Package: markets 1.1.5
Pantelis Karapanagiotis
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:
markets_1.1.5.tar.gz
markets_1.1.5.tar.gz(r-4.5-noble)markets_1.1.5.tar.gz(r-4.4-noble)
markets_1.1.5.tgz(r-4.4-emscripten)markets_1.1.5.tgz(r-4.3-emscripten)
markets.pdf |markets.html✨
markets/json (API)
NEWS
| # Install 'markets' in R: |
| install.packages('markets', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/pi-kappa-devel/markets/issues
- houses - Credit market data for US housing starts
Last updated 9 months agofrom:5449ae155e. Checks:OK: 2. Indexed: no.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 25 2024 |
| R-4.5-linux-x86_64 | OK | Nov 25 2024 |
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
An example of market-clearing assessment
Rendered frommarket_clearing_assessment.Rmdusingknitr::rmarkdownon Nov 25 2024.Last update: 2024-02-18
Started: 2022-05-18
Model initialization and estimation details
Rendered frommodel_details.Rmdusingknitr::rmarkdownon Nov 25 2024.Last update: 2024-02-18
Started: 2022-05-18
Some examples of use-cases using the market models of the package
Rendered frombasic_usage.Rmdusingknitr::rmarkdownon Nov 25 2024.Last update: 2024-02-18
Started: 2022-05-18
The R Package markets: Estimation Methods for Markets in Equilibrium and Disequilibrium
Rendered frompackage.Rmdusingknitr::rmarkdownon Nov 25 2024.Last update: 2024-02-18
Started: 2022-05-18
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Market fit coefficients | coef coef,market_fit-method coefficients,market_fit-method |
| Model estimation | estimate estimate,equilibrium_model-method estimate,market_model-method |
| Market model formula | formula,market_model-method market_model_formula |
| Credit market data for US housing starts | fair_houses houses |
| Log likelihood of a fitted market model | logLik,market_fit-method logLik.market_fit |
| Marginal effects | marginal_effects shortage_marginal shortage_marginal,market_fit,ANY,missing,missing-method shortage_marginal,missing,ANY,market_model,ANY-method shortage_probability_marginal shortage_probability_marginal,market_fit,ANY,ANY,missing,missing-method shortage_probability_marginal,missing,ANY,ANY,market_model,ANY-method |
| Market side aggregation | aggregate_demand aggregate_demand,market_fit,missing,missing-method aggregate_demand,missing,market_model,ANY-method aggregate_supply aggregate_supply,market_fit,missing,missing-method aggregate_supply,missing,market_model,ANY-method market_aggregation |
| Market force data descriptive statistics | demand_descriptives demand_descriptives,market_model-method market_descriptives supply_descriptives supply_descriptives,market_model-method |
| Market model fit | market_fit-class |
| Market model classes | disequilibrium_model-class diseq_basic-class diseq_deterministic_adjustment-class diseq_directional-class diseq_stochastic_adjustment-class equilibrium_model-class market_models |
| Estimated market quantities | demanded_quantities demanded_quantities,market_fit,missing,missing-method demanded_quantities,missing,market_model,ANY-method market_quantities supplied_quantities supplied_quantities,market_fit,missing,missing-method supplied_quantities,missing,market_model,ANY-method |
| Market model simulation | market_simulation simulate_data simulate_data,ANY-method simulate_model simulate_model,ANY-method |
| Short model and market descriptions | describe describe,market_fit-method describe,market_model-method market_type market_type,market_fit-method market_type,market_model-method model_description name name,market_fit-method name,market_model-method |
| Model initialization | initialize,diseq_basic-method initialize,diseq_deterministic_adjustment-method initialize,diseq_directional-method initialize,diseq_stochastic_adjustment-method initialize,equilibrium_model-method model_initialization |
| Model likelihoods and derivatives | gradient gradient,diseq_basic-method gradient,diseq_deterministic_adjustment-method gradient,diseq_directional-method gradient,diseq_stochastic_adjustment-method gradient,equilibrium_model-method hessian hessian,diseq_basic-method hessian,diseq_directional-method log_likelihood log_likelihood,diseq_basic-method log_likelihood,diseq_deterministic_adjustment-method log_likelihood,diseq_directional-method log_likelihood,diseq_stochastic_adjustment-method log_likelihood,equilibrium_model-method model_likelihoods scores scores,diseq_basic,ANY,ANY-method scores,diseq_deterministic_adjustment,ANY,ANY-method scores,diseq_directional,ANY,ANY-method scores,diseq_stochastic_adjustment,ANY,ANY-method scores,equilibrium_model,ANY,ANY-method scores,missing,missing,market_fit-method |
| Number of coefficients | ncoef ncoef,market_fit-method ncoef,market_model-method |
| Number of observations | nobs,market_fit-method nobs,market_model-method |
| Plots the fitted model | plot,market_fit-method |
| Analysis of shortages | normalized_shortages normalized_shortages,market_fit,missing,missing-method normalized_shortages,missing,market_model,ANY-method relative_shortages relative_shortages,market_fit,missing,missing-method relative_shortages,missing,market_model,ANY-method shortages shortages,market_fit,missing,missing-method shortages,missing,market_model,ANY-method shortage_analysis shortage_indicators shortage_indicators,market_fit,missing,missing-method shortage_indicators,missing,market_model,ANY-method shortage_probabilities shortage_probabilities,market_fit,missing,missing-method shortage_probabilities,missing,market_model,ANY-method shortage_standard_deviation shortage_standard_deviation,market_fit,missing,missing-method shortage_standard_deviation,missing,diseq_stochastic_adjustment,ANY-method shortage_standard_deviation,missing,market_model,ANY-method |
| Prints a short description of the model | show,market_fit-method show,market_model-method |
| Single call estimation | diseq_basic diseq_basic,formula-method diseq_deterministic_adjustment diseq_deterministic_adjustment,formula-method diseq_directional diseq_directional,formula-method diseq_stochastic_adjustment diseq_stochastic_adjustment,formula-method equilibrium_model equilibrium_model,formula-method single_call_estimation |
| Model and fit summaries | summary summary,market_fit-method summary,market_model-method |
| Variance-covariance matrix for a fitted market model | vcov,market_fit-method |
