system_classes {markets}R Documentation

System classes

Description

Classes with data and functionality describing systems of models.

Details

system_base

System base class

system_basic

Basic model's system class

system_deterministic_adjustment

Deterministic adjustment model's system class

system_directional

Directional system class

system_equilibrium

Equilibrium model's system class

system_stochastic_adjustment

Stochastic adjustment model's system class

Slots

demand

Demand equation.

supply

Supply equation.

correlated_shocks

Boolean indicating whether the shock of the equations of the system are correlated.

sample_separation

Boolean indicating whether the sample of the system is separated.

quantity_vector

A vector with the system's observed quantities.

price_vector

A vector with the system's observed prices.

rho

Correlation coefficient of demand and supply shocks.

rho1

\rho_{1} = \frac{1}{\sqrt{1 - \rho}}

rho2

\rho_{2} = \rho\rho_{1}

lh

Likelihood values for each observation.

gamma

Excess demand coefficient.

delta

\delta = \gamma + \alpha_{d} - \alpha_{s}

mu_P

\mu_{P} = \mathrm{E}P

var_P

V_{P} = \mathrm{Var}P

sigma_P

\sigma_{P} = \sqrt{V_{P}}

h_P

h_{P} = \frac{P - \mu_{P}}{\sigma_{P}}

lagged_price_vector

A vector with the system's observed prices lagged by one date.

mu_Q

\mu_{Q} = \mathrm{E}Q

var_Q

V_{Q} = \mathrm{Var}Q

sigma_Q

\sigma_{Q} = \sqrt{V_{Q}}

h_Q

h_{Q} = \frac{Q - \mu_{Q}}{\sigma_{Q}}

rho_QP

\rho_{QP} = \frac{\mathrm{Cov}(Q,P)}{\sqrt{\mathrm{Var}Q\mathrm{Var}P}}

rho_1QP

\rho_{1,QP} = \frac{1}{\sqrt{1 - \rho_{QP}^2}}

rho_2QP

\rho_{2,QP} = \rho_{QP}\rho_{1,QP}

z_QP

z_{QP} = \frac{h_{Q} - \rho_{QP}h_{P}}{\sqrt{1 - \rho_{QP}^2}}

z_PQ

z_{PQ} = \frac{h_{P} - \rho_{PQ}h_{Q}}{\sqrt{1 - \rho_{PQ}^2}}

price_equation

Price equation.

zeta

\zeta = \sqrt{1 - \rho_{DS}^2 - \rho_{DP}^2 - \rho_{SP}^2 + 2 \rho_DP \rho_DS \rho_SP}

zeta_DD

\zeta_{DD} = 1 - \rho_{SP}^2

zeta_DS

\zeta_{DS} = \rho_{DS} - \rho_{DP}\rho_{SP}

zeta_DP

\zeta_{DP} = \rho_{DP} - \rho_{DS}\rho_{SP}

zeta_SS

\zeta_{SS} = 1 - \rho_{DP}^2

zeta_SP

\zeta_{SP} = \rho_{SP} - \rho_{DS}\rho_{DP}

zeta_PP

\zeta_{PP} = 1 - \rho_{DS}^2

mu_D

\mu_{D} = \mathrm{E}D

var_D

V_{D} = \mathrm{Var}D

sigma_D

\sigma_{D} = \sqrt{V_{D}}

mu_S

\mu_{S} = \mathrm{E}S

var_S

V_{S} = \mathrm{Var}S

sigma_S

\sigma_{S} = \sqrt{V_{S}}

sigma_DP

\sigma_{DP} = \mathrm{Cov}(D, P)

sigma_DS

\sigma_{DS} = \mathrm{Cov}(D, S)

sigma_SP

\sigma_{SP} = \mathrm{Cov}(S, P)

rho_DS

\rho_{DS} = \frac{\mathrm{Cov}(D,S)}{\sqrt{\mathrm{Var}D\mathrm{Var}S}}

rho_DP

\rho_{DP} = \frac{\mathrm{Cov}(D,P)}{\sqrt{\mathrm{Var}D\mathrm{Var}P}}

rho_SP

\rho_{SP} = \frac{\mathrm{Cov}(S,P)}{\sqrt{\mathrm{Var}S\mathrm{Var}P}}

h_D

h_{D} = \frac{D - \mu_{D}}{\sigma_{D}}

h_S

h_{S} = \frac{S - \mu_{S}}{\sigma_{S}}

z_DP

z_{DP} = \frac{h_{D} - \rho_{DP}h_{P}}{\sqrt{1 - \rho_{DP}^2}}

z_PD

z_{PD} = \frac{h_{P} - \rho_{PD}h_{D}}{\sqrt{1 - \rho_{PD}^2}}

z_SP

z_{SP} = \frac{h_{S} - \rho_{SP}h_{P}}{\sqrt{1 - \rho_{SP}^2}}

z_PS

z_{PS} = \frac{h_{P} - \rho_{PS}h_{S}}{\sqrt{1 - \rho_{PS}^2}}

omega_D

\omega_{D} = \frac{h_{D}\zeta_{DD} - h_{S}\zeta_{DS} - h_{P}\zeta_{DP}}{\zeta_{DD}}

omega_S

\omega_{S} = \frac{h_{S}\zeta_{SS} - h_{S}\zeta_{SS} - h_{P}\zeta_{SP}}{\zeta_{SS}}

w_D

w_{D} = - \frac{h_{D}^2 - 2 h_{D} h_{P} \rho_{DP} + h_{P}^2}{2\zeta_{SS}}

w_S

w_{S} = - \frac{h_{S}^2 - 2 h_{S} h_{P} \rho_{SP} + h_{P}^2}{2\zeta_{DD}}

psi_D

\psi_{D} = \phi\left(\frac{\omega_{D}}{\zeta}\right)

psi_S

\psi_{S} = \phi\left(\frac{\omega_{S}}{\zeta}\right)

Psi_D

\Psi_{D} = 1 - \Phi\left(\frac{\omega_{D}}{\zeta}\right)

Psi_S

\Psi_{S} = 1 - \Phi\left(\frac{\omega_{S}}{\zeta}\right)

g_D

g_{D} = \frac{\psi_{D}}{\Psi_{D}}

g_S

g_{S} = \frac{\psi_{S}}{\Psi_{S}}

rho_ds

Shadows rho in the diseq_stochastic_adjustment model

rho_dp

Correlation of demand and price equations' shocks.

rho_sp

Correlation of supply and price equations' shocks.

L_D

Likelihood conditional on excess supply.

L_S

Likelihood conditional on excess demand.


[Package markets version 1.1.5 Index]