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

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.

AuthorKonstantin Kashin <kkashin@fas.harvard.edu>
Date of publication2014-02-27 16:15:29
MaintainerKonstantin Kashin <kkashin@fas.harvard.edu>
LicenseGPL (>= 2)
Version0.1

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