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.
Oxford Bulletin of Economics and Statistics (2022)
Matsuoka Hideaki