tvReg (version 0.5.0)

tvRE: Time-Varying Random Effects Estimation

Description

tvRE estimate time-varying coefficient of a random effects panel data model using kernel smoothing.

Usage

tvRE(x, ...)
# S3 method for matrix
tvRE(
  x,
  y,
  z = NULL,
  ez = NULL,
  bw,
  Sigma = NULL,
  neq,
  obs,
  est = c("lc", "ll"),
  tkernel = c("Epa", "Gaussian"),
  ...
)
# S3 method for tvplm
tvRE(x, ...)

Arguments

x

An object used to select a method.

...

Other arguments passed to specific methods.

y

A vector with dependent variable.

z

A vector with the variable over which coefficients are smooth over.

ez

(optional) A scalar or vector with the smoothing values. If values are included then the vector z is used.

bw

A numeric vector with the bandwidth.

Sigma

NULL (default) or a matrix of size obs x obs..

neq

A sclar with the number of equations

obs

A scalar with the number of time observations

est

The nonparametric estimation method, one of "lc" (default) for linear constant or "ll" for local linear.

tkernel

The type of kernel used in the coefficients estimation method, one of Epanesnikov ("Epa") or "Gaussian".

Value

tvRE returns a list containing:

coefficients

A vector of length obs, number of observations with the time-varying estimates.

fitted

A vector of length obs with the fited values from the estimation.

residuals

A vector of length obs with the residuals from the estimation.

alpha

A vector of length neq with the fixed effects.