Abstract
Most of the proposed econometric models for a single and isolated market in disequilibrium are variations of the canonical disequilibrium model (for an overview see Quandt (1982)). This model consists of a demand and a supply equation
where t is time index, D is demand and S is supply. XD and XS are vectors of independent variables appearing in the demand function f and the supply function g, respectively. The functions f and g must be derived from theoretical considerations about the considered market. They might be non-linear but they contain unknown coefficients which have to be estimated. uD and uS denote the error terms. They are assumed to be serially uncorrelated and independently normally distributed:
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References
Frei, G. (1984): Prediction Oriented Estimation of Disequilibrium Models, Paper prepared for the European Meeting of the Econometric Society, Madrid, 3–7 September 1984.
Frei, G. (1986): Prognoseorientierte Schätzverfahren, Grüsch: Rüegger.
Quandt, R.E. (1982): “Econometric Disequilibrium Models”, Econometric Reviews, 1: 1–63.
Quandt, R.E. (1986): Estimation in Disequilibrium Models with Aggregat ion, Financial Research Center Memorandum No. 68, Department of Economics, Princeton University.
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© 1986 Springer-Verlag Berlin Heidelberg
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Büttler, HJ., Frei, G., Schips, B. (1986). Prediction-Oriented Estimation Methods for the Canonical Disequilibrium Model. In: Estimation of Disequilibrium Models. Lecture Notes in Economics and Mathematical Systems, vol 279. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-48340-0_3
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DOI: https://doi.org/10.1007/978-3-642-48340-0_3
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-16817-1
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