panelAR: Estimation of Linear AR(1) Panel Data Models with Cross-Sectional Heteroskedasticity and/or Correlation

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>
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:, r-release:, r-oldrel:
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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