- Updated reference output in some tests for CRAN checks.

- Fix
`bread()`

method for`tobit()`

objects in case the latter already used a “robust” sandwich variance. In that case naive.var rather than var has to be used for the bread (reported by Daniel Klinenberg).

- Omitted some examples and updated corresponding output for CRAN checks.

- Rather than quitting from examples in the manual pages, when the
required packages are not available, the examples now
`stop()`

in non-check settings.

Improvements in

`coeftest()`

methods for`multinom`

and`polr`

objects to be compatible with recent extensions in`lmtest`

>= 0.9-38.Fixed a bug in the tests for weak instruments in

`ivdiag()`

: Interactions like`x1:x2`

and`x2:x1`

were considered to be different variables although they are in fact equivalent. (Reported by Arne Henningsen and Ghislain Dossou.)Use fully-qualified calls to

`survival::survreg()`

and`survival::Surv()`

within the`tobit()`

function so that`AER::tobit()`

can be called without attaching the package (reported by Bill Denney).Started replacing examples with repeated

`with()`

variable transformations with a single`transform()`

.

Some examples from the AER book lead to small numeric differences across different platforms. Hence, these have been excluded now from

`tests/Ch-*.R`

with an`IGNORE_RDIFF`

comment for CRAN.The examples on the manual pages for the books

`CameronTrivedi1998`

,`Greene2003`

,`WinkelmannBoes2009`

are now excluded from testing to reduce the computational demands on CRAN. The corresponding analyses are mostly available on the manual pages for the underlying data sets, though.

- Starting from
`survival`

>= 3.1-6 the survival provides (or corrected) some standard S3 methods for`survreg`

objects:`fitted()`

,`nobs()`

,`weights()`

,`vcov()`

. Previously, these were registered by AER” in order to work for “tobit” objects. For now, AER registers the methods for`tobit`

objects. In the future, the methods will be dropped by AER altogether and inherited from survival (when AER depends on survival >= 3.1-6).

Diagnostic tests

`ivdiag()`

for*weighted*instrumental variables regression was incorrect as weights were erroneously ignored (detected and tested by Jonathan Siverskog).`vcov()`

method for`survreg`

objects in`survival`

currently (version 2.44-1.1) provides no row/column names. Hence, a new`vcov()`

method for`tobit`

objects was added in`AER`

mimicking the naming conventions from`survival:::summary.survreg`

. Analogously, a`bread()`

method was added for`tobit`

objects that calls the`vcov()`

method internally.`linearHypothesis()`

method for`tobit()`

objects no longer assumes that a scale parameter was estimated as part of the model. This enables the somewhat unusual but possible case of`summary(tobit(..., dist = "exponential"))`

.In examples/demos/tests with calls to

`set.seed(...)`

the RNG version is now fixed to`suppressWarnings(RNGversion("3.5.0"))`

to keep results exactly reproducible after fixing RNG problems in R 3.6.0.New errata item in

`vignette("AER", package = "AER")`

: The formula interface for`pgmm()`

has changed. As of`plm`

version 1.7-0, the function`dynformula()`

is deprecated. Examples, tests, and demos have been adapted accordingly.In

`tests/Ch-Intro.R`

some`quantreg`

computations are now wrapped into`try()`

because the`summary()`

method yields non-finite standard errors on some platforms.In

`?CameronTrivedi1998`

one version of the negbin-negbin hurdle model is now wrapped into`try()`

because evaluating the log-likelihood at the given start values becomes too unstable on some platforms.

Added

`update()`

method for`ivreg`

objects that correctly handles the two-part right-hand side of the formula (suggested by Matthieu Stigler).Use

`pdata.frame()`

instead of`plm.data()`

as preparation for modeling with`plm`

and certain`systemfit`

functions (requires`systemfit`

1.1-20).The

`model.matrix()`

method for`ivreg`

objects erroneously dropped the dimension of single-column projected regressor matrices. This propagated to the`estfun()`

method and hence lead to problems with sandwich covariances (reported by Justus Winkelmann).In a bug fix the

`survival`

package changed the internal structure of`survreg()$y`

starting from`survival`

2.42-7. This leads to incorrect`summary()`

output for`tobit`

objects which has been worked around now. Thanks to Terry Therneau for pointing out the problem and suggesting a fix.

Support for aliased coefficients in

`ivreg()`

(suggested and tested by Liviu Andronic).New data sets

`GoldSilver`

,`MotorCycles2`

and`MSCISwitzerland`

, taken from Franses, van Dijk, Opschoor (2014): “Time Series Models for Business and Economic Forecasting”, 2nd ed. For replication of the corresponding examples, several packages were added to the list of ‘suggested’ packages (including`fGarch`

,`forecast`

,`longmemo`

,`rugarch`

,`vars`

).Small improvements in

`DESCRIPTION`

/`Imports`

and`NAMESPACE`

for`R CMD check`

.

- Reference output updated for recent versions of R.

Package

`splines`

is loaded explicitly if needed (rather than assuming that it is loaded along with`survival`

).Some URLs in the manual pages had been outdated and are updated (or omitted) now.

Another bug fix in the new

`summary(ivreg_object, diagnostics = TRUE)`

. If sandwich standard errors (or other`vcov`

) were used, the chi-squared form rather than the F form of the diagnostic Wald tests was computed and hence the p-values were incorrect.If there is more than one endogenous variable,

`summary(ivreg_object, diagnostics = TRUE)`

now reports separate tests of weak instruments for each endogenous variable.

Bug fix in the new

`summary(ivreg_object, diagnostics = TRUE)`

. If there is more than one endogenous variable, the degrees of freedom (and hence the associated p-values) for the Sargan test were too large.The examples employing

`rgl`

for 3d visualizations (e.g., for the`SIC33`

data) are not tested anymore in`R CMD check`

(as`rgl`

currently has some problems on CRAN’s checks for OS X).

The

`summary()`

method for`ivreg`

now has a`diagnostics = FALSE`

argument. If set to`TRUE`

, three diagnostic tests are performed: an F test of the first stage regression for weak instruments, a Wu-Hausman test for endogeneity, and a Sargan test of overidentifying restrictions (only if there are more instruments than regressors).Added new data set

`EquationCitations`

provided by Fawcett & Higginson (2012, PNAS).Changes in Depends/Imports/Suggests due to new CRAN check requirements. In particular, the

`Formula`

package is now only imported (but not loaded into the search path).

Recompressed data sets in package to reduce file storage requirements.

`ivreg()`

failed when used without instruments. Now fixed.The

`summary()`

for`ivreg`

displayed the degrees of freedom of the overall Wald test incorrectly (although the p-value was computed correctly).Some technical changes for new R 2.14.0, e.g., adding

`Authors@R`

in`DESCRIPTION`

, recompressing data, etc.

The hat values for instrumental variables regressions are now computed in the

`hatvalues()`

method and not within`ivreg.fit()`

to save computation time for large data sets.Added

`nobs()`

method for`survreg`

objects (and thus`tobit`

objects). Modified`ivreg`

objects so that default`nobs()`

methods works.Labeling in

`coeftest()`

method for`multinom`

objects with binary responses has been fixed.Example 21.4 in

`?Greene2003`

now employs the scaled regressor`fincome/10000`

.

- Adapted some example in
`?Greene2003`

in order to work both with the old and new`dynlm`

package.`dynlm()`

now provides convenient support for linear time trends via`dynlm(y ~ trend(y))`

etc.

- Adapted code/examples/tests to new
`car`

version which has deprecated`linear.hypothesis()`

in favor of`linearHypothesis()`

.

`CPS1985`

now has 534 observations (not 533 as in prior releases), the original observation 1 had been omitted inadvertently. See also the errata in`vignette("AER", package = "AER")`

.Data and examples for Winkelmann and Boes (2009), “Analysis of Microdata” (2nd ed.) have been added. For details and extensive (but not quite complete) replication code see

`help("WinkelmannBoes2009")`

as well as`help("GSS7402")`

and`help("GSOEP9402")`

.As announced in the changes for version 1.1-0 of the

`AER`

package, the variable`earnings`

has now been removed from the`PSID1976`

(aka Mroz) data. In 1.1-0 it was renamed to`wage`

to avoid confusion with other data sets.The

`coeftest()`

method for`polr`

objects used to return wrong standard errors (and hence wrong z tests) for the last intercept. This was caused by an inconsistency between the`summary()`

and`vcov()`

methods for`polr`

objects which has been improved in recent versions of the`MASS`

package. The correct results are computed by`coeftest()`

for`polr`

objects computed with`MASS`

version >= 7.3-6. See also the errata in`vignette("AER", package = "AER")`

.The paper describing the various versions of the

`Grunfeld`

data has been accepted for publication in the German Economic Review. An updated version of the manuscript and associated replication files – mostly based on`data("Grunfeld", package = "AER")`

– is available from https://www.zeileis.org/grunfeld/.Added

`lrtest()`

method for`fitdistr`

objects with intelligible model name (instead of the usual`formula`

for formula-based models).

`ivreg()`

now uses the`Formula`

package (>= 0.2-0) for processing of its model formulas. However, this only affects the internal computations, the user interface has remained unchanged.Numerous spelling improvements in the documentation (thanks to the new

`aspell()`

functionality in base R).

- Added
`PSID7682`

data set which contains the full Cornwell & Rupert- panel data for the years 1976-1982. This should be used for
estimation of the Hausman-Taylor model in Exercise 6 from Chapter 3
(instead of
`PSID1982`

which does not provide panel data but only the cross-section for 1982). See the errata and the manual page for more details.

- panel data for the years 1976-1982. This should be used for
estimation of the Hausman-Taylor model in Exercise 6 from Chapter 3
(instead of
- Fixed overall Wald test in
`summary()`

for`tobit`

models with intercept only.

New errata item in

`vignette("AER", package = "AER")`

: The comment regarding the output from the Johansen test (p. 169) is in error. The null hypothesis of no cointegration is not rejected at the 10% level (only at 15% level).Enhancements of the

`CigarettesSW`

examples from Stock & Watson.Fixed overall Wald test in

`summary()`

for`tobit`

models without intercept.Improved

`rgl`

code in the`SIC33`

example.The variable

`gender`

in the`Parade2005`

data set was wrong for observation 70. It is now`"male"`

(not`"female"`

).

- A new improved version of the
`plm`

package is available from CRAN (version 1.1-1). This fixes a bug in the`summary()`

of`plm`

objects, see the vignette/errata for details. Furthermore, there is now a`vcovHC()`

method for`panelmodel`

objects: It gives equivalent results to`pvcovHC()`

but is now the recommended user interface and hence used in the examples of some manual pages (see e.g.`?Fatalities`

).

Some variable names in the

`PSID1976`

(aka Mroz) data have been renamed:`earnings`

is now called`wage`

(to avoid confusion with other data sets), the previous variable`wage`

is renamed as`repwage`

(reported wage). Currently,`earnings`

is kept; it will be removed in future releases.Documentation of the

`Grunfeld`

data has been enhanced and updated. Much more details are available in a recent technical report: Kleiber and Zeileis (2008), “The Grunfeld Data at 50”, available from https://doi.org/10.57938/c1925b32-0b27-490f-b593-42da650c196c.Multinomial logit examples using Yves Croissant’s

`mlogit`

package have been added for the`TravelMode`

and`BankWages`

data sets.Vignette/errata updated.

- Small changes for R 2.8.0.

Official version accompanying the release of the book (contains all code from the book in demos and tests)

See the new

`vignette("AER", package = "AER")`

for an overview of the package and a list of errata.

- Release of the version used for compiling the final version of the book for Springer.

- First CRAN release of the
`AER`

package.