Abstract
This paper analyzes a general class of non-normal density functions (dubbed Sargan densities) in the context of the ordinary regression model and the simple one-market disequilibrium model. Use of the normal density in disequilibrium models is unwieldy, especially for multimarket models, since the application of maximum likelihood methods requires numerical evaluation of multiple integrals. These difficulties are avoided with the Sargan densities, and based on both asymptotic results and limited sampling experiments, these densities appear to offer a promising alternative to the normal in disequilibrium models.
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