UEM

Stage of Development

Current Progress

1. One-way and Two-ways Unobserved Effects Model
2. Available Estimators:

• Pooling OLS
• First-Difference
• Between
• Fixed Effects (cross-sectional)
• Random Effects (Swamy-Arora harmonic mean) [Currently implemented for One-Way Error Component Models]
• Pooling 2SLS
• First-Difference 2SLS
• Between 2SLS
• Fixed Effects 2SLS
• Random Effects 2SLS

3. Robust Variance-Covariance Estimators:

• OLS
• HC0
• HC1
• HC2
• HC3
• HC4
• Clustered at Panel ID
• Clustered at Temporal ID
• Two-Ways Clustered at Panel and Temporal Dimensions

4. Methods for StatsBase.RegressionModel
5. Added diagnostic tests for consistency of Random Effect.

Future Development

1. Hausman-Taylor Estimator
2. Add poolability test (Roy-Zellner)
3. Integration with CovarianceMatrices.jl for access to HAC variance-covariance estimators

For questions, feedback, reporting bugs please open an issue.