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Statistische Analyse Ökonometrischer Ungleichgewichtsmodelle by Aare Rafi

Statistische Analyse Ökonometrischer Ungleichgewichtsmodelle

by Aare Rafi
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Book cover type: Paperback
  • ISBN13: 9783790804256
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Physica-Verlag
  • Publisher Imprint: Physica-Verlag
  • Publication Date:
  • Pages: 275
  • Original Price: EUR 51.39
  • Language: German
  • Edition: SPI
  • Item Weight: 463 grams
  • BISAC Subject(s): Economics / Theory

Das vorliegende Buch gibt eine umfassende Darstellung der in der ökonometrischen Literatur gebräuchlichen Ungleichgewichtsmodelle zusammen mit einer eingehenden theoretisch-statistischen Analyse der Identifizierbarkeits- und Schätzproblematik. Es werden 1-Markt- und 2-Markt-Modelle betrachtet, wobei jeweils sechs charakteristische Modellklassen unterschieden werden: Die statistischen Modelle lassen sich nach einer in der Literatur üblichen Klassifizierung einteilen in solche des Typs I, II, III und IV, hinzu kommen die Modelle mit kontrollierten Preisen. Die sechste Klasse bilden die dynamischen Modelle. Der in der Ungleichgewichtsliteratur ziemlich vernachlässigte Aspekt der Identifizierbarkeit der zu schätzenden Modellparameter wird anhand verbesserter Identifizierbarkeitskriterien für nichtlineare Modelle diskutiert. Die üblicherweise in der einschlägigen Literatur vorgeschlagene Schätzmethode ist die Maximum-Likelihood-Schätzung: da die Maximierung der hochgradig nichtlinearen Likelihoodfunktionen jedoch iterative Verfahren und damit gute Anfangsschätzer für die Parameter erfordert, werden hier in erster Linie die Anwendung teilweise neuer zweistufiger Schätzverfahren und deren asymptotische Eigenschaften untersucht.

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