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pdR (version 1.9.1)
Threshold Model and Unit Root Tests in Cross-Section and Time Series Data
Description
Threshold model, panel version of Hylleberg et al. (1990)
seasonal unit root tests, and panel unit root test of Chang (2002)
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1.9.1
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Install
install.packages('pdR')
Monthly Downloads
521
Version
1.9.1
License
GPL (>= 2)
Maintainer
Ho Tsung-wu
Last Published
August 21st, 2023
Functions in pdR (1.9.1)
Search functions
inf19
Monthly inflation time series of 19 countries
hegy.reg
Generate the HEGY regressors.
model
Estimate specified panel threshold model
interpolpval
Extracting critical value and p-value from Table 1 of Hylleberg et. al (1990)
ret
Returns a data.frame of sequential lag matrix.
pIGF
Panel unit root test of Chang(2002)
ipsHEGY
IPS-HEGY seasonal unit root test in panel data, Otero et al.(2007).
inf_M
Monthly inflation time series of 20 countries
tbar
Compute the resursive mean
thr_sse
a subroutine calculating SSE
lagSelect
Select the optimal number of lags, given criteria
pdR-package
Panel Data Regression: Threshold Model and Unit Root Tests
productivity
Productivity data of 48 US state,1970-1986
selPabic
Selection of lags.
selPsignf
Selection of lags.
sse_calc
a subroutine of model()
r_est
A subroutine for model()
lookupCVtable
Function for looking up tabulated critical values and associated p-values of HEGY test.
tr
A sub-routine calculating trace
ptm
Threshold specification of panel data
contts
Function for extracting components from a lm object
SMPLSplit_est
Estimation of sub-sampled data
SMPLSplit_het
Testing for sample splitting
SeasComponent
Generate a data matrix of seasonal components
SMPLSplit_example
Example code for sample splitting
crime
Annual crime dataset of US counties
dur_john
The cross-country growth data in Durlauf and Johnson(1995)
HEGY.test
Seasonal unit root test based on Hylleberg et al. (1990)
bank_income
Panel data of bank,2001Q1~2010Q1
IGF
Unit root test based on Change(2002)
inf_Q
Quarterly inflation time series of 20 countries
cigaretts
Cigaretts consumption of US states
invest
investment data of 565 listed companies, 1973-1987