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) . They are implemented using the analytic derivative expressions calculated in Karapanagiotis (2020) . 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.


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0.0.14 by Pantelis Karapanagiotis, 2 months ago

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Authors: Pantelis Karapanagiotis [aut, cre]

Documentation:   PDF Manual  

MIT + file LICENSE license

Imports bbmle, dplyr, magrittr, MASS, methods, rlang, systemfit, tibble, tidyr

Suggests ggplot2, knitr, numDeriv, rmarkdown, testthat

See at CRAN