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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.
Citation | markets citation info |
github.com/pi-kappa-devel/markets/ | |
markets.pikappa.eu/ | |
Bug report | File report |
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