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bibliography.bib
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@book{fair1971,
author = {Fair, Ray C},
publisher = {Heath Lexington Books},
title = {A short-run forecasting model of the United States
economy},
url =
{https://fairmodel.econ.yale.edu/RAYFAIR/pdf/1971EI.PDF},
year = 1971
}
@article{theil1953,
author = {Theil, H},
journal = {The Hague: central planning bureau},
pages = {2--5},
title = {Repeated least squares applied to complete equation
systems},
year = 1953
}
@techreport{karapanagiotis2020invisible,
abstract = {Shortages and surpluses appear in many markets both
under exceptional and typical circumstances. This
article proposes an assessment of the
appropriateness of market-clearing in econometric
modeling. The methodology allows the comparison of
equilibrium and disequilibrium models with known
likelihoods. Its performance is examined in a
controlled environment using large-scale simulations
of five market models. An application of the
methodology using US retail and scanner deodorant
data shows that, during times of distress, exogenous
shocks can improve the effectiveness of the price
mechanism. The results of this article may serve as
empirical justifications of deviations from
market-clearing.},
author = {Karapanagiotis, Pantelis},
booktitle = {SSRN Electronic Journal},
doi = {10.2139/ssrn.3525622},
issn = {1556-5068},
keywords = {Markov switching, disequilibrium, marginal effects,
market-clearing, maximum likelihood, model
selection},
shorttitle = {The Assessment of Market-Clearing},
title = {The Assessment of Market-Clearing as a Model
Selection Problem},
type = {Working Paper}
}
@article{balestra1987,
abstract = {In this paper we develop full information methods
for estimating the parameters of a system of
simultaneous equations with error component
structure and establish relationships between the
various structural estimators. {\textcopyright}
1987, Cambridge University Press. All rights
reserved.},
author = {Balestra, Pietro and Varadharajan-Krishnakumar,
Jayalakshmi},
doi = {10.1017/S0266466600010318},
issn = 14694360,
journal = {Econometric Theory},
number = 2,
pages = {223--246},
title = {Full information estimations of a system of
simultaneous equations with error component
structure},
volume = 3,
year = 1987
}
@article{hwang1980,
abstract = {It is shown that an equilibrium model can be written
as a nested hypothesis of a disequilibrium model in
the sense that the former restricts parameter
variations over time. It is then suggested to use
the stability tests proposed in the literature for
the test of a disequilibrium hypothesis. Fair's
(1972) monthly housing market model is used for an
empirical illustration, and a sampling experiment is
also conducted. {\textcopyright} 1980.},
author = {Hwang, Hae-shin},
doi = {10.1016/0304-4076(80)90059-7},
issn = 03044076,
journal = {Journal of Econometrics},
number = 3,
pages = {319--333},
title = {A test of a disequilibrium model},
volume = 12,
year = 1980
}
@article{quandt1978tests,
abstract = {Examines an article by Quandt on single-market
disequilibrium model. Purpose of the article;
Calculation of likelihood function; Difference of
the view of Quandt from McElroy.},
author = {Quandt, Richard E.},
doi = {10.2307/2526311},
issn = 00206598,
journal = {International Economic Review},
number = 2,
pages = 435,
title = {Tests of the Equilibrium vs. Disequilibrium
Hypotheses},
volume = 19,
year = 1978
}
@article{quandt1978estimating,
abstract = {Since the likelihood function corresponding to
finite mixtures of normal distributions is
unbounded, maximum likelihood estimation may break
down in practice. The article introduces the “moment
generating function estimator” defined as the
estimator which minimizes the sum of squares of
differences between the theoretical and sample
moment generating functions. The consistency and
asymptotic normality of the estimator are proved and
its finite sample behavior is compared to that of
the standard method of moments estimator by Monte
Carlo experiments. The estimator is applied to the
Hamermesh model of wage bargain
determination. {\textcopyright} 1978, Taylor &
Francis Group, LLC.},
author = {Quandt, Richard E. and Ramsey, James B.},
doi = {10.1080/01621459.1978.10480085},
issn = {1537274X},
journal = {Journal of the American Statistical Association},
keywords = {Maximum likelihood,Method of moments,Mixture
distribution,Moment generating function estimator},
number = 364,
pages = {730--738},
title = {Estimating mixtures of normal distributions and
switching regressions},
volume = 73,
year = 1978
}
@article{zilinskas2006,
abstract = {The possibility of estimating bounds for the
econometric likelihood function using balanced
random interval arithmetic is experimentally
investigated. The experiments on the likelihood
function with data from housing starts have proved
the assumption that distributions of centres and
radii of evaluated balanced random intervals are
normal. Balanced random interval arithmetic can
therefore be used to estimate bounds for this
function and global optimization algorithms based on
this arithmetic are applicable to optimize it. The
interval branch and bound algorithms with bounds
calculated using standard and balanced random
interval arithmetic were used to optimize the
likelihood function. Results of the experiments show
that when reliability is essential the algorithm
with standard interval arithmetic should be used,
but when speed of optimization is more important,
the algorithm with balanced random interval
arithmetic should be used which in this case
finishes faster and provides good, although not
always optimal, values. {\textcopyright} 2005
Elsevier B.V. All rights reserved.},
author = {Zilinskas, Julius and Bogle, Ian David Lockhart},
doi = {10.1016/j.ejor.2005.02.013},
issn = 03772217,
journal = {European Journal of Operational Research},
keywords = {Balanced random interval arithmetic,Global
optimization,Interval arithmetic},
number = 3,
pages = {1367--1378},
title = {Balanced random interval arithmetic in market model
estimation},
volume = 175,
year = 2006
}
@article{maddala1974,
abstract = {The paper presents maximum likelihood methods for
estimating four\ntypes of disequilibrium models. In
each case the model includes three\nequations: the
demand equation, the supply equation, and the
condition\nthat quantity observed is the minimum of
quantity demanded and quantity\nsupplied. The first
model consists of just these equations. In
the\nsecond model one knows whether one is on the
demand function or the\nsupply function by looking
at the direction of the change in price.\nIn the
third model the price change is assumed to be
proportional\nto excess demand. In the fourth model
the price change is a stochastic\nfunction of excess
demand and possibly other exogenous variables.\nSome
illustrative calculations are presented using the
housing starts\nmodel considered by Fair and Jaffee
in an earlier issue of this journal.},
author = {Maddala, G. S. and Nelson, Forrest D.},
doi = {10.2307/1914215},
issn = 00129682,
journal = {Econometrica},
number = 6,
pages = 1013,
publisher = {[Wiley, Econometric Society]},
title = {Maximum Likelihood Methods for Models of Markets in
Disequilibrium},
volume = 42,
year = 1974
}
@article{fair1972,
abstract = {This paper is concerned with the econometric
problems associated with\nestimating supply and
demand schedules in disequilibrium markets.\nThe
general problem is that in the absence of an
equilibrium condition\nthe ex ante demand and supply
quantities cannot in general be equated\nto the
observed quatity traded in the market. Four methods
of estimation,\ndiffering primarily in their use of
information on price-setting\nbehavior, are
developed in this paper. The first method is a
generalization\nof an earlier meothd developed by
R. Quandt and is based upon the\nmaximization of a
likelihood function. The method does not
require\nany specific assumption about price-setting
behavior, and it allows\nthe sample separation (into
demand and supply regimes) to be estimated\nalong
with the coefficient estimates. The second and third
methods\nuse the change in price as a qualitative
proxy in determining the\nsample separation. The
fouth method uses the change in price as
a\nquantitative proxy for the amount of excess
demand (supply) in the\nmarket. In the final section
of the paper the four methods are used\nto estimate
a a model of the housing and mortgage market in an
effort\nto gauge the potential usefulness of each of
the methods.},
author = {Fair, Ray C. and Jaffee, Dwight M.},
doi = {10.2307/1913181},
issn = 00129682,
journal = {Econometrica},
number = 3,
pages = 497,
title = {Methods of Estimation for Markets in Disequilibrium},
volume = 40,
year = 1972
}
@article{karapanagiotis2024,
title = {The {R} Package {markets}: Estimation Methods for
Markets in Equilibrium and Disequilibrium},
author = {Pantelis Karapanagiotis},
journal = {Journal of Statistical Software},
year = 2024,
volume = 108,
number = 2,
pages = {1--39},
doi = {10.18637/jss.v108.i02},
}