The diseq package provides tools to estimate and analyze an equilibrium and
four disequilibrium models. The equilibrium model can be estimated with either
two-stage least squares or with full information maximum likelihood. The methods are
asymptotically equivalent. The disequilibrium models are estimated using full
information maximum likelihood. All maximum likelihood models can be estimated both
with independent and correlated demand and supply shocks. The disequilibrium
estimation is based on Maddala and Nelson (1974) doi:10.2307/1914215
. The package
is using the expressions of the gradients of the likelihoods derived in
Karapanagiotis (2020) doi:10.2139/ssrn.3525622
.
Overview
This page gives an overview of the market model classes and the available documentation options of the package.
The easiest way to get accustomed with the functionality of the package is to check the accompanying vignettes and the README file. These can be found in the following links:
Additionally, one can use the documentation examples. Some of them illustrate the
package functionality using the houses dataset.
The model hierarchy is described in the README file. See the documentation of the classes for initialization details.
Equilibrium model classes:
equilibrium_modelEquilibrium model that can be estimated using full information maximum likelihood or two-stage least squares.
Disequilibrium model classes:
diseq_basicDisequilibrium model only with a basic short side rule.
diseq_directionalDisequilibrium model with directional sample separation.
diseq_deterministic_adjustmentDisequilibrium model with deterministic price dynamics.
diseq_stochastic_adjustmentDisequilibrium model with stochastic price dynamics.