ArfimaMLM-package: Arfima-MLM Estimation For Repeated Cross-Sectional Data And...
In ArfimaMLM: Arfima-MLM Estimation For Repeated Cross-Sectional Data

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This package provides functions to facilitate the estimation of Arfima-MLM models for repeated cross-sectional data and pooled cross-sectional time-series data (see Lebo and Weber 2015). The estimation procedure uses double filtering with Arfima methods to account for autocorrelation in longer repeated cross-sectional data followed by multilevel modeling (MLM) to estimate both aggregate- and individual-level parameters simultaneously.

Package:	ArfimaMLM
Type:	Package
Version:	1.3
Date:	2015-01-20
License:	GPL-2

The main function of the package is arfimaMLM, which implements Arfima and multilevel models on a repeated cross-sectional dataset as described by Lebo and Weber (forthcoming). Furthermore, the function arfimaOLS uses the same initial procedures but estimates a simple linear model instead of the multilevel model. The package also includes arfimaPrep, which prepares a dataset for subsequent analyses according to the Arfima-MLM framework without estimating the final model itself. fd is a wrapper function to estimate the fractional differencing parameter using hurstSpec of the fractal-package as well as procedures provided by the fracdiff-package (via ML, GPH, and Sperio) and to differentiate the series accordingly (mainly for internal use in arfimaMLM,arfimaOLS, and arfimaPrep).