markets: Estimation Methods for Markets in Equilibrium and Disequilibrium

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.

Version: 1.1.5
Depends: R (≥ 4.1.0)
Imports: dplyr (≥ 0.7.6), Formula, MASS (≥ 7.3-50), methods, rlang (≥ 0.2.1), Rcpp, RcppGSL, RcppParallel, stats
LinkingTo: Rcpp, RcppGSL
Suggests: ggplot2 (≥ 3.0.0), knitr (≥ 1.20), numDeriv (≥ 2016.8.1.1), rmarkdown (≥ 1.10), testthat (≥ 2.0.0)
Published: 2024-02-17
DOI: 10.32614/
Author: Pantelis Karapanagiotis ORCID iD [aut, cre]
Maintainer: Pantelis Karapanagiotis <pikappa.devel at>
License: MIT + file LICENSE
NeedsCompilation: yes
Language: en-US
Citation: markets citation info
Materials: README NEWS
CRAN checks: markets results


Reference manual: markets.pdf
Vignettes: Some examples of use-cases using the market models of the package
An example of market-clearing assessment
Model initialization and estimation details
The R Package markets: Estimation Methods for Markets in Equilibrium and Disequilibrium


Package source: markets_1.1.5.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): markets_1.1.5.tgz, r-oldrel (arm64): markets_1.1.5.tgz, r-release (x86_64): markets_1.1.5.tgz, r-oldrel (x86_64): markets_1.1.5.tgz
Old sources: markets archive


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