Disequilibrium Econometrics in Simultaneous Equations Systems
探讨多市场非均衡模型的计量问题，提出基于一般非均衡理论的模型设定，并给出有限信息和完全信息估计量及FIML估计算法，为经济理论与计量方法搭建桥梁。
This paper considers the econometric problems raised by multi-market disequilibrium models. It uses a specification which is derived from general disequilibrium theory and, therefore, provides a first bridge between the economic theory approach and the econometric theory approach of disequilibrium. The model is piecewise linear; the problem of the existence of a reduced form, which is a crucial issue in nonlinear models, is solved. Limited information estimators as well as full information estimators are proposed; a simple numerical algorithm is given for the computation of a FIML estimator.