README.md

In dnkent/dynamr: A Permutation-Based Changepoint Technique for Monitoring Effect Sizes

dynamr

An R package for the dynamic analysis of panel data, dynamr serves two purposes. First, the pooled_glm_test() function can be used by a researcher to test whether or not the assumption of stable effects holds when estimating a generalized linear model with panel data. Second, the dynamr() function detects where effect changes occur.

The reference for this method is A Permutation-Based Changepoint Technique for Monitoring Effect Sizes, co-authored with James D. Wilson and Skyler Cranmer. The manuscript is currently under review but available upon request.

Installation

To install dynamr use the following command and make sure to have devtools installed.

devtools::install_github("dnkent/dynamr")

Description

This package contains two primary functions which are briefly described below. For any function named function, type ?function in R to get full documentation.

• dynamr(): detect at which time points coefficients in a generalized linear model change. This function produces a tibble with the following output: time points, coefficient estimates for each time point, standard errors for each coefficient estimate, and the probability that a changepoint occurs for each coefficient estimate at that time period.

library(ISLR)
library(dynamr)

data("Weekly")

stock_dynam <- dynamr(
    dat = Weekly,
    time_var = "Year",
    formula = Today ~ Lag1 + Lag2,
    window_size = 1,
    family = "gaussian",
    N = 5000
)

stock_dynam

• pooled_glm_test(): test whether the assumption temporal effect homogeneity holds for coefficients of interest in a generalized linear model using panel data.

library(ISLR)
library(dynamr)

data("Weekly")

stock_list <- list()

for(i in 1:21){
  time <- 1989 + i
  stock_list[[i]] <- dplyr::filter(Weekly, Year == time)
}

stock.p.value <- pooled_glm_test(
  formula = Today ~ Lag1 + Lag2,
  Panel.data = stock_list,
  N = 300,
  family = "gaussian"
)

stock.p.value$p.value

Questions or Bugs

Please send any comments, bugs, or questions to the developer Daniel Kent at [e-mail].

dnkent/dynamr documentation built on June 29, 2021, 7:22 p.m.