Changes since version 0-1.2
* Models with only one explanatory variable resulted in a
bug. This has been fixed.
* Estimation methods are now available with four functions : plm,
pvcm, pggls and pgmm instead of one (plm) in the previous version.
* pvcm is a new function which estimate variable coefficients
models. The "nopool" model is now part of it.
* pggls is a new function which enables the estimation of general
FGLS.
* pgmm is a new function for general method of moments estimator.
* for all estimation functions, the first four arguments are now
formula, data, effect, model
* robust inference is now provided by the pvcovHC function.
Changes since version 0-2.1
* pdata.frame is much faster thanks to a modification of the pvar
function
* series with only NA values or with constants values are now
removed by pdata.frame
* observations are ordered by id and time by pdata.frame
* a pfix function is added to edit a pdata.frame
* a as.data.frame function is provided to coerce a pdata.frame to
a data.frame
* the dependency to the Matrix package has been removed and pgmm
is much faster now
* phtest has been fixed to return only positive values of the
statistic
* pgmm objects now inherits from panelmodel like other estimators
and prints correctly
* a bug in summary.pgmm has been fixed
Changes since version 0-2.2
* the coefficients method for objects of class pgmm is now
exported.
* a bug in the plm method of plmtest has been fixed
* in plmtest, the argument effect "id" is renamed "individual"
* three testing functions are added : pbsytest (Bera,
Sosa-Escudero and Yoon test), pARtest (Breusch-Godfrey Test) and
pDWtest (Durbin-Watson test), pwartest, pBGtest, pwtest pbltest
* plm, pvcm and pggls now have arguments "subset" and "na.action"
* phtest, pFtest, plmtest now have a formula method
* a bug is fixed for the vcov of the within model
* the pdata.frame function and class is suppressed. The package
now use ordinary data.frames.
Changes since version 0-3.1
* in plm.formula, [int.row.names] is replaced by
[as.character(int.row.names)]
* the degree of freedom for a within time effect model was wrong
and has been corrected.
* the arguments type and weights in pvcovHC.panelmodel are renamed
method and type respectively. The default method (type in previous
versions) is arellano and not white1
* honda is now the default option for plmtest
Changes since version 0-3.2
* a lot of typos of the man pages have been fixed
* functions pcdtest, pcdres have been added.
* for hausman taylor model, the summary now prints the variables
and not the effects
* the estimation of a model with only one explanatory variable
using plm with method = "fd" is now working correctly
Changes since version 1-0.0
* lag and diff methods for pseries are now exported and therefore
behave correctly
* for two-ways within models with instrumental variables, K is
replaced by K+1 for the computation of the overall mean matrix of
the instruments. Time fixef are now computed. The error message
"impossible ..." is removed
* a bug in the time random effect model is corrected
* a model.matrix method for panelmodel is provided
* models without intercept (-1 in the formula) should now be
consistently estimated with plm, pggls and pvcm.
* plm depends now on the Formula package which provides useful
tools for formula with two parts
Changes since version 1-0.1
* the plm function has been completely rewriten,
* the names of some arguments have changed (random.methods ->
ercomp, inst.method -> ivar), the old names are accepted with a
warning,
* the instuments argument is removed, instrumental variable
estimation is performed using extended formula. The instruments
argument is still accepted with a warning,
* the model argument of plm objects are now ordinary data.frame,
and not data.frame with elements y and X. Moreover, this
data.frame contains untransformed data
* the data sets which are relevant for panel data estimation that
where previously in the Ecdat package are now in the plm package
* in pvcm a bug when the estimation was made on a subset is fixed
* ercomp is a stand alone function which returns the estimation of
the components of the variance of the errors,
* the estimation of two-ways within model is now implemented for
unbalanced panels,
* the fixef method is much improved, the fixed effects may be
computed in levels, in deviation from the first level or in
deviation from the overall mean
* in pbsytest, the arguments test are now in lowercases,
* the pvcovHC function is replaced by suitable vcovHC methods for
panelmodel and pgmm models
Changes since version 1-1.0
* in fixef, the effect argument default is now NULL:
fixef(model_with_time_effect) now works correctly
* in pFtest, the error message "the arguments should be a within
and a pooling model" is removed so that two within models may be
provided
* for backward compatibility reasons, the pvcovHC is reintroduced.
* for backward compatibility reasons, argument test of pbsytest
may be indicated in upper case
* we switched back to old names for two arguments of plm ercomp ->
random.methods ivar -> inst.method -> ivar
* amemiya method is not implemented for unbalanced panels: an
error message is now returned.
Changes since version 1-1.1
* part of the "details" section of the fixef.plm man page is
removed
* a fitted.value method is now available for plm objects. It
returns the fitted values of the untransformed response
* in pdiff, a drop=FALSE is added. This omission was responsible
of a bug while estimating a model like plm(inv~value-1, data =
Grunfeld, model = "fd")
* the lev2var is changed so that it doesn't result in an error
when the data.frame contains no factor: this was responsible for a
bug in plm.ht
Changes since version 1-1.2
* the inst directory was missing, it has been added again
Changes since version 1-1.3
* a relevant error message is added when a within model is
estimated with no time-varying variable
* the formula method for dynformula objects is now exported
* a misleading notation was corrected for plm.ht model
* the definition of sigma2$id for unbalanced ht model is
corrected, an harmonic mean of Ti being used
* the definition of tss.default is simplified
* the fitted.values element was missing for plm objects and has
been added
Change since version 1-1.4
* a args argument is added for plm objects, and the internal
function relies now on it (and not on the call as previously)
* more attention is paid when one of the estimated components of
the variance is negative (warning or error messages result)
* pdata.frame objects are re-introduced. They are used to compute
model.frames. Extraction from pdata.frames results in 'pserie'
objects which have an index attribute.
* the print method of ercomp is now exported
* the first argument of pgmm may now be a formula. A lag.form must
be provided in this case
* hausman-taylor estimation is now performed by the pht
function. For backaward compatibility reasons, it is still
possible to estimate this model with plm
Changes since version 1.2-0
* the as.matrix and print methods for pserie objects are now
exported
* in summary.plm, the p-value is now computed using a Student
distribution and not a normal one
* the lag.pserie method is modified so that it deals correctly
with factors, and not only with numeric vectors. The diff.pserie
method returns an error if its argument is not numeric
* the instruments-"backward compatibility" stuff in plm is
simplified thanks to the new features of Formula
* 'pserie' is renamed 'pseries'
* a THANKS file is added
* the `[.pdata.frame` function is modified so that [, j] returns a
pseries and not a pdata.frame when j is a single integer, and a
backward compatibility feature is added for the "index" attribute
Changes since version 1.2-1
* a new purtest function to perform unit root tests
* [[.pdata.frame is modified so that NULL (and not an error
message) is returned if an unknown column is selected
Changes since version 1.2-2
* the documentation has been improved
* the pvalue for purtest(..., type = "madwu") was in error (by a
factor of 2)
* in formula(dynformula), a bug is fixed so that the endog
variable doesn't appear on the rhs if there is no lags
* in pgmm, the extract.data has been rewriten and is *much* faster
* two new functions vcovBK and vcovSCC have been added
* a 'model' argument is added to pgmm.sys and pgmm.diff
(previously, the model name was extracted from the call)
* Kt is fixed to 0 in pgmm when effect="individual"
Changes since version 1.2-3
* lag.pseries now returns relevant names for the returned factor
* pFormula is modified so that it can handle correctly Formula
object, and not only formula
* pgmm has been completely rewriten with a new 'Formula'
interface. Old formula and dynformula interfaces are kept for
backward compatibility but won't be maintained in the future
* subset, na.action are added to the list of arguments of pgmm and
oldpgmm
* lag.pseries is now able to deal with vector arguments for lags,
e.g. lag(x, c(1,3))
* suml(x) is replaced by Reduce("+", x)
Changes since version 1.2-4
* bug corrected in pgmm : ud <- cbind(ud, td.gmm.level) is
relevant only for twoways models
* in fitted.plm, the extraction of the index is updated
* the residuals.plm method now has a model argument
* a new function r.squared
* pmodel.response.plm is modified : no explicit effect and model
arguments anymore (like in model.matrix.plm)
Changes since version 1.2-5
* fixed error in pggls, model="within" (FEGLS). Added model="fd"
(FDGLS).
* changed dependency from kinship to bdsmatrix (as suggested by
Terry Therneau after his reorganization of the packages).
* fixed DESCRIPTION and NAMESPACE accordingly.
* fixed the example in pggls.Rd
Changes since version 1.2-6
* a bug in mtest for pgmm models with effect=individual and
transformation=ld *and* for the wald test for time.dummies for
model with effect = twoways and transformation=ld is fixed by
modifying namest in gmm
* there was a bug in pgmm for models with different lags for gmm
instruments. The number of time-series lost is now the min (and
not the max) of the first lags for gmm instruments
* some parts of summmary.pgmm only worked correctly for model with
time-dummies. It now deals correctly for model with 'individual'
effects
* the rda files are now compressed
* p-values for the two-tailed versions of plmtest() were wrong and
have been fixed. They were divided by 2 instead of multiplied.
Changes since version 1.2-7
* a typo is corrected in the man page of plm.data
* AER is now suggested
Changes since version 1.2-8
* a index method is added for panelmodel, pdata.frame and pseries
* a bug in the typology of the variables in pht is fixed
* a bug in vcovBK (matrices degenerating into vectors) is fixed
(thx David Hugh-Jones for bug report)
* the Between function now returns a pseries object
* the resid and fitted method now returns a pseries object
* the pgmm method has been rewriten ; the data frame is then first
balanced and NAs are then overwriten by 0s
Changes since version 1.2-9
* the pccep function, estimating CCEP models a la Pesaran, has
been added together withsummary and print.summary methods. The
function generates objects of a class of their own ("pccep"), much
like 'pggls', together with 'panelmodel'.
* the pmg function, estimating MG, DMG and CCEMG models a la
Pesaran, has been added together with summary and print.summary
methods. The function generates objects of a class of their own
("pmg"), much like 'pggls', together with 'panelmodel'. In the
future must consider possible merger with 'pvcm'.
* the new cipstest function performs a second-generation CIPS test
for unit roots on pseries objects
* the new (hidden) function pmerge is used internally by cipstest
to merge lags and differences of a pseries into the original
pdata.frame. Will possibly be added to the user space in the
future.
Changes since version 1.2-10
* for unbalanced hausman-taylor model, the printing of the error
components was wrong, it is now fixed
* the printing of the removed variables (cst or NA) is improved
* the pgmm function has been improved to deal correctly with holes
in the cross-sections ; a collapse argument is added to limit the
number of gmm instruments
* the CoefTAble element of summary.pgmm objects is renamed
coefficients, so that it can easily be extracted using the coef
method
* the default value for robust is now TRUE in the summary.pgmm
method
* a new argument lost.ts is added in pgmm to select manually the
number of lost time series
* almost null columns of instruments are removed (this happens
when within/between transformation is performed on between/within
series
* plm now accept three part formulas, the last part being for
instruments introduced only in the within form
* the predict method for panelmodel objects is now exported
* plm now estimate systems of equations if a list of formulas is
provided as the first argument
Changes since version 1.3-0
* an update method for panelmodel objects is provided
* the Wages example is removed from the pvar man page because it's time consuming
Changes sinve version 1.3-1
* a subset argument is added to print.summary.plm and summary.pht
so that a subset of coefficient may be selected
* fixed a small problem on the printing of the typologie of the
variables for pht models
* the "name" of the tests is now the formula truncated so that it
prints on only one line
* restrict.matrix argument added to deals with linear restrictions
* a vcov argument is added to summary.plm so that a variance matrix can be supplied
* the deviance method for panelmodel objects is now exported (12/02)
* the hausman-taylor now support the Amemiya MaCurdy and the Breush-Mizon-Schmidt version
* a small bug is fixed on the var2lev function to deal the case when there are no factors