Methods that summarize models and their estimates.
market_model
: Prints basic information about the
passed model object. In addition to the output of
the show
method, summary
prints
the number of observations,
the number of observations in each equation for models with sample separation, and
various categories of variables.
market_fit
: Prints basic information about the
passed model fit. In addition to the output of
the model's summary
method, the function prints basic
estimation results. For a maximum likelihood estimation, the function prints
the used optimization method,
the maximum number of allowed iterations,
the relative convergence tolerance (see
optim
),the convergence status,
the initializing parameter values,
the estimated coefficients, their standard errors, Z values, and P values, and
\(-2 \log L\) evaluated at the maximum.
For a linear estimation of the equilibrium system, the function prints
the used method,
the summary of the first stage regression,
the summary of the demand (second stage) regression, and
the summary of the supply (second stage) regression.
Methods (by class)
summary(market_model)
: Summarizes the model.summary(market_fit)
: Summarizes the model's fit.
Examples
# \donttest{
model <- simulate_model(
"diseq_stochastic_adjustment", list(
# observed entities, observed time points
nobs = 500, tobs = 3,
# demand coefficients
alpha_d = -0.1, beta_d0 = 9.8, beta_d = c(0.3, -0.2), eta_d = c(0.6, -0.1),
# supply coefficients
alpha_s = 0.1, beta_s0 = 5.1, beta_s = c(0.9), eta_s = c(-0.5, 0.2),
# price equation coefficients
gamma = 1.2, beta_p0 = 3.1, beta_p = c(0.8)
),
seed = 556
)
# print model summary
summary(model)
#> Stochastic Adjustment Model for Markets in Disequilibrium:
#> Demand RHS : D_P + D_Xd1 + D_Xd2 + D_X1 + D_X2
#> Supply RHS : S_P + S_Xs1 + S_X1 + S_X2
#> Price Dynamics RHS: I(D_Q - S_Q) + Xp1
#> Short Side Rule : Q = min(D_Q, S_Q)
#> Shocks : Correlated
#> Nobs : 1000
#> Sample Separation : Not Separated
#> Quantity Var : Q
#> Price Var : P
#> Key Var(s) : id, date
#> Time Var : date
# estimate
fit <- estimate(model)
# print estimation summary
summary(fit)
#> Stochastic Adjustment Model for Markets in Disequilibrium:
#> Demand RHS : D_P + D_Xd1 + D_Xd2 + D_X1 + D_X2
#> Supply RHS : S_P + S_Xs1 + S_X1 + S_X2
#> Price Dynamics RHS: I(D_Q - S_Q) + Xp1
#> Short Side Rule : Q = min(D_Q, S_Q)
#> Shocks : Correlated
#> Nobs : 1000
#> Sample Separation : Not Separated
#> Quantity Var : Q
#> Price Var : P
#> Key Var(s) : id, date
#> Time Var : date
#>
#> Maximum likelihood estimation:
#> Method : BFGS
#> Convergence Status : success
#> Starting Values :
#> D_P D_CONST D_Xd1 D_Xd2 D_X1 D_X2 S_P
#> -0.01745 6.59786 0.16735 -0.05024 -0.25363 0.12207 0.02057
#> S_CONST S_Xs1 S_X1 S_X2 P_DIFF P_CONST P_Xp1
#> 6.06990 0.69456 -0.27171 0.14194 0.87629 4.67594 0.73716
#> D_VARIANCE S_VARIANCE P_VARIANCE RHO_DS RHO_DP RHO_SP
#> 1.38932 0.93584 2.56019 0.00000 0.00000 0.00000
#>
#> Coefficients:
#> Estimate Std. Error z value Pr(>|z|)
#> D_P -0.110854633 0.01710495 -6.48084968 9.120750e-11 ***
#> D_CONST 9.779675882 0.36748757 26.61226335 4.896025e-156 ***
#> D_Xd1 0.244251424 0.04740997 5.15190035 2.578600e-07 ***
#> D_Xd2 -0.213337147 0.04796551 -4.44771970 8.678668e-06 ***
#> D_X1 0.584519744 0.07234513 8.07960050 6.497929e-16 ***
#> D_X2 -0.153091884 0.04972329 -3.07887668 2.077827e-03 **
#> S_P 0.112680126 0.01361042 8.27895761 1.242582e-16 ***
#> S_CONST 5.036000088 0.16770213 30.02943349 4.052506e-198 ***
#> S_Xs1 0.894801782 0.04410817 20.28653140 1.691138e-91 ***
#> S_X1 -0.511272158 0.04861817 -10.51607092 7.284843e-26 ***
#> S_X2 0.244117179 0.03774415 6.46768254 9.951729e-11 ***
#> P_DIFF 1.256243829 0.07596018 16.53818963 1.947888e-61 ***
#> P_CONST 3.299871363 0.15448579 21.36035519 3.124267e-101 ***
#> P_Xp1 0.787665383 0.04393121 17.92951824 6.937821e-72 ***
#> D_VARIANCE 1.001054402 0.19609329 5.10499053 3.308111e-07 ***
#> S_VARIANCE 1.091571074 0.08121349 13.44075977 3.488365e-41 ***
#> P_VARIANCE 0.967186558 0.29540610 3.27409135 1.060023e-03 **
#> RHO_DS 0.013800047 0.23059522 0.05984533 9.522788e-01
#> RHO_DP 0.030972617 0.22718846 0.13633006 8.915604e-01
#> RHO_SP -0.008679536 0.17172449 -0.05054338 9.596894e-01
#> ---
#> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
#>
#> -2 log L: 5866.412
# }