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 modelrho_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.