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iv_engine(): fixed an O(n^2) memory/time bug caused by
explicitly forming the full n x n projection matrix when computing the
second-stage variance. The offending step now computes
X_tilde via associativity instead, giving O(n*k) memory.
Previously this failed with “cannot allocate vector” errors around n =
100,000; it now runs in a fraction of a second at that size.anova_engine(): fixed a hard crash for n > 5,000,
where shapiro.test() errors out (“sample size must be
between 3 and 5000”). It now falls back to a Kolmogorov-Smirnov test
above that threshold, matching the behavior ols_engine()
already had.panel_engine(): fixed the internal Hausman test
statistic, which did not match plm::phtest(). The between
estimator used to construct the GLS transformation parameter
(theta) was missing its intercept and was not isolating the
idiosyncratic variance component, and the covariance-matrix
positive-definiteness safeguard did not match the reference algorithm
used by plm::phtest() (which inverts directly and takes the
absolute value of the resulting statistic, without a
positive-definiteness check). In some scenarios this could select the
theoretically inconsistent estimator (Random Effects when Fixed Effects
was actually warranted). See the “Statistical correctness note” in this
release’s cran-comments.md for scope and mitigation.model = "panel" in
paper_engine()): fixed effects and random effects
estimators with automatic Hausman-test-based selection
(method = "auto", "fe", or "re"),
plus balanced/unbalanced panel diagnostics.model = "iv"):
two-stage least squares (2SLS) in pure base R, with first-stage
weak-instrument diagnostics.model = "did"): treatment x post-period interaction model
with parallel-trends diagnostics.plot_engine() gains matching plot types for the three
new models: a forest plot for panel estimates, a forest plot for 2SLS
coefficients, and a parallel-trends plot for DiD.academic_salaries example dataset, used in
the new panel/IV/DiD vignette sections.vignette_tutorial.Rmd with worked examples for
panel data, IV, and DiD models.paper_engine() and plot_engine()
documentation for the new parameters (entity_id,
time_id, method, instruments,
treatment_var, time_var,
treatment_level, post_level).These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.