PSTR: Panel Smooth Transition Regression Modelling

Provides the Panel Smooth Transition Regression (PSTR) modelling. The modelling procedure consists of three stages: Specification, Estimation and Evaluation. The package offers sharp tools helping the package user(s) to conduct model specification tests, to do PSTR model estimation, and to do model evaluation. The tests implemented in the package allow for cluster-dependency and are heteroskedasticity-consistent. The wild bootstrap and wild cluster bootstrap tests are also implemented. Parallel computation (as an option) is implemented in some functions, especially the bootstrap tests. The package suits tasks running many cores on super-computation servers.

Package details

AuthorYukai Yang [aut, cre] (<>)
MaintainerYukai Yang <[email protected]>
Package repositoryView on CRAN
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PSTR documentation built on June 4, 2019, 1:03 a.m.