Estimation Methods for Markets in Disequilibrium
Provides estimation methods for markets in equilibrium and
disequilibrium. Specifically, it supports the estimation of an equilibrium and
four disequilibrium models with both correlated and independent shocks.
It also provides post-estimation analysis tools, such as aggregation and
marginal effects calculations. The estimation methods are based on full
information maximum likelihood techniques given in Maddala and Nelson (1974)
<10.2307>. They are implemented using the analytic derivative
expressions calculated in Karapanagiotis (2020) <10.2139>.
The equilibrium estimation constitutes a special case of
a system of simultaneous equations. The disequilibrium models, instead, replace
the market clearing condition with a short side rule and
allow for different specifications of price dynamics.10.2139>10.2307>