phtt: Panel Data Analysis with Heterogeneous Time Trends
The R-package 'phtt' provides estimation procedures for
panel data with large dimensions n, T, and general forms of
unobservable heterogeneous effects. Particularly, the
estimation procedures are those of Bai (2009) and Kneip,
Sickles, and Song (2012), which complement one another very
well: both models assume the unobservable heterogeneous effects
to have a factor structure. The method of Bai (2009) assumes
that the factors are stationary, whereas the method of Kneip et
al. (2012) allows the factors to be non-stationary.
Additionally, the 'phtt' package provides a wide range of
dimensionality criteria in order to estimate the number of the
unobserved factors simultaneously with the remaining model
parameters.
| Version: |
2.7 |
| Depends: |
R (≥ 2.10) |
| Imports: |
pspline |
| Published: |
2013-02-25 |
| Author: |
Oualid Bada, Dominik Liebl |
| Maintainer: |
Dominik Liebl <r.packages.mail at gmail.com> |
| License: |
GPL-2 |
| NeedsCompilation: |
no |
| CRAN checks: |
phtt results |
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