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PanelTM (version 1.0)

Two- And Three-Way Dynamic Panel Threshold Regression Model for Change Point Detection

Description

Estimation of two- and three-way dynamic panel threshold regression models (Di Lascio and Perazzini (2024) ; Di Lascio and Perazzini (2022, ISBN:978-88-9193-231-0); Seo and Shin (2016) ) through the generalized method of moments based on the first difference transformation and the use of instrumental variables. The models can be used to find a change point detection in the time series. In addition, random number generation is also implemented.

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Version

Install

install.packages('PanelTM')

Monthly Downloads

109

Version

1.0

License

GPL (>= 2)

Maintainer

Francesca Marta Lilja Di Lascio

Last Published

April 22nd, 2024

Functions in PanelTM (1.0)

ptm2-class

Class "ptm2"
perfm

Performance measures of the (two-way or three-way) panel threshold regression model estimated on simulated data.
perfm-class

Class "perfm"
simptm-class

Class "simptm"
ptm3

Three-way panel threshold regression model.
cpoint

Computation of the regime switch time in a (two-way or three-way) panel threshold regression model.
ptm3-class

Class "ptm3"
ptm2

Two-way panel threshold regression model.
simptm

Data simulation from two- or three-way panel threshold regression model.
cpoint-class

Class "cpoint"
banana

Biompedance measurements on bananas.