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DESCRIPTION
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DESCRIPTION
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Package: markets
Title: Estimation Methods for Markets in Equilibrium and Disequilibrium
Version: 1.1.5
Date: 2024-02-17
Authors@R:
person(given = "Pantelis",
family = "Karapanagiotis",
role = c("aut", "cre"),
email = "[email protected]",
comment = c(ORCID = "0000-0001-9871-1908"))
Description: 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.
Language: en-US
URL: https://github.com/pi-kappa-devel/markets/, https://markets.pikappa.eu/
BugReports: https://github.com/pi-kappa-devel/markets/issues
Depends:
R (>= 4.1.0)
Imports:
dplyr (>= 0.7.6),
Formula,
MASS (>= 7.3-50),
methods,
rlang (>= 0.2.1),
Rcpp,
RcppGSL,
RcppParallel,
stats
License: MIT + file LICENSE
Encoding: UTF-8
LazyData: true
RoxygenNote: 7.2.3
Suggests:
ggplot2 (>= 3.0.0),
knitr (>= 1.20),
numDeriv (>= 2016.8.1.1),
rmarkdown (>= 1.10),
testthat (>= 2.0.0)
VignetteBuilder: knitr
Collate:
'data.R'
'equation_base.R'
'system_base.R'
'model_logger.R'
'market_model.R'
'disequilibrium_model.R'
'diseq_basic.R'
'diseq_deterministic_adjustment.R'
'diseq_directional.R'
'diseq_stochastic_adjustment.R'
'equation_basic.R'
'equation_deterministic_adjustment.R'
'equation_directional.R'
'equation_stochastic_adjustment.R'
'equilibrium_model.R'
'system_basic.R'
'gradient_basic.R'
'system_deterministic_adjustment.R'
'gradient_deterministic_adjustment.R'
'system_directional.R'
'gradient_directional.R'
'system_equilibrium.R'
'gradient_equilibrium.R'
'system_stochastic_adjustment.R'
'gradient_stochastic_adjustment.R'
'hessian_basic.R'
'hessian_directional.R'
'likelihood_basic.R'
'likelihood_deterministic_adjustment.R'
'likelihood_directional.R'
'likelihood_equilibrium.R'
'likelihood_stochastic_adjustment.R'
'market_fit.R'
'markets.R'
'model_simulation.R'
LinkingTo:
Rcpp,
RcppGSL