Abstract
The relative accuracy of estimators in recovering supply and demand parameters can depend on the market institutions that generate the data. The parameters of known supply and demand functions are estimated with data from laboratory market experiments with human buyers and sellers. Single-equation estimators dominate simultaneous-equations estimators in recovering supply and demand parameters from posted-offer market data. The inaccuracy of simultaneous-equations estimators with posted-offer data can be explained by the implications for error distributions of the inherent properties of this market institution. Simultaneous-equations estimators perform better with closing-price data from double-auction markets.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 285-297 |
| Number of pages | 13 |
| Journal | Journal of Business and Economic Statistics |
| Volume | 17 |
| Issue number | 3 |
| DOIs | |
| State | Published - Jul 1999 |
Keywords
- Double-auction markets
- Experimental economics
- Posted-offer markets
- Simultaneous-equations estimators
- Single-equation estimators
ASJC Scopus subject areas
- Statistics and Probability
- Social Sciences (miscellaneous)
- Economics and Econometrics
- Statistics, Probability and Uncertainty