DESCRIPTION

Package: panelAR
Version: 0.1
Date: 2014-02-27
Title: Estimation of Linear AR(1) Panel Data Models with Cross-Sectional Heteroskedasticity and/or Correlation
Author: Konstantin Kashin <kkashin@fas.harvard.edu>
Maintainer: Konstantin Kashin <kkashin@fas.harvard.edu>
Depends: R (>= 2.15.0)
Imports: car
Description: The package estimates linear models on panel data structures in the presence of AR(1)-type autocorrelation as well as panel heteroskedasticity and/or contemporaneous correlation. First, AR(1)-type autocorrelation is addressed via a two-step Prais-Winsten feasible generalized least squares (FGLS) procedure, where the autocorrelation coefficients may be panel-specific. A number of common estimators for the autocorrelation coefficient are supported. In case of panel heteroskedasticty, one can choose to use a sandwich-type robust standard error estimator with OLS or a panel weighted least squares estimator after the two-step Prais-Winsten estimator. Alternatively, if panels are both heteroskedastic and contemporaneously correlated, the package supports panel-corrected standard errors (PCSEs) as well as the Parks-Kmenta FGLS estimator.
License: GPL (>=2)
BugReports: https://github.com/kkashin/panelAR/issues