phtt: Panel Data Analysis with Heterogeneous Time Trends

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.

Author
Oualid Bada, Dominik Liebl
Date of publication
2014-08-15 16:49:41
Maintainer
Dominik Liebl <r.packages.mail@gmail.com>
License
GPL-2
Version
3.1.2

View on CRAN

Man pages

checkSpecif
Tests to check the model specifications
Cigar
Cigarette Consumption
Eup
Eup-Routine
KSS
KSS-Routine
OptDim
Estimation of the Factor Dimension
panel_htt-package
Panel Data Analysis with Heterogeneous Time Trends
Simulated_KSS_Data_DGP1
Simulated Panel-Data Set with Polynomial Factor Structure and...
Simulated_KSS_Data_DGP2
Simulated Panel-Data Set with Polynomial Factor Structure and...

Files in this package

phtt
phtt/inst
phtt/inst/CITATION
phtt/inst/doc
phtt/inst/doc/phtt.Snw
phtt/inst/doc/phtt.pdf
phtt/inst/doc/phtt.R
phtt/NAMESPACE
phtt/data
phtt/data/Cigar.rda
phtt/data/DGP2.rda
phtt/data/DGP1.rda
phtt/R
phtt/R/FUN.Pformula.R
phtt/R/fpca.fit.R
phtt/R/AFactMod.R
phtt/R/FUN.with.trans.R
phtt/R/Eup.R
phtt/R/Eup.inference.R
phtt/R/pca.fit.R
phtt/R/KSS.methods.R
phtt/R/KSS.GCV.R
phtt/R/Eup.methods.R
phtt/R/FUN.add.eff.R
phtt/R/KSS.CV.R
phtt/R/KSS.R
phtt/R/OptDim.R
phtt/R/checkSpecification.R
phtt/vignettes
phtt/vignettes/phtt.Snw
phtt/vignettes/phtt.bib
phtt/MD5
phtt/build
phtt/build/vignette.rds
phtt/DESCRIPTION
phtt/man
phtt/man/panel_htt-package.Rd
phtt/man/Eup.Rd
phtt/man/OptDim.Rd
phtt/man/Simulated_KSS_Data_DGP1.Rd
phtt/man/Simulated_KSS_Data_DGP2.Rd
phtt/man/Cigar.Rd
phtt/man/KSS.Rd
phtt/man/checkSpecif.Rd