Simulated efficient estimation of dynamic multi-market disequilibrium models

The estimation of dynamic multi-market disequilibrium models is investigated. The dynamic multi-market disequilibrium model can capture intertemporal spillover effects of unsatisfied demands and supplies as well as spillover effects across markets. Its complex nonlinear structures with latent dependent variables and with large dimensional parameter space require carefully designed methods for estimation. In this article, we suggest and demonstrate the tractability of the simulated expectation and maximization algorithm for the estimation of those models.