diseq: Estimation of models for markets in equilibrium and...

In diseq: Estimation Methods for Markets in Equilibrium and Disequilibrium

Estimation of models for markets in equilibrium and disequilibrium

Description

The diseq package provides tools to estimate and analyze an equilibrium and four disequilibrium models. The equilibrium model can be estimated with either two-stage least squares or with full information maximum likelihood. The methods are asymptotically equivalent. The disequilibrium models are estimated using full information maximum likelihood. All maximum likelihood models can be estimated both with independent and correlated demand and supply shocks. The disequilibrium estimation is based on Maddala and Nelson (1974) doi: 10.2307/1914215. The package is using the expressions of the gradients of the likelihoods derived in Karapanagiotis (2020) doi: 10.2139/ssrn.3525622.

Details

Overview

This page gives an overview of the market model classes and the available documentation options of the package.

Usage

The easiest way to get accustomed with the functionality of the package is to check the accompanying vignettes and the README file. These can be found in the following links:

basic_usage

vignette("basic_usage", package = "diseq")

equilibrium_assessment

vignette("market_clearing_assessment", package = "diseq")

Additionally, one can use the documentation examples. Some of them illustrate the package functionality using the houses dataset.

Market model classes

The model hierarchy is described in the README file. See the documentation of the classes for initialization details.

Equilibrium model classes:

equilibrium_model

Equilibrium model that can be estimated using full information maximum likelihood or two-stage least squares.

Disequilibrium model classes:

diseq_basic

Disequilibrium model only with a basic short side rule.

diseq_directional

Disequilibrium model with directional sample separation.

diseq_deterministic_adjustment

Disequilibrium model with deterministic price dynamics.

diseq_stochastic_adjustment

Disequilibrium model with stochastic price dynamics.

diseq documentation built on June 2, 2022, 1:10 a.m.