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pdR (version 1.9.3)

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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Install

install.packages('pdR')

Monthly Downloads

665

Version

1.9.3

License

GPL (>= 2)

Maintainer

Ho Tsung-wu

Last Published

August 18th, 2024

Functions in pdR (1.9.3)

inf_M

Monthly inflation time series of 20 countries
productivity

Productivity data of 48 US state,1970-1986
selPabic

Selection of lags.
selPsignf

Selection of lags.
invest

investment data of 565 listed companies, 1973-1987
tbar

Compute the resursive mean
thr_sse

a subroutine calculating SSE
r_est

A subroutine for model()
ret

Returns a data.frame of sequential lag matrix.
pIGF

Panel unit root test of Chang(2002)
ship

Panel data on the number of ship accidents
sse_calc

a subroutine of model()
pdR-package

Panel Data Regression: Threshold Model and Unit Root Tests
ptm

Threshold specification of panel data
lookupCVtable

Function for looking up tabulated critical values and associated p-values of HEGY test.
tr

A sub-routine calculating trace
model

Estimate specified panel threshold model
SMPLSplit_est

Estimation of sub-sampled data
SMPLSplit_example

Example code for sample splitting
IGF

Unit root test based on Change(2002)
SMPLSplit_het

Testing for sample splitting
crime

Annual crime dataset of US counties
SeasComponent

Generate a data matrix of seasonal components
cigaretts

Cigaretts consumption of US states
bank_income

Panel data of bank,2001Q1~2010Q1
contts

Function for extracting components from a lm object
dur_john

The cross-country growth data in Durlauf and Johnson(1995)
htest_pglm

Specification test for panel glm models
inf_Q

Quarterly inflation time series of 20 countries
interpolpval

Extracting critical value and p-value from Table 1 of Hylleberg et. al (1990)
inf19

Monthly inflation time series of 19 countries
hegy.reg

Generate the HEGY regressors.
ipsHEGY

IPS-HEGY seasonal unit root test in panel data, Otero et al.(2007).
HEGY.test

Seasonal unit root test based on Hylleberg et al. (1990)
lagSelect

Select the optimal number of lags, given criteria