tailieunhanh - Handbook of Econometrics Vols1-5 _ Chapter 28

Chapter 28 DISEQUILIBRIUM, SELF-SELECTION, AND SWITCHING MODELS Introduction Estimation of the switching regression model: Sample separation known Estimation of the switching regression model: Sample separation unknown Estimation of the switching regression model with imperfect sample separation information | Chapter 28 DISEQUILIBRIUM SELF-SELECTION AND SWITCHING MODELS G. S. MADDALA University of Florida Contents 1. 2. Introduction 1634 Estimation of the switching regression model Sample separation known 1637 3. Estimation of the switching regression model Sample separation unknown 1640 4. Estimation of the switching regression model with imperfect sample separation information 1646 5. 6. Switching simultaneous systems 1649 Disequilibrium models Different formulations of price adjustment 1652 . The meaning of the price adjustment equation 1653 . Modifications in the specification of the demand and supply functions 1656 . The validity of the Min condition 1660 7. Some other problems of specification in disequilibrium models 1662 . Problems of serial correlation 1663 . Tests for distributional assumptions 1664 . Tests for disequilibrium 1664 . Models with inventories 1667 8. 9. 10. 11. Multimarket disequilibrium models 1668 Models with self-selection 1672 Multiple criteria for selectivity 1676 Concluding remarks 1680 References 1682 This chapter was first prepared in 1979. Since then Quandt 1982 has presented a survey of disequilibrium models and Maddala 1983a has treated self-selection and disequilibrium models in two chapters of the book. The present paper is an updated and condensed version of the 1979 paper. If any papers are not cited it is just through oversight rather than any judgment on their importance. Financial support from the NSF is gracefully acknowledged. Handbook of Econometrics Volume HI Edited by Z. Griliches and M. D. Intriligator Elsevier Science Publishers BV 1986 1634 G. S. Maddala 1. Introduction The title of this chapter stems from the fact that there is an underlying similarity between econometric models involving disequilibrium and econometric models involving self-selection the similarity being that both of them can be considered switching structural systems. We will first consider the switching regression model and show .