The R Package markets: Estimation Methods for Markets in Equilibrium and Disequilibrium
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Abstract
Market models constitute a significant cornerstone of empirical applications in business, industrial organization, and policymaking macroeconomics. The econometric literature proposes various estimation methods for markets in equilibrium, which entail a market-clearing structural condition, and disequilibrium, which are described based on a structural short-side rule. Nonetheless, maximum likelihood estimations of such models are computationally demanding, and software providing simple, out-of-the-box methods for estimating them is scarce. Therefore, applications rely on project-specific implementations for estimating these models, which hinders research reproducibility and result comparability. This article presents the R package markets, which provides a common interface with generic functionality simplifying the estimation of models for markets in equilibrium and disequilibrium. The package specializes in estimating demanded, supplied, and aggregated market quantities and absolute, normalized, and relative market shortages. Its functionality is exemplified via an empirical application using a classic dataset of United States credit for housing starts. Moreover, the article details the scope and design of the implementation and provides statistical measurements of the computational performance of its estimation functionality gathered via large-scale benchmarking simulations. The markets package is free software distributed under the Expat license as part of the R software ecosystem. It comprises a set of estimation and analysis tools that are not directly available from either alternative R packages or other statistical software projects.