Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Jul, 1977, Volume 45, Issue 5

The Asymptotic Properties of a Maximum Likelihood Estimator for a Model of Markets in Disequilibrium

https://www.jstor.org/stable/1914068
p. 1205-1220

Michael J. Hartley, Parthasaradhi Mallela

This paper considers the problem of estimating the parameters of linear demand and supply equations in cases where prices are set exogenously and do not, in general, clear the market. The particular feature of the problem is that the quantities demanded and supplied are not explicitly observed. Instead, we observe the quantity actually transacted--assumed to be determined as the smaller of these two. The maximum likelihood estimator is examined and the asymptotic properties are derived.


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