diseq: 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) <doi:10.2307/1914215>. They are implemented using the analytic derivative expressions calculated in Karapanagiotis (2020) <doi:10.2139/ssrn.3525622>. 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.

Version: 0.0.13
Depends: R (≥ 3.5.0)
Imports: bbmle (≥ 1.0.20), dplyr (≥ 0.7.6), magrittr (≥ 1.5), MASS (≥ 7.3-50), methods, rlang (≥ 0.2.1), systemfit (≥ 1.1), tibble (≥ 1.4.2), tidyr (≥ 1.0.2)
Suggests: ggplot2 (≥ 3.0.0), knitr (≥ 1.20), numDeriv (≥ 2016.8.1.1), rmarkdown (≥ 1.10), testthat (≥ 2.0.0)
Published: 2020-09-21
Author: Pantelis Karapanagiotis ORCID iD [aut, cre]
Maintainer: Pantelis Karapanagiotis <pikappa.devel at gmail.com>
BugReports: https://github.com/pi-kappa-devel/diseq/issues
License: MIT + file LICENSE
URL: https://github.com/pi-kappa-devel/diseq/
NeedsCompilation: no
Language: en-US
Citation: diseq citation info
Materials: README NEWS
CRAN checks: diseq results

Downloads:

Reference manual: diseq.pdf
Vignettes: An example of estimations using the market models of the package
An example of market-clearing assessment
Package source: diseq_0.0.13.tar.gz
Windows binaries: r-devel: diseq_0.0.13.zip, r-release: diseq_0.0.13.zip, r-oldrel: diseq_0.0.13.zip
macOS binaries: r-release: diseq_0.0.13.tgz, r-oldrel: diseq_0.0.13.tgz
Old sources: diseq archive

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