Two Alternative Stochastic Specifications and Estimation Methods for Quantity Rationing Models : A Monte-Carlo Comparison
(1985) European Economic Review — Vol. 29, n° 1, p. 111-136 (1985)
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- Abstract
- Quantity rationing (disequilibrium) models can be characterized either by deterministic or by stochastic switching rules. This paper reports on Monte-Carlo experiments suggesting that the ML estimator associated with the deterministic switching rule one-market model apparently has better small sample properties than its stochastic switching rule counterpart even when the latter is asymptotically superior. This seems to be the result of a systematic residual variance underestimation in the stochastic switching rule model. The feasibility of the deterministic switching rule estimator in a two-market framework is next investigated.
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Sneessens, H. (1985). Two Alternative Stochastic Specifications and Estimation Methods for Quantity Rationing Models : A Monte-Carlo Comparison. European Economic Review, 29(1), 111-136. https://hdl.handle.net/2078.5/52204 (Original work published 1985)