pdR: Threshold Model and Unit Root Tests in Panel Data

Threshold model, panel version of Hylleberg et al.(1990) seasonal unit root tests, and panel unit root test of Chang(2002).

AuthorHo Tsung-wu
Date of publication2016-07-07 15:01:03
MaintainerHo Tsung-wu <tsungwu@cc.shu.edu.tw>
LicenseGPL (>= 2)
Version1.4

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Man pages

bank_income: Panel data of bank,2001Q1~2010Q1

cigaretts: Cigaretts consumption of US states

contts: Function for extracting components from a lm object

crime: Annual crime dataset of US counties

hegy.reg: Generate the HEGY regressors.

HEGY.test: Seasonal unit root test based on Hylleberg et al. (1990)

iClick_plm1way: iClick GUI for one-way panel data analysis, based on package...

iClick_plm2way: iClick GUI for two-way panel data analysis, based on package...

IGF: Unit root test based on Change(2002)

inf19: Monthly inflation time series of 19 countries

inf_M: Monthly inflation time series of 20 countries

inf_Q: Quarterly inflation time series of 20 countries

interpolpval: Extracting critical value and p-value from Table 1 of...

invest: investment data of 565 listed companies, 1973-1987

ipsHEGY: IPS-HEGY seasonal unit root test in panel data, Otero et...

lagSelect: Select the optimal number of lags, given criteria

lookupCVtable: Function for looking up tabulated critical values and...

model: Estimate specified panel threshold model

pdR-package: Panel Data Regression: Threshold Model and Unit Root Tests

pIGF: Panel unit root test of Chang(2002)

productivity: Productivity data of 48 US state,1970-1986

ptm: Threshold Specification of panel data

r_est: A subroutine for model()

ret: Returns a data.frame of sequential lag matrix.

SeasComponent: Generate a data matrix of seasonal components

selPabic: Selection of lags.

selPsignf: Selection of lags.

sse_calc: a subroutine of model()

tbar: Compute the resursive mean

thr_sse: a subroutine calculating SSE

tr: A sub-routine calculating trace

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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