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prais

Prais-Winsten estimator for AR(1) serial correlation

https://github.com/franzmohr/prais

Science Score: 26.0%

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Keywords

cran prais-winsten prais-winsten-estimator
Last synced: 11 months ago · JSON representation

Repository

Prais-Winsten estimator for AR(1) serial correlation

Basic Info
  • Host: GitHub
  • Owner: franzmohr
  • Language: R
  • Default Branch: master
  • Homepage:
  • Size: 135 KB
Statistics
  • Stars: 6
  • Watchers: 2
  • Forks: 2
  • Open Issues: 6
  • Releases: 0
Topics
cran prais-winsten prais-winsten-estimator
Created almost 8 years ago · Last pushed about 1 year ago
Metadata Files
Readme Changelog

README.Rmd 

---
output:
  github_document:
    html_preview: false
---

# prais

[![CRAN_Status_Badge](https://www.r-pkg.org/badges/version/prais)](https://cran.r-project.org/package=prais)
[![R-CMD-check](https://github.com/FranzMohr/prais/workflows/R-CMD-check/badge.svg)](https://github.com/FranzMohr/prais/actions)

## Overview

`prais` implements the Prais-Winsten estimator for models with strictly exogenous regressors and AR(1) serial correlation of the errors.

## Installation

### CRAN 

```{r cran, eval = FALSE}
install.packages("prais")
```

### Development version

```{r github, eval = FALSE}
# install.packages("devtools")
devtools::install_github("franzmohr/prais")
```

## Usage

```{r usage, message = FALSE}
# Load the package
library(prais)

# Load the data
data("barium")

pw <- prais_winsten(lchnimp ~ lchempi + lgas + lrtwex + befile6 + affile6 + afdec6,
                    data = barium, index = "t")
summary(pw)
```

## Robust standard errors

### White's estimator

```{r, message = FALSE}
library(lmtest)

coeftest(pw, vcov. = vcovHC(pw, "HC1"))
```

### Panel-corrected standard errors (PCSE)

Estimate a panel model, for which PCSE should be obtained.

```{r, message = FALSE}
# Example 2 in the documentation of Stata function xtpcse

# Load data
data <- haven::read_dta("http://www.stata-press.com/data/r14/grunfeld.dta")

# Estimate
x <- prais_winsten(invest ~ mvalue + kstock, data = data, index = c("company", "year"),
                   twostep = TRUE, panelwise = TRUE, rhoweight = "T1")

# Results
summary(x)
```
Obtain PCSE by using only those residuals from periods that are common to all panels by setting `pairwise = FALSE`.

```{r}
coeftest(x, vcov. = vcovPC(x, pairwise = FALSE))
```

Obtain PCSE by using all observations that can be matched by period between two panels by setting `pairwise = TRUE`.

```{r}
coeftest(x, vcov. = vcovPC(x, pairwise = TRUE))
```

## References

Beck, N. L. and Katz, J. N. (1995): What to do (and not to do) with time-series cross-section data. American Political Science Review 89, 634-647.

Prais, S. J. and Winsten, C. B. (1954): Trend Estimators and Serial Correlation. Cowles Commission Discussion Paper, 383 (Chicago).

Wooldridge, J. M. (2016). Introductory Econometrics. A Modern Approach. 6th ed. Mason, OH: South-Western Cengage Learning.

Owner

  • Name: Franz Mohr
  • Login: franzmohr
  • Kind: user
  • Location: Vienna
  • Company: Austrian Financial Market Authority

GitHub Events

Total
  • Issues event: 1
  • Watch event: 1
  • Delete event: 1
  • Issue comment event: 9
  • Push event: 10
  • Pull request event: 1
Last Year
  • Issues event: 1
  • Watch event: 1
  • Delete event: 1
  • Issue comment event: 9
  • Push event: 10
  • Pull request event: 1

Committers

Last synced: over 2 years ago

All Time
  • Total Commits: 69
  • Total Committers: 1
  • Avg Commits per committer: 69.0
  • Development Distribution Score (DDS): 0.0
Past Year
  • Commits: 3
  • Committers: 1
  • Avg Commits per committer: 3.0
  • Development Distribution Score (DDS): 0.0
Top Committers
Name Email Commits
Franz X. Mohr f****r@o****m 69

Issues and Pull Requests

Last synced: 12 months ago

All Time
  • Total issues: 14
  • Total pull requests: 1
  • Average time to close issues: 6 months
  • Average time to close pull requests: about 1 year
  • Total issue authors: 9
  • Total pull request authors: 1
  • Average comments per issue: 2.14
  • Average comments per pull request: 4.0
  • Merged pull requests: 1
  • Bot issues: 0
  • Bot pull requests: 0
Past Year
  • Issues: 1
  • Pull requests: 0
  • Average time to close issues: N/A
  • Average time to close pull requests: N/A
  • Issue authors: 1
  • Pull request authors: 0
  • Average comments per issue: 0.0
  • Average comments per pull request: 0
  • Merged pull requests: 0
  • Bot issues: 0
  • Bot pull requests: 0
View more stats
Top Authors
Issue Authors
  • franzmohr (4)
  • sweetmoniker (2)
  • jlprol (2)
  • FranziskaHarder (1)
  • rajeha (1)
  • tianliu88 (1)
  • julianjaecker (1)
  • SebKrantz (1)
  • Teniola17 (1)
Pull Request Authors
  • skvrnami (2)
Top Labels
Issue Labels
Pull Request Labels

Packages

  • Total packages: 1
  • Total downloads:
    • cran 602 last-month
  • Total dependent packages: 1
  • Total dependent repositories: 1
  • Total versions: 7
  • Total maintainers: 1
cran.r-project.org: prais

Prais-Winsten Estimator for AR(1) Serial Correlation

  • Versions: 7
  • Dependent Packages: 1
  • Dependent Repositories: 1
  • Downloads: 602 Last month
Rankings
Downloads: 12.3%
Dependent packages count: 18.2%
Average: 19.5%
Forks count: 21.0%
Stargazers count: 21.9%
Dependent repos count: 23.9%
Maintainers (1)
franz.x.mohr@outlook.com
Last synced: 11 months ago

Dependencies

DESCRIPTION cran
  • R >= 3.2.0 depends
  • pcse * depends
  • sandwich * depends
  • lmtest * imports
  • stats * imports
.github/workflows/R-CMD-check.yaml actions
  • actions/checkout v3 composite
  • r-lib/actions/check-r-package v2 composite
  • r-lib/actions/setup-pandoc v2 composite
  • r-lib/actions/setup-r v2 composite
  • r-lib/actions/setup-r-dependencies v2 composite