DiffPanel: DiffPanel
In PooledMeanGroup: Pooled Mean Group Estimation of Dynamic Heterogenous Panels

Description Usage Arguments Details Value Author(s) Examples

Calculates first differences of a particular variable from a panel data set

1	DiffPanel(variable, quantity)

`variable`	a particular variable from a panel data set in the form of stacked time series; in practice; a selected singular column from a panel data set
`quantity`	a vector of the number of time series observations in each group; in practice, it takes the form c(T1,...Tn) since the PMG allows the numbers of time series observations to differ freely across groups (if the number of time series observations in each group is the same, then c(T,...,T) and T=T1=T2=...=Tn

Calculates first differences of a particular variable from a panel data set in order to bring it to stationarity. Preserves the original dimension of time series observations in each group, completing data lost due to differentiating by inserting "NA"

First differences of a particular variable from a panel data set

Lech Kujawski, Piotr Zientara

# first import DataExp, i=1...9, T1=T2=...T9=35
data(DataExp)
DataExp[1:5,]
# then execute DiffPanel
y10=data.frame(y10=DataExp[,1], row.names=row.names(DataExp))
dy10=DiffPanel(variable=y10, quantity=rep(35,9))
diip=DiffPanel(variable=DataExp[,11], quantity=rep(35,9))
cbind(y10,dy10,diip)[1:5,]

                y10 y10spread riskavers  debt deficit openess      cpi growth
i=1,t=1,2005q2 4.91      1.78 0.4907953 0.478 -0.0446   0.749 1.001360  0.006
i=1,t=2,2005q3 4.57      1.50 0.5888259 0.468 -0.0436   0.754 0.999384  0.016
i=1,t=3,2005q4 5.16      1.82 0.4938176 0.471 -0.0487   0.776 1.003080  0.012
i=1,t=4,2006q1 4.79      1.15 0.7014965 0.490 -0.0215   0.804 1.002830  0.016
i=1,t=5,2006q2 5.55      1.59 0.6218348 0.494 -0.0430   0.819 1.011460  0.017
                  crisk  urate      iip  iipnetto  cagdp     caresvs      cds
i=1,t=1,2005q2 74.76667 0.1830 1.079462 0.4271757 -0.018 -0.04051902 16.21965
i=1,t=2,2005q3 74.80000 0.1773 1.093086 0.4364869 -0.028 -0.04921230 15.82511
i=1,t=3,2005q4 76.00000 0.1740 1.117122 0.4430011 -0.027 -0.03684523 16.41765
i=1,t=4,2006q1 76.86667 0.1793 1.113280 0.4436238 -0.036 -0.07054284 17.54188
i=1,t=5,2006q2 76.33333 0.1653 1.085001 0.4320550 -0.035 -0.06876323 23.02218
                    bidask
i=1,t=1,2005q2 0.000245231
i=1,t=2,2005q3 0.000252121
i=1,t=3,2005q4 0.000385385
i=1,t=4,2006q1 0.000323231
i=1,t=5,2006q2 0.000337833
                y10  dy10         diip
i=1,t=1,2005q2 4.91    NA           NA
i=1,t=2,2005q3 4.57 -0.34  0.013623126
i=1,t=3,2005q4 5.16  0.59  0.024036799
i=1,t=4,2006q1 4.79 -0.37 -0.003842008
i=1,t=5,2006q2 5.55  0.76 -0.028278985