Overview | Methodology: Four Estimators | Model Specification | 1. Mean Group (MG) Estimator | 2. Common Correlated Effects (CCE) Estimator | 3. Dynamic CCE (DCCE) Estimator | $$y_ | 4. Cross-Sectionally Augmented ARDL (CS-ARDL) | $$\Delta y_ | Cross-Sectional Averages and Dynamic Structure | Summary | Data: Penn World Table Subset | Package installation | Model Estimation: Four Examples | Example 1: Mean Group (MG) Estimation | Example 2: Common Correlated Effects (CCE) | Example 3: Dynamic CCE (DCCE) | Example 4: Cross-Sectionally Augmented ARDL (CS-ARDL) | Cross-Sectional Dependence Testing | Four CD Test Types | 1. Pesaran CD Test | 2. Pesaran CD Weighted (CDw) | 3. Pesaran CD Weighted Plus (CDw+) | 4. Pesaran CD*, Fan-Liao-Yao (FLY) | Running CD Tests with Seed Selection | References
Package: csdm 1.0.1
csdm: Cross-Sectional Dependence Models
Provides estimators and utilities for large panel-data models with cross-sectional dependence, including mean group (MG), common correlated effects (CCE) and dynamic CCE (DCCE) estimators, and cross-sectionally augmented ARDL (CS-ARDL) specifications, plus related inference and diagnostics.
Authors:
csdm_1.0.1.tar.gz
csdm_1.0.1.zip(r-4.7)csdm_1.0.1.zip(r-4.6)csdm_1.0.1.zip(r-4.5)
csdm_1.0.1.tgz(r-4.6-any)csdm_1.0.1.tgz(r-4.5-any)
csdm_1.0.1.tar.gz(r-4.7-any)csdm_1.0.1.tar.gz(r-4.6-any)
csdm_1.0.1.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
csdm/json (API)
| # Install 'csdm' in R: |
| install.packages('csdm', repos = c('https://macosso.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/macosso/csdm/issues
Datasets:
- PWT_60_07 - Penn World Tables panel
econometricseconomicspanel-datapanel-data-model
Last updated from:78e661e18b. Checks:9 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 148 | ||
| source / vignettes | OK | 200 | ||
| linux-release-x86_64 | OK | 143 | ||
| macos-release-arm64 | OK | 92 | ||
| macos-oldrel-arm64 | OK | 98 | ||
| windows-devel | OK | 114 | ||
| windows-release | OK | 80 | ||
| windows-oldrel | OK | 100 | ||
| wasm-release | OK | 120 |
Exports:cd_testcluster_vcovcross_sectional_avgcsdmcsdm_csacsdm_lrcsdm_pooledcsdm_vcovget_residualspooled_vcovprepare_cd_inputsandwich_vcov
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Cross-sectional dependence (CD) tests for panel residuals | cd_test cd_test.csdm_fit cd_test.default print.cd_test |
| Extract model coefficients from a fitted csdm model | coef.csdm_fit |
| Panel Model Estimation with Cross-Sectional Dependence | csdm |
| Specification: Cross-sectional averages (CSA) | csdm_csa |
| Specification: Long-run configuration | csdm_lr |
| Specification: Pooled constraints (stub) | csdm_pooled |
| Specification: Variance-covariance for MG output (stub) | csdm_vcov |
| Predict method for csdm models | predict.csdm_fit |
| Compact print method for fitted csdm models | print.csdm_fit |
| Print method for csdm summary objects | print.summary.csdm_fit |
| Penn World Tables panel (93 countries, 1960-2007) | PWT_60_07 |
| Extract residual matrix from a fitted csdm model | residuals.csdm_fit |
| Summarize csdm model estimation results | summary.csdm_fit |
| Extract coefficient covariance matrix from a fitted csdm model | vcov.csdm_fit |
