Simulation Method in Dynamic Single Market Disequilibrium Modeling

Ming Que YE;Shi Ying ZHANG

Systems Engineering - Theory & Practice ›› 2002, Vol. 22 ›› Issue (1) : 57-64.

PDF(191 KB)
PDF(191 KB)
Systems Engineering - Theory & Practice ›› 2002, Vol. 22 ›› Issue (1) : 57-64. DOI: 10.12011/1000-6788(2002)1-57
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Simulation Method in Dynamic Single Market Disequilibrium Modeling

  • Ming Que YE,Shi Ying ZHANG
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Abstract

In this paper, we propose simulation methods to deal with disequilibrium model with sample separation unknown. And establish GHK-recursive simulated maximum likelihood method for dynamic single market disequilibrium model. Monte Carlo studies are provided to demonstrate the efficiency of this method in estimation and regime classification of dynamic single market disequilibrium model.

Key words

simulation method / dynamic disequilibrium model / GHK simulated maximum likelihood method / regime classification

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Ming Que YE , Shi Ying ZHANG. Simulation Method in Dynamic Single Market Disequilibrium Modeling. Systems Engineering - Theory & Practice, 2002, 22(1): 57-64 https://doi.org/10.12011/1000-6788(2002)1-57
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