The package estimates linear models on panel data structures in the presence of AR(1)-type autocorrelation as well as panel heteroskedasticity and/or contemporaneous correlation. First, AR(1)-type autocorrelation is addressed via a two-step Prais-Winsten feasible generalized least squares (FGLS) procedure, where the autocorrelation coefficients may be panel-specific. A number of common estimators for the autocorrelation coefficient are supported. In case of panel heteroskedasticty, one can choose to use a sandwich-type robust standard error estimator with OLS or a panel weighted least squares estimator after the two-step Prais-Winsten estimator. Alternatively, if panels are both heteroskedastic and contemporaneously correlated, the package supports panel-corrected standard errors (PCSEs) as well as the Parks-Kmenta FGLS estimator.
| Version: | 0.1 |
| Depends: | R (≥ 2.15.0) |
| Imports: | car |
| Published: | 2014-02-27 |
| Author: | Konstantin Kashin |
| Maintainer: | Konstantin Kashin <kkashin at fas.harvard.edu> |
| BugReports: | https://github.com/kkashin/panelAR/issues |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| Materials: | README |
| In views: | Econometrics |
| CRAN checks: | panelAR results |
| Reference manual: | panelAR.pdf |
| Package source: | panelAR_0.1.tar.gz |
| Windows binaries: | r-devel: panelAR_0.1.zip, r-release: panelAR_0.1.zip, r-oldrel: panelAR_0.1.zip |
| macOS binaries: | r-release: panelAR_0.1.tgz, r-oldrel: panelAR_0.1.tgz |
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