
Citations:
Zbl 1273.62274References:
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