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

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Documentation for package ‘pdR’ version 1.9.2

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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)
htest_pglm Specification test for panel glm models
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.
ship Panel data on the number of ship accidents
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