phtt: Panel Data Analysis with Heterogeneous Time Trends

The package provides estimation procedures for panel data with large dimensions n, T, and general forms of unobservable heterogeneous effects. Particularly, the estimation procedures are those of Bai (2009) and Kneip, Sickles, and Song (2012), which complement one another very well: both models assume the unobservable heterogeneous effects to have a factor structure. The method of Bai (2009) assumes that the factors are stationary, whereas the method of Kneip et al. (2012) allows the factors to be non-stationary. Additionally, the 'phtt' package provides a wide range of dimensionality criteria in order to estimate the number of the unobserved factors simultaneously with the remaining model parameters.

Version: 3.1.2
Depends: R (≥ 2.10)
Imports: pspline
Published: 2014-08-15
Author: Oualid Bada, Dominik Liebl
Maintainer: Dominik Liebl <r.packages.mail at>
License: GPL-2
NeedsCompilation: no
Citation: phtt citation info
In views: Econometrics
CRAN checks: phtt results


Reference manual: phtt.pdf
Vignettes: Introduction to the phtt Package.
Package source: phtt_3.1.2.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X El Capitan binaries: r-release: phtt_3.1.2.tgz
OS X Mavericks binaries: r-oldrel: phtt_3.1.2.tgz
Old sources: phtt archive


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