Panel Data Analysis with Heterogeneous Dynamics

Understanding the dynamics of potentially heterogeneous variables is important in statistical applications. This package provides tools for estimating the degree of heterogeneity across cross-sectional units in the panel data analysis. The methods are developed by Okui and Yanagi (2019) and Okui and Yanagi (2020) .

panelhetero: Panel Data Analysis with Heterogeneous Dynamics

The panelhetero package provides tools for estimating the degree of heterogeneity acorss cross-sectional units using panel data. The methods are developed by the following papers:

• Okui and Yanagi (2019) “Panel data analysis with heterogeneous dynamics”
• Okui and Yanagi (2020) “Kernel estimation for panel data with heterogeneous dynamics”.

Intsallation

Run:

install.packages("panelhetero")

or

# install.packages("devtools") # if necessary
devtools::install_github("tkhdyanagi/panelhetero", build_vignettes = TRUE)

Website

• https://tkhdyanagi.github.io/panelhetero/

References

• Okui, R. and Yanagi, T., 2019. Panel data analysis with heterogeneous dynamics. Journal of Econometrics, 212(2), pp.451-475. Link
• Okui, R. and Yanagi, T., 2020. Kernel estimation for panel data with heterogeneous dynamics. The Econometrics Journal, 23(1), pp.156-175. Link