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Disequilibrium

Estimate, summarize, and perform predictions with the market in disequilibrium model, as found in Gourieroux, C. (2000) \doi{10.1017/CBO9780511805608} and Maddala, G. (1983) \doi{10.1017/CBO9780511810176}. The parameters are estimated with maximum likelihood.

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Install

install.packages('Disequilibrium')

Monthly Downloads

19

Version

1.1

License

GPL-3

Maintainer

Nate Latshaw

Last Published

May 31st, 2020

Functions in Disequilibrium (1.1)

TransformSigma_PDtoR2

TransformSigma_PDtoR2
estfun.DE

estfun method for class 'DE'
TransformSigma_PDtoR3

TransformSigma_PDtoR3
fjdata

Data from Fair and Jaffee (1972).
DlhoodDatanhrho

Derivative of likelihood with respect to the inverse hyperbolic tangent of correlation
residuals.DE

residuals method for class 'DE'
TransformSigma_R2toPD

TransformSigma_R2toPD
summary.DE

Summary method for class 'DE'
nobs.DE

nobs method for class 'DE'
TransformSigma_R3toPD

TransformSigma_R3toPD
predict.DE

Predict method for class 'DE'
nGradientDE

Negative gradient of log likelihood with respect to all parameters
nLLikelihoodDE

Negative log likelihood of market in disequilibrium model
vcov.DE

vcov method for class 'DE'
DllhoodDatanhrho

Derivative of log likelihood with respect to the inverse hyperbolic tangent of correlation
DlhoodDlogsigma11

Derivative of likelihood with respect to the log of variance for equation 1
GradientDE

Gradient of log likelihood with respect to all parameters
DllhoodDbeta1

Gradient of log likelihood with respect to the coefficients of equation 1
LLikelihoodDE

Log likelihood of market in disequilibrium model
DE

Market in Disequilibrium Model
DlhoodDbeta1

Derivative of likelihood with respect to the coefficients of equation 1
GetDeltaMethodParameters

GetDeltaMethodParameters
DllhoodDlogsigma11

Derivative of log likelihood with respect to the log of variance for equation 1