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dcce (version 0.4.2)

csdl_estimator: CS-DL Estimator Internals

Description

Internal functions for the Cross-Sectionally augmented Distributed Lag (CS-DL) estimator of Chudik, Mohaddes, Pesaran & Raissi (2016). The CS-DL regression is $$\Delta y_{it} = \alpha_i + w'_i x_{it} + \sum_{\ell=0}^{p_x} \phi'_{i\ell} \Delta x_{i,t-\ell} + \delta'_i \bar{z}_t + u_{it},$$ where the long-run coefficient \(w_i\) is identified directly as the coefficient on the level of \(x_{it}\). This file provides helpers to augment a formula with the required \(\Delta x_{t-\ell}\) terms before the main dcce() pipeline runs.

Arguments