marginal_effects: Marginal effects

In diseq: Estimation Methods for Markets in Equilibrium and Disequilibrium

Marginal effects

Description

Returns the estimated effect of a variable.

Usage

shortage_marginal(fit, variable, model, parameters)

shortage_probability_marginal(
  fit,
  variable,
  aggregate = "mean",
  model,
  parameters
)

## S4 method for signature 'missing,ANY,market_model,ANY'
shortage_marginal(variable, model, parameters)

## S4 method for signature 'missing,ANY,ANY,market_model,ANY'
shortage_probability_marginal(variable, aggregate, model, parameters)

## S4 method for signature 'missing,ANY,market_model,ANY'
shortage_marginal(variable, model, parameters)

## S4 method for signature 'market_fit,ANY,missing,missing'
shortage_marginal(fit, variable)

## S4 method for signature 'market_fit,ANY,ANY,missing,missing'
shortage_probability_marginal(fit, variable, aggregate)

Arguments

fit	A fitted market model.
variable	Variable name for which the effect is calculated.
model	A market model object.
parameters	A vector of parameters.
aggregate	Mode of aggregation. Valid options are "mean" (the default) and "at_the_mean".

Value

The estimated effect of the passed variable.

Functions

• shortage_marginal: Marginal effect on market system

  Returns the estimated marginal effect of a variable on the market system. For a system variable x with demand coefficient β_{d, x} and supply coefficient β_{s, x}, the marginal effect on the market system is given by

  M_{x} = \frac{β_{d, x} - β_{s, x}}{√{σ_{d}^{2} + σ_{s}^{2} - 2 ρ_{ds} σ_{d} σ_{s}}}.

• shortage_probability_marginal: Marginal effect on shortage probabilities

  Returns the estimated marginal effect of a variable on the probability of observing a shortage state. The mean marginal effect on the shortage probability is given by

  M_{x} \mathrm{E} φ≤ft(\frac{D - S}{√{σ_{d}^2 + σ_{s}^2 - 2 rho σ_{d} σ_{s}}}\right)

  and the marginal effect at the mean by

  M_{x} φ≤ft(\mathrm{E}\frac{D - S}{√{σ_{d}^2 + σ_{s}^2 - 2 rho σ_{d} σ_{s}}}\right)

  where M_{x} is the marginal effect on the system, D is the demanded quantity, S the supplied quantity, and φ is the standard normal density.

Examples

# estimate a model using the houses dataset
fit <- diseq_deterministic_adjustment(
  HS | RM | ID | TREND ~
  RM + TREND + W + CSHS + L1RM + L2RM + MONTH |
  RM + TREND + W + L1RM + MA6DSF + MA3DHF + MONTH,
  fair_houses(),  correlated_shocks = FALSE,
  estimation_options = list(control = list(maxit = 1e+5)))

# mean marginal effect of variable "RM" on the shortage probabilities
#' shortage_probability_marginal(fit, "RM")

# marginal effect at the mean of variable "RM" on the shortage probabilities
shortage_probability_marginal(fit, "CSHS", aggregate = "at_the_mean")

# marginal effect of variable "RM" on the system
shortage_marginal(fit, "RM")

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