Autocorrelated errors in simple disequilibrium models
Economics LettersPublished 1 January 1981
Richard E. Quandt
Citations24
SJR quartileQ2
SJR score0.76
SNIP0.98
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Abstract
The simple disequilibrium model is extended to the case in which the errors follow a first-order Markov process. This differs from the contribution of Laffont and Monfort in that sample partition is not assumed to be known. The likelihood function is derived and maximum likelihood estimates are obtained for the Rosen-Quandt model of an aggregate labor market.
Keywords
MathematicsEconomics, Econometrics and Finance
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