Abstract
I examine an equilibrium and four prevalent disequilibrium model specifications under joint-normally distributed shocks and propose a statistical method for assessing whether a market is in an equilibrium state. I derive the marginal effects on the shortage probabilities and illustrate how one can interpret them. I provide analytic expressions for the gradients of all the models and the Hessians of the equilibrium and two of the disequilibrium models. Lastly, I use simulations to illustrate the performance of the models concerning, firstly, their estimation accuracy and, secondly, the computational gains of using gradient-based likelihood optimization methods.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.