Add to ORKGQuantity 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
In Markov-switching regression models, we use Kullback-Leibler (KL) divergence between the true and ...
Since Hamilton (1989) introduced regime-switching models to analyze the salient features of aggregat...
In the present paper we explore various approaches of computing model likelihoods from the MCMC outp...
We analyze use of a quasi-likelihood ratio statistic for a mixture model to test the null hypothesis...
Markov regime switching models are widely considered in economics and \u85nance. Although there have...
A recent approach to the deterministic model reduction problem is based on the notion of balancing. ...
The estimation of discrete choice models requires collecting data about the socioeconomic characteri...
The regime-switching Lévy model combines jump-diffusion under the form of a Lévy process, and Markov...
We study model selection issues and some extensions of Markov switching models. We establish both th...
This paper investigates the extent of the market, using a switching regimes model similar to those u...
Empirical research with Markov regime-switching models often requires the researcher not only to est...
The use of disequilibrium models in applied microeconomic research is evaluated. A disequilibrium or...
In Markov Chain Monte Carlo (MCMC) simulations, thermal equilibria quantities are estimated by ensem...
In Markov-switching regression models, we use Kullback-Leibler (KL) divergence between the true and ...
Comparisons of various methods for solving stochastic control economic models can be done with Monte...
In Markov-switching regression models, we use Kullback-Leibler (KL) divergence between the true and ...
Since Hamilton (1989) introduced regime-switching models to analyze the salient features of aggregat...
In the present paper we explore various approaches of computing model likelihoods from the MCMC outp...
We analyze use of a quasi-likelihood ratio statistic for a mixture model to test the null hypothesis...
Markov regime switching models are widely considered in economics and \u85nance. Although there have...
A recent approach to the deterministic model reduction problem is based on the notion of balancing. ...
The estimation of discrete choice models requires collecting data about the socioeconomic characteri...
The regime-switching Lévy model combines jump-diffusion under the form of a Lévy process, and Markov...
We study model selection issues and some extensions of Markov switching models. We establish both th...
This paper investigates the extent of the market, using a switching regimes model similar to those u...
Empirical research with Markov regime-switching models often requires the researcher not only to est...
The use of disequilibrium models in applied microeconomic research is evaluated. A disequilibrium or...
In Markov Chain Monte Carlo (MCMC) simulations, thermal equilibria quantities are estimated by ensem...
In Markov-switching regression models, we use Kullback-Leibler (KL) divergence between the true and ...
Comparisons of various methods for solving stochastic control economic models can be done with Monte...
In Markov-switching regression models, we use Kullback-Leibler (KL) divergence between the true and ...
Since Hamilton (1989) introduced regime-switching models to analyze the salient features of aggregat...
In the present paper we explore various approaches of computing model likelihoods from the MCMC outp...