tvReg (version 0.5.9)

tvRE: Time-Varying Random Effects Estimation

Description

tvRE estimate time-varying coefficient of a random effects panel data model using kernel smoothing.

Usage

tvRE(x, ...)
# S3 method for matrix
tvRE(
  x,
  y,
  z = NULL,
  ez = NULL,
  bw,
  Sigma = NULL,
  neq,
  obs,
  est = c("lc", "ll"),
  tkernel = c("Triweight", "Epa", "Gaussian"),
  ...
)
# S3 method for tvplm
tvRE(x, ...)

Value

tvRE returns a list containing:

coefficients

A vector of length obs, number of observations with the time-varying estimates.

fitted

A vector of length obs with the fited values from the estimation.

residuals

A vector of length obs with the residuals from the estimation.

alpha

A vector of length neq with the fixed effects.

Arguments

x

An object used to select a method.

...

Other arguments passed to specific methods.

y

A vector with dependent variable.

z

A vector with the variable over which coefficients are smooth over.

ez

(optional) A scalar or vector with the smoothing values. If values are not included then the vector z is used instead.

bw

A numeric vector with the bandwidth.

Sigma

NULL (default) or a matrix of size obs x obs..

neq

A scalar with the number of equations

obs

A scalar with the number of time observations

est

The nonparametric estimation method, one of "lc" (default) for linear constant or "ll" for local linear.

tkernel

A character, either "Triweight" (default), "Epa" or "Gaussian" kernel function.