tvFE: Time-Varying Fixed Effects Estimation

In tvReg: Time-Varying Coefficient for Single and Multi-Equation Regressions

Time-Varying Fixed Effects Estimation

Description

tvFE estimate time-varying coefficient of fixed effects panel data models using kernel smoothing.

Usage

tvFE(x, ...)

## S3 method for class 'matrix'
tvFE(
  x,
  y,
  z = NULL,
  ez = NULL,
  bw,
  neq,
  obs,
  est = c("lc", "ll"),
  tkernel = c("Triweight", "Epa", "Gaussian"),
  ...
)

## S3 method for class 'tvplm'
tvFE(x, ...)

Arguments

x	An object used to select a method.
...	Other arguments passed to specific methods.
y	A vector with dependent variable.
z	A vector with the variable over which coefficients are smooth over.
ez	(optional) A scalar or vector with the smoothing values. If values are not included then the vector z is used instead.
bw	A numeric vector.
neq	A sclar with the number of equations
obs	A scalar with the number of time observations
est	The nonparametric estimation method, one of "lc" (default) for linear constant or "ll" for local linear.
tkernel	A character, either "Triweight" (default), "Epa" or "Gaussian" kernel function.

Value

tvFE returns a list containing:

coefficients	A vector of length obs, number of observations with the time-varying estimates.
fitted	A vector of length obs with the fited values from the estimation.
residuals	A vector of length obs with the residuals from the estimation.
alpha	A vector of length neq with the fixed effects.

tvReg documentation built on Sept. 1, 2023, 5:07 p.m.