data6X

A synthesized input variable dataset to cluster individual units by nonlinear heterogeneous panel data models with interactive effects when the group membership is unknown

datasets

Fits heterogeneous panel data models with interactive effects for linear regression, logistic, count, probit, quantile, and clustering. Based on Ando, T. and Bai, J. (2015) "A simple new test for slope homogeneity in panel data models with interactive effects" <doi: 10.1016/j.econlet.2015.09.019>, Ando, T. and Bai, J. (2015) "Asset Pricing with a General Multifactor Structure" <doi: 10.1093/jjfinex/nbu026> , Ando, T. and Bai, J. (2016) "Panel data models with grouped factor structure under unknown group membership" <doi: 10.1002/jae.2467>, Ando, T. and Bai, J. (2017) "Clustering huge number of financial time series: A panel data approach with high-dimensional predictors and factor structures" <doi: 10.1080/01621459.2016.1195743>, Ando, T. and Bai, J. (2020) "Quantile co-movement in financial markets" <doi: 10.1080/01621459.2018.1543598>, Ando, T., Bai, J. and Li, K. (2021) "Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity" <doi: 10.1016/j.jeconom.2020.11.013.>.

Tomohiro Ando

PDMIF

Fits Heterogeneous Panel Data Models

Hani Fayad

data6X function

A data frame with 4,500 rows and 2 columns:<dl class="dl-horizontal">
<dt>columns</dt><dd>the two independent variables</dd>
<dt>rows</dt><dd>each 50 rows represent the timeseries of each of the 90 individuals</dd>
...
</dl>

Format

A synthesized input variable dataset to cluster individual units by nonlinear heterogeneous panel data models with interactive effects when the group membership is unknown — data6X

A data frame with 4,500 rows and 2 columns:<dl class='dl-horizontal'>
<dt>columns</dt><dd>the two independent variables</dd>
<dt>rows</dt><dd>each 50 rows represent the timeseries of each of the 90 individuals</dd>
...
</dl>

A synthesized input variable dataset to cluster individual units by nonlinear heterogeneous panel data models with interactive effects when the group membership is unknown

data6X: A synthesized input variable dataset to cluster individual units by nonlinear heterogeneous panel data models with interactive effects when the group membership is unknown

Description

Usage

Arguments

Format