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Two alternative stochastic specification and estimation methods for quantity rationing models: A Monte-Carlo comparison |
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| Institution: | 1. Biostatistics Center, Kurume University, Japan;2. Graduate Institute of Statistics, National Central University, Taiwan;3. Graduate Institute of Statistics, National Central University, Taiwan;1. Department of Economics, Lafayette College, Easton, PA 18042, USA;2. Research Division, Federal Reserve Bank of St. Louis, St. Louis, MO 63166, USA;3. Department of Economics and Finance, University of North Carolina Wilmington, Wilmington, NC 28403, USA |
| Abstract: | Quantity 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. |
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