panel_correl: Panel linear combinations

In panelWranglR: Panel Data Wrangling Tools

Description

A function to find highly correlated variables in a panel of data, both by cross sections and by time dummies.

Usage

panel_correl(data, cross.section = NULL, time.variable = NULL,
  corr.threshold = 0.7, autocorr.threshold = 0.5,
  cross.threshold = 0.7, select.cross.sections = NULL,
  select.time.periods = NULL)

Arguments

data	The data to use, a data.frame or a data.table.
cross.section	The name of the cross sectional variable.
time.variable	The name of the time variable.
corr.threshold	The correlation threshold for finding significant correlations in the base specification, disregarding time or cross sectional dependencies.
autocorr.threshold	The correlation threshold for autocorrelation (splitting the pooled panel into cross sections).
cross.threshold	The correlation threshold for finding significant correlations in the cross sections.
select.cross.sections	An optional subset of cross sectional units.
select.time.periods	An optional subset of time periods

Examples

   x_1 <- rnorm( 100 )
   x_2 <- rnorm( 100 ) + 0.5 * x_1
   cross_levels <- c( "AT", "DE")
   time <- seq(1:50)
   time <- rep(time, 2)
   geo_list <- list()
   for(i in 1:length(cross_levels))
   {  geo <- rep( cross_levels[i], 50 )
      geo_list[[i]] <- geo }
   geo <- unlist(geo_list)
   geo <- as.data.frame(geo)

   example_data <-  do.call ( cbind, list( time, x_1, x_2))
   example_data <- as.data.frame(example_data)
   example_data <- cbind( geo,
                         example_data)

                         names(example_data) <- c("geo", "time", "x_1",
                                                 "x_2")

   panel_correl( data = example_data,
                 cross.section = "geo",
                 time.variable = "time",
                 corr.threshold = 0.2,
                 autocorr.threshold = 0.5,
                 cross.threshold = 0.1)

panelWranglR documentation built on Oct. 3, 2019, 9:03 a.m.