Package: pdR 1.9.3

Ho Tsung-wu

pdR: Threshold Model and Unit Root Tests in Cross-Section and Time Series Data

Threshold model, panel version of Hylleberg et al. (1990) <doi:10.1016/0304-4076(90)90080-D> seasonal unit root tests, and panel unit root test of Chang (2002) <doi:10.1016/S0304-4076(02)00095-7>.

Authors:Ho Tsung-wu [aut, cre]

pdR_1.9.3.tar.gz
pdR_1.9.3.tar.gz(r-4.5-noble)pdR_1.9.3.tar.gz(r-4.4-noble)
pdR_1.9.3.tgz(r-4.4-emscripten)pdR_1.9.3.tgz(r-4.3-emscripten)
pdR.pdf |pdR.html✨
pdR/json (API)

# Install 'pdR' in R:
install.packages('pdR', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Datasets:
  • bank_income - Panel data of bank,2001Q1~2010Q1
  • cigaretts - Cigaretts consumption of US states
  • crime - Annual crime dataset of US counties
  • dur_john - The cross-country growth data in Durlauf and Johnson
  • inf19 - Monthly inflation time series of 19 countries
  • inf_M - Monthly inflation time series of 20 countries
  • inf_Q - Quarterly inflation time series of 20 countries
  • invest - Investment data of 565 listed companies, 1973-1987
  • productivity - Productivity data of 48 US state,1970-1986
  • ship - Panel data on the number of ship accidents

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

2.41 score 4 stars 32 scripts 523 downloads 24 exports 30 dependencies

Last updated 4 months agofrom:9a6038aa97. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKDec 01 2024
R-4.5-linuxOKDec 01 2024

Exports:conttshegy.regHEGY.testhtest_pglmIGFinterpolpvalipsHEGYlagSelectlookupCVtablemodelpIGFptmr_estretSeasComponentselPabicselPsignfSMPLSplit_estSMPLSplit_exampleSMPLSplit_hetsse_calctbarthr_ssetr

Dependencies:bdsmatrixbootcollapsedigestFormulagenericsglmmTMBlatticelme4lmtestMASSMatrixmaxLikmgcvminqamiscToolsnlmenloptrnumDerivpglmplmrbibutilsRcppRcppEigenRdpackreformulassandwichstatmodTMBzoo

Readme and manuals

Help Manual

Help pageTopics
Panel Data Regression: Threshold Model and Unit Root TestspdR-package pdR
Panel data of bank,2001Q1~2010Q1bank_income
Cigaretts consumption of US statescigaretts
Function for extracting components from a lm objectcontts
Annual crime dataset of US countiescrime
The cross-country growth data in Durlauf and Johnson(1995)dur_john
Generate the HEGY regressors.hegy.reg
Seasonal unit root test based on Hylleberg et al. (1990)HEGY.test
Specification test for panel glm modelshtest_pglm
Unit root test based on Change(2002)IGF
Monthly inflation time series of 20 countriesinf_M
Quarterly inflation time series of 20 countriesinf_Q
Monthly inflation time series of 19 countriesinf19
Extracting critical value and p-value from Table 1 of Hylleberg et. al (1990)interpolpval
investment data of 565 listed companies, 1973-1987invest
IPS-HEGY seasonal unit root test in panel data, Otero et al.(2007).ipsHEGY
Select the optimal number of lags, given criterialagSelect
Function for looking up tabulated critical values and associated p-values of HEGY test.lookupCVtable
Estimate specified panel threshold modelmodel
Panel unit root test of Chang(2002)pIGF
Productivity data of 48 US state,1970-1986productivity
Threshold specification of panel dataptm
A subroutine for model()r_est
Returns a data.frame of sequential lag matrix.ret
Generate a data matrix of seasonal componentsSeasComponent
Selection of lags.selPabic
Selection of lags.selPsignf
Panel data on the number of ship accidentsship
Estimation of sub-sampled dataSMPLSplit_est
Example code for sample splittingSMPLSplit_example
Testing for sample splittingSMPLSplit_het
a subroutine of model()sse_calc
Compute the resursive meantbar
a subroutine calculating SSEthr_sse
A sub-routine calculating tracetr