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Fits heterogeneous panel data models with interactive effects for linear regression, logistic, count, probit, quantile, and clustering. Based on Ando, T. and Bai, J. (2015) "A simple new test for slope homogeneity in panel data models with interactive effects" <doi:10.1016/j.econlet.2015.09.019>, Ando, T. and Bai, J. (2015) "Asset Pricing with a General Multifactor Structure" <doi:10.1093/jjfinex/nbu026> , Ando, T. and Bai, J. (2016) "Panel data models with grouped factor structure under unknown group membership" <doi:10.1002/jae.2467>, Ando, T. and Bai, J. (2017) "Clustering huge number of financial time series: A panel data approach with high-dimensional predictors and factor structures" <doi:10.1080/01621459.2016.1195743>, Ando, T. and Bai, J. (2020) "Quantile co-movement in financial markets" <doi:10.1080/01621459.2018.1543598>, Ando, T., Bai, J. and Li, K. (2021) "Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity" <doi: 10.1016/j.jeconom.2020.11.013.>.
| Version: | 0.1.0 |
| Depends: | R (≥ 2.10) |
| Imports: | diagonals, ncvreg, quantreg |
| Published: | 2022-02-16 |
| DOI: | 10.32614/CRAN.package.PDMIF |
| Author: | Tomohiro Ando [aut, cre], Hani Fayad [aut] |
| Maintainer: | Tomohiro Ando <t.ando at mbs.edu> |
| License: | MIT + file LICENSE |
| NeedsCompilation: | no |
| CRAN checks: | PDMIF results |
| Reference manual: | PDMIF.pdf |
| Package source: | PDMIF_0.1.0.tar.gz |
| Windows binaries: | r-devel: PDMIF_0.1.0.zip, r-release: PDMIF_0.1.0.zip, r-oldrel: PDMIF_0.1.0.zip |
| macOS binaries: | r-release (arm64): PDMIF_0.1.0.tgz, r-oldrel (arm64): PDMIF_0.1.0.tgz, r-release (x86_64): PDMIF_0.1.0.tgz, r-oldrel (x86_64): PDMIF_0.1.0.tgz |
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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.