NEWS.md

In AER: Applied Econometrics with R

AER 1.2-14

• Updated reference output in some tests for CRAN checks.

AER 1.2-13

• Fix bread() method for tobit() objects in case the latter already used a "robust" sandwich variance. In that case naive.var rather than var has to be used for the bread (reported by Daniel Klinenberg).

AER 1.2-12

• Omitted some examples and updated corresponding output for CRAN checks.

AER 1.2-11

• Rather than quitting from examples in the manual pages, when the required packages are not available, the examples now stop() in non-check settings.

AER 1.2-10

• Improvements in coeftest() methods for multinom and polr objects to be compatible with recent extensions in lmtest >= 0.9-38.

• Fixed a bug in the tests for weak instruments in ivdiag(): Interactions like x1:x2 and x2:x1 were considered to be different variables although they are in fact equivalent. (Reported by Arne Henningsen and Ghislain Dossou.)

• Use fully-qualified calls to survival::survreg() and survival::Surv() within the tobit() function so that AER::tobit() can be called without attaching the package (reported by Bill Denney).

• Started replacing examples with repeated with() variable transformations with a single transform().

AER 1.2-9

• Some examples from the AER book lead to small numeric differences across different platforms. Hence, these have been excluded now from tests/Ch-*.R with an IGNORE_RDIFF comment for CRAN.

• The examples on the manual pages for the books CameronTrivedi1998, Greene2003, WinkelmannBoes2009 are now excluded from testing to reduce the computational demands on CRAN. The corresponding analyses are mostly available on the manual pages for the underlying data sets, though.

AER 1.2-8

• Starting from survival >= 3.1-6 the survival provides (or corrected) some standard S3 methods for survreg objects: fitted(), nobs(), weights(), vcov(). Previously, these were registered by AER" in order to work for "tobit" objects. For now, AER registers the methods for tobit objects. In the future, the methods will be dropped by AER altogether and inherited from survival (when AER depends on survival >= 3.1-6).

AER 1.2-7

• Diagnostic tests ivdiag() for weighted instrumental variables regression was incorrect as weights were erroneously ignored (detected and tested by Jonathan Siverskog).

• vcov() method for survreg objects in survival currently (version 2.44-1.1) provides no row/column names. Hence, a new vcov() method for tobit objects was added in AER mimicking the naming conventions from survival:::summary.survreg. Analogously, a bread() method was added for tobit objects that calls the vcov() method internally.

• linearHypothesis() method for tobit() objects no longer assumes that a scale parameter was estimated as part of the model. This enables the somewhat unusual but possible case of summary(tobit(..., dist = "exponential")).

• In examples/demos/tests with calls to set.seed(...) the RNG version is now fixed to suppressWarnings(RNGversion("3.5.0")) to keep results exactly reproducible after fixing RNG problems in R 3.6.0.

• New errata item in vignette("AER", package = "AER"): The formula interface for pgmm() has changed. As of plm version 1.7-0, the function dynformula() is deprecated. Examples, tests, and demos have been adapted accordingly.

• In tests/Ch-Intro.R some quantreg computations are now wrapped into try() because the summary() method yields non-finite standard errors on some platforms.

• In ?CameronTrivedi1998 one version of the negbin-negbin hurdle model is now wrapped into try() because evaluating the log-likelihood at the given start values becomes too unstable on some platforms.

AER 1.2-6

• Added update() method for ivreg objects that correctly handles the two-part right-hand side of the formula (suggested by Matthieu Stigler).

• Use pdata.frame() instead of plm.data() as preparation for modeling with plm and certain systemfit functions (requires systemfit 1.1-20).

• The model.matrix() method for ivreg objects erroneously dropped the dimension of single-column projected regressor matrices. This propagated to the estfun() method and hence lead to problems with sandwich covariances (reported by Justus Winkelmann).

• In a bug fix the survival package changed the internal structure of survreg()$y starting from survival 2.42-7. This leads to incorrect summary() output for tobit objects which has been worked around now. Thanks to Terry Therneau for pointing out the problem and suggesting a fix.

AER 1.2-5

• Support for aliased coefficients in ivreg() (suggested and tested by Liviu Andronic).

• New data sets GoldSilver, MotorCycles2 and MSCISwitzerland, taken from Franses, van Dijk, Opschoor (2014): "Time Series Models for Business and Economic Forecasting", 2nd ed. For replication of the corresponding examples, several packages were added to the list of 'suggested' packages (including fGarch, forecast, longmemo, rugarch, vars).

• Small improvements in DESCRIPTION/Imports and NAMESPACE for R CMD check.

AER 1.2-4

• Reference output updated for recent versions of R.

AER 1.2-3

• Package splines is loaded explicitly if needed (rather than assuming that it is loaded along with survival).

• Some URLs in the manual pages had been outdated and are updated (or omitted) now.

AER 1.2-2

• Another bug fix in the new summary(ivreg_object, diagnostics = TRUE). If sandwich standard errors (or other vcov) were used, the chi-squared form rather than the F form of the diagnostic Wald tests was computed and hence the p-values were incorrect.

• If there is more than one endogenous variable, summary(ivreg_object, diagnostics = TRUE) now reports separate tests of weak instruments for each endogenous variable.

AER 1.2-1

• Bug fix in the new summary(ivreg_object, diagnostics = TRUE). If there is more than one endogenous variable, the degrees of freedom (and hence the associated p-values) for the Sargan test were too large.

• The examples employing rgl for 3d visualizations (e.g., for the SIC33 data) are not tested anymore in R CMD check (as rgl currently has some problems on CRAN's checks for OS X).

AER 1.2-0

• The summary() method for ivreg now has a diagnostics = FALSE argument. If set to TRUE, three diagnostic tests are performed: an F test of the first stage regression for weak instruments, a Wu-Hausman test for endogeneity, and a Sargan test of overidentifying restrictions (only if there are more instruments than regressors).

• Added new data set EquationCitations provided by Fawcett & Higginson (2012, PNAS).

• Changes in Depends/Imports/Suggests due to new CRAN check requirements. In particular, the Formula package is now only imported (but not loaded into the search path).

AER 1.1-9

• Recompressed data sets in package to reduce file storage requirements.

• ivreg() failed when used without instruments. Now fixed.

• The summary() for ivreg displayed the degrees of freedom of the overall Wald test incorrectly (although the p-value was computed correctly).

• Some technical changes for new R 2.14.0, e.g., adding Authors@R in DESCRIPTION, recompressing data, etc.

AER 1.1-8

• The hat values for instrumental variables regressions are now computed in the hatvalues() method and not within ivreg.fit() to save computation time for large data sets.

• Added nobs() method for survreg objects (and thus tobit objects). Modified ivreg objects so that default nobs() methods works.

• Labeling in coeftest() method for multinom objects with binary responses has been fixed.

• Example 21.4 in ?Greene2003 now employs the scaled regressor fincome/10000.

AER 1.1-7

• Adapted some example in ?Greene2003 in order to work both with the old and new dynlm package. dynlm() now provides convenient support for linear time trends via dynlm(y ~ trend(y)) etc.

AER 1.1-6

• Adapted code/examples/tests to new car version which has deprecated linear.hypothesis() in favor of linearHypothesis().

AER 1.1-5

• CPS1985 now has 534 observations (not 533 as in prior releases), the original observation 1 had been omitted inadvertently. See also the errata in vignette("AER", package = "AER").

• Data and examples for Winkelmann and Boes (2009), "Analysis of Microdata" (2nd ed.) have been added. For details and extensive (but not quite complete) replication code see help("WinkelmannBoes2009") as well as help("GSS7402") and help("GSOEP9402").

• As announced in the changes for version 1.1-0 of the AER package, the variable earnings has now been removed from the PSID1976 (aka Mroz) data. In 1.1-0 it was renamed to wage to avoid confusion with other data sets.

• The coeftest() method for polr objects used to return wrong standard errors (and hence wrong z tests) for the last intercept. This was caused by an inconsistency between the summary() and vcov() methods for polr objects which has been improved in recent versions of the MASS package. The correct results are computed by coeftest() for polr objects computed with MASS version >= 7.3-6. See also the errata in vignette("AER", package = "AER").

• The paper describing the various versions of the Grunfeld data has been accepted for publication in the German Economic Review. An updated version of the manuscript and associated replication files -- mostly based on data("Grunfeld", package = "AER") -- is available from https://www.zeileis.org/grunfeld/.

• Added lrtest() method for fitdistr objects with intelligible model name (instead of the usual formula for formula-based models).

AER 1.1-4

• ivreg() now uses the Formula package (>= 0.2-0) for processing of its model formulas. However, this only affects the internal computations, the user interface has remained unchanged.

• Numerous spelling improvements in the documentation (thanks to the new aspell() functionality in base R).

AER 1.1-3

• Added PSID7682 data set which contains the full Cornwell & Rupert (1988) panel data for the years 1976-1982. This should be used for estimation of the Hausman-Taylor model in Exercise 6 from Chapter 3 (instead of PSID1982 which does not provide panel data but only the cross-section for 1982). See the errata and the manual page for more details.

• Fixed overall Wald test in summary() for tobit models with intercept only.

AER 1.1-2

• New errata item in vignette("AER", package = "AER"): The comment regarding the output from the Johansen test (p. 169) is in error. The null hypothesis of no cointegration is not rejected at the 10% level (only at 15% level).

• Enhancements of the CigarettesSW examples from Stock & Watson.

• Fixed overall Wald test in summary() for tobit models without intercept.

• Improved rgl code in the SIC33 example.

• The variable gender in the Parade2005 data set was wrong for observation 70. It is now "male" (not "female").

AER 1.1-1

• A new improved version of the plm package is available from CRAN (version 1.1-1). This fixes a bug in the summary() of plm objects, see the vignette/errata for details. Furthermore, there is now a vcovHC() method for panelmodel objects: It gives equivalent results to pvcovHC() but is now the recommended user interface and hence used in the examples of some manual pages (see e.g. ?Fatalities).

AER 1.1-0

• Some variable names in the PSID1976 (aka Mroz) data have been renamed: earnings is now called wage (to avoid confusion with other data sets), the previous variable wage is renamed as repwage (reported wage). Currently, earnings is kept; it will be removed in future releases.

• Documentation of the Grunfeld data has been enhanced and updated. Much more details are available in a recent technical report: Kleiber and Zeileis (2008), "The Grunfeld Data at 50", available from https://doi.org/10.57938/c1925b32-0b27-490f-b593-42da650c196c.

• Multinomial logit examples using Yves Croissant's mlogit package have been added for the TravelMode and BankWages data sets.

• Vignette/errata updated.

AER 1.0-1

• Small changes for R 2.8.0.

AER 1.0-0

• Official version accompanying the release of the book (contains all code from the book in demos and tests)

• See the new vignette("AER", package = "AER") for an overview of the package and a list of errata.

AER 0.9-0

• Release of the version used for compiling the final version of the book for Springer.

AER 0.2-0

• First CRAN release of the AER package.

AER documentation built on Sept. 28, 2024, 9:07 a.m.