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.
Version: 1.1.5 Depends: R (≥ 4.1.0) Imports: dplyr (≥ 0.7.6), Formula, MASS (≥ 7.3-50), methods, rlang (≥ 0.2.1), Rcpp, RcppGSL, RcppParallel, stats LinkingTo: Rcpp, RcppGSL Suggests: ggplot2 (≥ 3.0.0), knitr (≥ 1.20), numDeriv (≥ 2016.8.1.1), rmarkdown (≥ 1.10), testthat (≥ 2.0.0) Published: 2024-02-17 DOI: 10.32614/CRAN.package.markets Author: Pantelis Karapanagiotis [aut, cre] Maintainer: Pantelis Karapanagiotis <pikappa.devel at gmail.com> BugReports: https://github.com/pi-kappa-devel/markets/issues License: MIT + file LICENSE URL: https://github.com/pi-kappa-devel/markets/, https://markets.pikappa.eu/ NeedsCompilation: yes Language: en-US Citation: markets citation info Materials: README NEWS CRAN checks: markets results Documentation: Downloads: Linking:Please use the canonical form https://CRAN.R-project.org/package=markets to link to this page.
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