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Can Supply and Demand Parameters Be Recovered from Data Generated by Market Institutions?

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  • Cox, James C
  • Oaxaca, Ronald L

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.

Suggested Citation

  • Cox, James C & Oaxaca, Ronald L, 1999. "Can Supply and Demand Parameters Be Recovered from Data Generated by Market Institutions?," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(3), pages 285-297, July.
    • Handle: RePEc:bes:jnlbes:v:17:y:1999:i:3:p:285-97
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    Cited by:

    1. Houser, Daniel & Winter, Joachim, 2004. "How Do Behavioral Assumptions Affect Structural Inference? Evidence from a Laboratory Experiment," Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 64-79, January.
    2. Noe, Thomas H. & Rebello, Michael & Wang, Jun, 2012. "Learning to bid: The design of auctions under uncertainty and adaptation," Games and Economic Behavior, Elsevier, vol. 74(2), pages 620-636.
    3. Vernon Smith, 2002. "Method in Experiment: Rhetoric and Reality," Experimental Economics, Springer;Economic Science Association, vol. 5(2), pages 91-110, October.

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