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.
|Depends:||R (≥ 2.15.0)|
|Maintainer:||Konstantin Kashin <kkashin at fas.harvard.edu>|
|License:||GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]|
|CRAN checks:||panelAR results|
|Windows binaries:||r-devel: panelAR_0.1.zip, r-release: panelAR_0.1.zip, r-oldrel: panelAR_0.1.zip|
|OS X El Capitan binaries:||r-release: panelAR_0.1.tgz|
|OS X Mavericks binaries:||r-oldrel: panelAR_0.1.tgz|
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