Threshold Model and Unit Root Tests in Cross-Section and Time Series Data

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Documentation for package ‘pdR’ version 1.9.1

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pdR-package Panel Data Regression: Threshold Model and Unit Root Tests
bank_income Panel data of bank,2001Q1~2010Q1
cigaretts Cigaretts consumption of US states
contts Function for extracting components from a lm object
crime Annual crime dataset of US counties
dur_john The cross-country growth data in Durlauf and Johnson(1995)
hegy.reg Generate the HEGY regressors.
HEGY.test Seasonal unit root test based on Hylleberg et al. (1990)
IGF Unit root test based on Change(2002)
inf19 Monthly inflation time series of 19 countries
inf_M Monthly inflation time series of 20 countries
inf_Q Quarterly inflation time series of 20 countries
interpolpval Extracting critical value and p-value from Table 1 of Hylleberg et. al (1990)
invest investment data of 565 listed companies, 1973-1987
ipsHEGY IPS-HEGY seasonal unit root test in panel data, Otero et al.(2007).
lagSelect Select the optimal number of lags, given criteria
lookupCVtable Function for looking up tabulated critical values and associated p-values of HEGY test.
model Estimate specified panel threshold model
pdR Panel Data Regression: Threshold Model and Unit Root Tests
pIGF Panel unit root test of Chang(2002)
productivity Productivity data of 48 US state,1970-1986
ptm Threshold specification of panel data
ret Returns a data.frame of sequential lag matrix.
r_est A subroutine for model()
SeasComponent Generate a data matrix of seasonal components
selPabic Selection of lags.
selPsignf Selection of lags.
SMPLSplit_est Estimation of sub-sampled data
SMPLSplit_example Example code for sample splitting
SMPLSplit_het Testing for sample splitting
sse_calc a subroutine of model()
tbar Compute the resursive mean
thr_sse a subroutine calculating SSE
tr A sub-routine calculating trace