Download The Estimation of Macroeconomic Disequilibrium Models with by Glenn D. Rudebusch PDF

By Glenn D. Rudebusch

Examines an econometric specification of the disequilibrium version that includes non-stochastic information regarding marketplace extra call for. This disequilibrium specification will be simply envisioned with a variety of fascinating structural positive factors together with dynamical parts, an endogenous cost, and a number of markets. This specification is illustrated through the estimation of a single-market and a multimarket macroeconomic disequilibrium version.

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Extra info for The Estimation of Macroeconomic Disequilibrium Models with Regime Classification Information

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1 derives the appropriate likelihood functions and provides a Classical statistical hypothesis test. There are, however, broader issues to judge than just the misspecification of stochastic errors. As should be clear from our earlier discussion, computational feasibility and structural misspecification are also important considerations. 2 considers these trade-offs as they are represented in the various disequilibrium specifications. atio Test of the Exact Indicator In any econometric specification, there are far more assumptions, for example, structural linearity and stochastic error normality, than can reasonably be tested.

347 Of course, the only completely valid comparison would be between the results in Table 2 and maximum likelihood estimates of the standard disequilibrium model (with an endogenous wage) augmented by a stochastic indicator equation based on the same data.

1: Exact Indicator Results In this section, three stage least squares is used as a systems estimation technique (exogenous variables serve as first stage regressors) with the indicator, the quantity of labor, and the wage rate assumed to be endogenous to the system. It is assumed that the disturbances ul t and U2t are serially independent and (u lt 'U 2t ) ~ N(O,l:) where l: is nonsingular but not necessarily diagonal. In the last section, maximum likelihood methods will be used and a diagonal variance-covariance matrix is assumed for simplicity, but with three stage least squares we can easily allow for a non-zero covariance.

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