panelAR: Estimation of Linear AR(1) Panel Data Models with Cross-Sectional Heteroskedasticity and/or Correlation

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The package estimates linear models on panel data structures in the presence of AR(1)-type autocorrelation as well as panel heteroskedasticity and/or contemporaneous correlation. First, AR(1)-type autocorrelation is addressed via a two-step Prais-Winsten feasible generalized least squares (FGLS) procedure, where the autocorrelation coefficients may be panel-specific. A number of common estimators for the autocorrelation coefficient are supported. In case of panel heteroskedasticty, one can choose to use a sandwich-type robust standard error estimator with OLS or a panel weighted least squares estimator after the two-step Prais-Winsten estimator. Alternatively, if panels are both heteroskedastic and contemporaneously correlated, the package supports panel-corrected standard errors (PCSEs) as well as the Parks-Kmenta FGLS estimator.

Author
Konstantin Kashin <kkashin@fas.harvard.edu>
Date of publication
2014-02-27 16:15:29
Maintainer
Konstantin Kashin <kkashin@fas.harvard.edu>
License
GPL (>= 2)
Version
0.1

View on CRAN

Man pages

BrooksKurtz
Brooks and Kurtz (2012) Replication Data
LupPon
Lupu and Pontusson (2011) Replication Data
panelAR
Estimation of Linear AR(1) Panel Data Models with...
plot.panelAR
Plot Panel Structure
predict.panelAR
Predict method for fitted objects of class '"panelAR"'.
Rehm
Rehm (2011) Replication Data
run.analysis
Run Analysis for Panel Data
summary.panelAR
Summary method for fitted objects of class '"panelAR"'
vcov.panelAR
Variance-covariance method for fitted objects of class...
WhittenWilliams
Whitten and Williams (2011) Replication Data

Files in this package

panelAR
panelAR/NAMESPACE
panelAR/demo
panelAR/demo/BrooksKurtz.R
panelAR/demo/LupPon.R
panelAR/demo/Rehm.R
panelAR/demo/00Index
panelAR/demo/WhittenWilliams.R
panelAR/data
panelAR/data/Rehm.RData
panelAR/data/WhittenWilliams.RData
panelAR/data/LupPon.RData
panelAR/data/BrooksKurtz.RData
panelAR/R
panelAR/R/run.analysis.R
panelAR/R/prais.transform.R
panelAR/R/prais.correct.R
panelAR/R/est.rho.R
panelAR/R/print.panelAR.R
panelAR/R/estim.R
panelAR/R/plot.panelAR.R
panelAR/R/summary.panelAR.R
panelAR/R/print.summary.panelAR.R
panelAR/R/panelAR.R
panelAR/R/predict.panelAR.R
panelAR/R/vcov.panelAR.R
panelAR/MD5
panelAR/README
panelAR/DESCRIPTION
panelAR/man
panelAR/man/Rehm.Rd
panelAR/man/plot.panelAR.Rd
panelAR/man/panelAR.Rd
panelAR/man/vcov.panelAR.Rd
panelAR/man/predict.panelAR.Rd
panelAR/man/run.analysis.Rd
panelAR/man/WhittenWilliams.Rd
panelAR/man/BrooksKurtz.Rd
panelAR/man/LupPon.Rd
panelAR/man/summary.panelAR.Rd