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
Kneip, A., Sickles, R. C., Song, W., 2012 “A new panel data treatment for heterogeneity in time trends”, Econometric Theory
Bai, J., 2009 “Panel data models with interactive fixed effects”, Econometrica
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