Package: markets 1.1.5

markets: Estimation Methods for Markets in Equilibrium and Disequilibrium

Provides estimation methods for markets in equilibrium and disequilibrium. Supports the estimation of an equilibrium and four disequilibrium models with both correlated and independent shocks. Also provides post-estimation analysis tools, such as aggregation, marginal effect, and shortage calculations. See Karapanagiotis (2024) <doi:10.18637/jss.v108.i02> for an overview of the functionality and examples. The estimation methods are based on full information maximum likelihood techniques given in Maddala and Nelson (1974) <doi:10.2307/1914215>. They are implemented using the analytic derivative expressions calculated in Karapanagiotis (2020) <doi:10.2139/ssrn.3525622>. Standard errors can be estimated by adjusting for heteroscedasticity or clustering. The equilibrium estimation constitutes a case of a system of linear, simultaneous equations. Instead, the disequilibrium models replace the market-clearing condition with a non-linear, short-side rule and allow for different specifications of price dynamics.

Authors:Pantelis Karapanagiotis [aut, cre]

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Bug tracker:https://github.com/pi-kappa-devel/markets/issues

On CRAN:

disequilibriumeconomicsfinancefull-information-maximum-likelihoodmarket-clearingmarket-modelsshort-side-rule

40 exports 1 stars 0.84 score 21 dependencies 9 scripts 235 downloads

Last updated 7 months agofrom:576e5a51af. Checks:ERROR: 1 WARNING: 8. Indexed: yes.

Exports:aggregate_demandaggregate_supplycoefcoefficientsdemand_descriptivesdemanded_quantitiesdescribediseq_basicdiseq_deterministic_adjustmentdiseq_directionaldiseq_stochastic_adjustmentequilibrium_modelestimatefair_housesformulagradienthessianlog_likelihoodlogLikmarket_typenamencoefnobsnormalized_shortagesplotrelative_shortagesscoresshortage_indicatorsshortage_marginalshortage_probabilitiesshortage_probability_marginalshortage_standard_deviationshortagesshowsimulate_datasimulate_modelsummarysupplied_quantitiessupply_descriptivesvcov

Dependencies:clidplyrfansiFormulagenericsgluelifecyclemagrittrMASSpillarpkgconfigR6RcppRcppGSLRcppParallelrlangtibbletidyselectutf8vctrswithr