An extension of the maximum score estimator for disequilibrium models

Mayer and Dorsey (1998) [Mayer, W.J., Dorsey, R.E., 1998. Maximum score est imation of disequilibrium models and the role of anticipatory price-setting . Journal of Econometrics, 87, 1-4] propose a maximum score estimator for d isequilibrium models with anticipatory pricing models. Here I prove consist ency under assumptions that allow for more general price adjustment process es. I also show that the smoothing function used in Mayer and Dorsey (1998) can be replaced with a simpler function that requires fewer arbitrary choi ces by the researcher. (C) 1999 Elsevier Science S.A. All rights reserved.