panel_htt-package: Panel Data Analysis with Heterogeneous Time Trends

Description Details Author(s) References


The R-package phtt 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: phtt
Type: Package
Version: 3.1
Date: 2013-09-26
License: GPL-2
LazyLoad: yes


Oualid Bada, Dominik Liebl


phtt documentation built on May 30, 2017, 12:30 a.m.