pdynmc version 0.9.11
Update of version 0.9.10 that adds three estimation functions for the
lag parameter of AR(1) panel data models. Additionally, the update
allows for user-specified dummy matrix in estimation function. For this
purpose, the internal helper function corSparse
which was
adopted from package ‘qlcMatrix’ in a previous function update was
adjusted. Additionally, the argument checks of the estimation function
were updated and an option to collapse the moment conditions was
added.
pdynmc
- argument checks of estimation function updated
- option for collapsing moment conditions added
NLIV
- closed form estimation function for AR(1) panel data models
- based on original version of Ahn and Schmidt (1995) moment
conditions
NLIV.alt
- closed form estimation functions for AR(1) panel data models
- based on alternative formulation of Ahn and Schmidt (1995) moment
conditions
FDLS
- closed form estimation functions for AR(1) panel data models
- based on estimator proposed by Han and Phillips (2010)
corSparse
- internal helper function updated for checking for collinearities in
dummy part of instrument matrix
pdynmc version 0.9.10
Update of version 0.9.9 that generalizes functionality of functions
for exploratory analysis of panel data. The function
corSparse
from package ‘qlcMatrix’ was added as internal
helper function, as the aforementioned package was scheduled to be moved
from CRAN to the archive by 2023-11-29. Additionally, bug fixes are
provided for the estimation function and the documentation of the
package is adjusted according to the new CRAN recommendation.
pdynmc
- adjust check-related bug when instrumenting endogenous
covariates
pDensTime.plot
...
argument added to function
- adjust scaling of abscissa for general time periods
- allow for user defined axis labels
corSparse
- new internal helper function copied from package ‘qlcMatrix’, which
is scheduled to be archived
pdynmc version 0.9.9
Update of version 0.9.8 which adds new function for visualization of
evolution of empirical density of a variable of interest over
longitudinal dimension of a panel dataset. Additionally, typos in
description of cigDemand
dataset are adjusted and further
information is added to summary of `pdynmc’ objects.
pdynmc
- Summary function adjusted to add clarification on type of
estimation
functions
for exploratory analysis of panel data added
- pDensTime.plot: : Visualizes empirical density of column of panel
dataset
pdynmc version 0.9.8
Update of version 0.9.7 which adds functionality for excluding the
lagged dependent variable from the right-hand-side of the equation.
Additionally, the update adds the published version of the article as
vignette, ensures correct rendering of the package documentation (thanks
to Kevin Tappe), and corrects minor bugs in the estimation function
(thanks to Github user Dazhwu).
pdynmc
- Add flexibility for excluding the lagged dependent variable from the
right-hand-side of the model equation (by setting function argument
lagTerms.y = 0
).
- Adjust documentation to reflect the new feature.
- Adjust further controls part of instrument matrix when using
instruments from further covariates (function arguments:
include.x
, varname.reg.pre
,
varname.reg.ex
)
- Adjust internal helper functions (Wonestep.fct, sub.clForm.fct)
correspondingly
pdynmc version 0.9.7
Update of version 0.9.6 which updates the estimation function, the
functions for visualizing the panel data structure, and adds two
datasets to the package. The functionality for deriving instruments and
estimating parameters: Covariates for which no parameters are estimated,
but from which instruments are derived and covariates for which
parameters for which parameters are estimated, but from which no
instruments are derived.
pdynmc
- Add flexibility for covariates for which no parameters are
estimated, but which are used as instruments (function arguments:
include.x.instr
, varname.reg.instr
)
- Add flexibility for covariates for which parameters are estimated,
but which are not used as instruments (function arguments:
include.x.toInstr
, varname.reg.toInstr
)
- Adjust code for further data structures
- Update function documentation
- Fix bug in function that creates instrument matrix
data.info
- Adjust code for further data structures
struc.UPD.plot
- Adjust code for further data structures
datasets
- Add dataset of Arellano and Bond (1991) on employment by firms
located in the UK
- Add dataset of Stock and Watson (2003) on cigarette consumption in
the US
pdynmc version 0.9.6
Minor update of version 0.9.5 which adds doubly corrected standard
errors. Also, commits and suggestions of github user tappek are added.
Additionally, the compatibility of the estimation function with further
input data structures is improved and a bug in the estimation function
when multiple instruments from non-lagged dependent endogenous
covariates are derived is corrected.
pdynmc
- Implement doubly corrected standard errors
- Adjust computation of unadjusted and corrected standard errors
- Ensure compatibility with
tibble
data frames
- Correct bug in deriving instruments from multiple endogenous
covariates
wald.fct
- Adjust structure of function according to S3 class htest.object
jtest.fct
- Adjust structure of function according to S3 class htest.object
- Minor adjustment to avoid partial argument matching
mtest.fct
- Adjust structure of function according to S3 class htest.object
- Set default for argument
t.order
- Minor adjustment to avoid partial argument matching
pdynmc version 0.9.5
Minor update of version 0.9.4 which adds further functionality and
argument checks to estimation function. Additionally, the computation
underlying non-robust two-step standard errors is adjusted (option
accessible by changing argument “std.err” from its default to “std.err =
unadjusted”) and the functions for deriving instruments from further
exogenous covariates were adjusted to comply with data requirements.
pdynmc
- Allow lagged dependent variable to be instrumented
- Extend checks of function arguments
- Fix bug in computation of “unadjusted” two-step standard errors
- Ensure that instruments derived from further exogenous covariates
comply with data requirements
pdynmc version 0.9.4
Minor update of version 0.9.3 in which package DESCRIPTION, CITATION,
and documentation is adjusted and two further package vignettes are
added.
new vignettes
- pdynmc-intro
- pdynmc_introLong
- pdynmc-pres-in-a-nutshell
pdynmc version 0.9.3
Minor update of version 0.9.2 that fixes minor bugs in estimation
function and helper functions for setting up instrument and weighting
matrix; additionally, coefficient path plots are added to the plot
method and existing plot methods are adjusted.
pdynmc
- Adjust default arguments and corresponding documentation
- Fix bug in setting up of weighting matrix
- Fix bug when imposing maximum lags from which instruments are
derived
- Add check functions
- Adjust checks when setting up instrument matrix
- Residuals and fitted values are added to pdynmc object (besides the
previously available internal residuals and fitted values).
plot.pdynmc
- Plotting coefficient paths across GMM iterations (including
approximate standard errors).
- Plot methods for creating fitted vs. residual plots and coefficient
range plots are adjusted.
pdynmc version 0.9.2
Minor update of version 0.9.1 that adds additional functionality for
setting up the instrument matrix and adjusts the instrument count
displayed by the summary function.
pdynmc
- Include additional option to limit expansion of the instrument set
when deriving instrument from non-lagged dependent strictly exogenous
covariates.
print.summary.pdynmc
- Adjust displayed instrument count.
pdynmc version 0.9.1
Minor update of version 0.9.0 that fixes a bug in the estimation
function, adjusts matrix calculations to achieve minor speed
improvements, and robustifies general linear hypothesis testing
functionality.
pdynmc
- fix bug that appeared when deriving moment conditions from the
explanatory variables besides the lagged dependent variable (thanks to
Massimo Giannini for pointing this out).
- adjust matrix calculations to achieve minor speed improvements
- adjust helper functions that allow limiting the lag range
wald.fct
- Robustify wald.fct by using generalized inverse in inversion of
covariance matrix.
pdynmc version 0.9.0
Update of version 0.8.0 that includes visualizations for fitted model
objects (coefficient-range plots for two-step and iterated estimation
and plots of fitted values vs. residuals) and panel data structure
functions
for exploratory analysis of panel data added
- data.info: Returns information on structure of a balanced/unbalanced
panel dataset
- strucUPD.plot: Visualizes structure of unbalanced panel data
generic functions added
- ninst: Returns the number of instruments of a fitted model
- optmIn: Returns input parameters used in numeric optimization of a
fitted model
- wmat: Returns weighting matrix of a fitted model
methods added
- case.names.pdynmc: Returns variable names of cross-sectional and
longitudinal identifiers of a fitted model
- coef.pdynmc: Returns coefficient estimates of a fitted model
- dummy.coef.pdynmc: Returns time dummy coefficient estimates of a
fitted model
- model.matrix.pdynmc: Returns instrument matrix of a fitted
model
- ninst.pdynmc: Returns instrument count of a fitted model
- nobs.pdynmc: Returns number of cross-sectional and longitudinal
observations of a fitted model
- optimIn.pdynmc: Returns input parameters used in numeric
optimization of a fitted model
- plot.pdynmc: Plot methods for fitted model; returns plot of fitted
values vs. residuals (default) or coefficient range across iterations of
the estimation procedure (two-step or iterated estimation)
- print.pdynmc: Print fitted model object in console
- variable.names.pdynmc: Returns vector with names of explanatory
variables of a fitted model