The package provides estimation procedures for panel data with large dimensions n, T, and general forms of unobservable heterogeneous effects. Particularly, the estimation procedures are those of Bai (2009) and Kneip, Sickles, and Song (2012), which complement one another very well: both models assume the unobservable heterogeneous effects to have a factor structure. The method of Bai (2009) assumes that the factors are stationary, whereas the method of Kneip et al. (2012) allows the factors to be non-stationary. Additionally, the 'phtt' package provides a wide range of dimensionality criteria in order to estimate the number of the unobserved factors simultaneously with the remaining model parameters.
Package details |
|
---|---|
Author | Oualid Bada, Dominik Liebl |
Maintainer | Dominik Liebl <r.packages.mail@gmail.com> |
License | GPL-2 |
Version | 3.1.2 |
Package repository | View on CRAN |
Installation |
Install the latest version of this package by entering the following in R:
|
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.