| Name : R-panelAR
| |
| Version : 0.1
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : lp153.14.11
| Date : 2024-06-14 12:14:51
|
| Group : Development/Libraries/Other
| Source RPM : R-panelAR-0.1-lp153.14.11.src.rpm
|
| Size : 0.18 MB
| |
| Packager : (none)
| |
| Summary : Estimation of Linear AR(1) Panel Data Models with Cross-Sectional Heteroskedasticity and/or Correlation
|
Description :
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.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
