UEM.jl

Unobserved Effects Models (Panel Data Econometrics) -> For Beta Test
Author Nosferican
Popularity
5 Stars
Updated Last
1 Year Ago
Started In
July 2017

UEM

License: LGPL v3 Project Status Build Status codecov

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
  1. 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
  1. Methods for StatsBase.RegressionModel
  2. 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.