PSTR: PSTR: A package implementing the Panel Smooth Transition...

In PSTR: Panel Smooth Transition Regression Modelling

Description

The package implements the Panel Smooth Transition Regression (PSTR) modelling.

Details

The modelling procedure consists of three stages: Specification, Estimation and Evaluation. The package offers tools helping the package users to conduct model specification tests, to do PSTR model estimation, and to do model evaluation.

The cluster-dependency and heteroskedasticity-consistent tests are implemented in the package.

The wild bootstrap and cluster wild bootstrap tests are also implemented.

Parallel computation (as an option) is implemented in some functions, especially the bootstrap tests. Therefore, the package suits tasks running many cores on super-computation servers.

The Panel Smooth Transition Regression (PSTR) model is defined to be

y_{it} = μ_i + β_0' x_{it} + β_1' z_{it} g_{it} + u_{it}

where g_{it} is the transition function taking the logistic form with the transition variable for individual i, x_{it} contains the explanatory variables in the linear part, and z_{it} contains the explanatory variables in the nonlinear part, and they can be different.

The transition function g_{it} takes the logistic form

g(q_{it} ; γ, c) = ≤ft( 1 + \exp ≤ft( - γ ∏_{j=1}^{m} (q_{it} - c_j) \right) \right)^{-1}

with γ > 0 and c_1 < c_2 < ... < c_m. γ can be reparametrized as γ = \exp{δ} where δ is a real number.

Author and Maintainer

Yukai Yang

Department of Statistics, Uppsala University

[e-mail]

References

González, A., Teräsvirta, T., van Dijk, D. and Yang, Y. (2005) "Panel Smooth Transition Regression Models", SSE/EFI Working Paper Series in Economics and Finance 604, Stockholm School of Economics, revised 11 Oct 2017.

Function for Initialization

NewPSTR initialize the modelling by creating an object of the class PSTR.

Functions for Model Specification

LinTest implements the linearity tests.

WCB_LinTest implements the wild bootstrap (WB) and the wild cluster bootstrap (WCB) linearity tests.

Function for Model Estimation

EstPSTR implements the estimation of the PSTR model.

Functions for Model Evaluation

EvalTest implements the evaluation tests.

WCB_TVTest implements the wild bootstrap (WB) and the wild cluster bootstrap (WCB) evaluation test of no time-varying parameters.

WCB_HETest implements the wild bootstrap (WB) and the wild cluster bootstrap (WCB) evaluation test of no remaining nonlinearity (no remaining heterogeneity).

Other Functions

version shows the version number and some information of the package.

print.PSTR prints the object of the class PSTR.

plot_transition plots the transition function of an estimated PSTR model.

plot_response plots curve or surfaces of the expected reponse agaist the corresponding variable.

plot_target plots the surface of the target function for the nonlinear least square estimation.

Data

Hansen99 a balanced panel of 565 US firms observed for the years 1973–1987.

sunspot transformed Wolf annual sunspot numbers for the years 1710-1979.

PSTR documentation built on June 4, 2019, 1:03 a.m.