In inqs909/tvcm: Time-Varying Coefficient Models

knitr::opts_chunk$set(
  collapse = TRUE,
  comment = "#>",
  fig.path = "man/figures/README-",
  out.width = "100%"
)

tvcm

The goal of this package is to provide tools to fit time-varying coefficient models.

Installation

devtools::install_github("inqs909/tvcm")

Windows

You will need to install rtools to allow the devtools package to install packages from a remote repository: https://cran.r-project.org/bin/windows/Rtools/.

Make sure to update R as well.

Functions

The main functions for this package are the tvcm, binary_vcm, and pois_vcm functions. They are designed to be similar with other functions that fit models. Additionally, there are functions to compute the optimal bandwidth using a cross-validation approach.

Estimation

The estimates are obtained using either a local least-squares or local likelihood approach. The varying-coefficients are approximated using a local-linear model.

Standard Errors

The standard errors are obtained using a bootstrap method. Due the correlated nature of longitudinal data, bootstrap standard errors provide more accurate results. The functions will provide both the standard errors and point-wise percentiles for a value of a varying-coefficient functions.