README.md

In timmens/sawr: What the Package Does (One Line, Title Case)

sawr

This R-package contains the implementation of the SAW estimation procedure, introduced in A Wavelet Method for Panel Models with Jump Discontinuities in the Parameters by Bada O., Kneip A., Liebl D., Mensinger T., Gualtieri J. and Sickles R. C. (link to paper will appear soon).

Installation

library("devtools")
devtools::install_github("https://github.com/timmens/sawr")

Usage

Standard case

X, y <- get_data()

model <- sawr::fit_saw(y, X, time_effect = TRUE)

Remark. Parallelization might only be available for unix users.

Prediction and instrumental variables

X_new, X, Z, y <- get_endogeneous_data()

iv_model <- sawr::fit_saw(y, X, Z)

pred <- predict(iv_model, X_new)

More examples on use cases

More examples can be found in the repository of the simulation study corresponding to the publication: https://github.com/timmens/simulation-saw-paper.

timmens/sawr documentation built on Aug. 30, 2021, 8:09 a.m.