Maximum Likelihood Methods for Models of Markets in Disequilibrium

By Maddala Gangadharrao and Nelson Forrest
Econometrica (1974)

  • Christophe Hurlin

    University of Orléans

    France

Created

September 28, 2013

Last update

September 28, 2013

Software

Matlab

Ranking

26

Visits

6065

Downloads

459

Description

This Matlab code computes the Maximum Likelihood (ML) estimates of the parameters of a disequilibrium model according to the methodology proposed by Maddala and Nelson (1974) or Quandt (1988). The user provides the dependant variable and the explicative variables of both regimes (supply and demand regimes). The ML estimation is done without any constraint on the parameter (by default) or with positivity constraints on the standard errors of both regimes. For more information about the model used, please download the following pdf file.

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