Posterior Mean Panel Predictor

Documentation for package ‘pmpp’ version 0.1.1

create_fframe	Add empty rows with time stamps to each cress-sectional unit in the panel
get_kernel	Obtain 2D kernel density estimates given sufficient statistics for lambdas and the initial data Y0
get_lambda0	Produce sufficient statistics (lambda0) given the common coefficients (rho0)
get_sigma2	Produce variance of the shocks estimated using GMM residues (sigma2_0) given the common coefficients (rho0)
GMM_parametric	Produce posterior means of lambda's for the parametric GMM implementation given autoregressive coefficient (rho)
kde	One-dimensional kernel density estimate
kde2D	Compute a two-dimensional kernel density estimate
loglikelihood_GMM	Produce negative log-likelihood in the GMM case
loglikelihood_QMLE	Produce (negative) log marginal likelihood for QMLE with correlated random coefficients
plot.pmpp	Plot method for objects of class 'pmpp'.
pmpp	Posterior Mean Panel Predictor for dynamic panel modelling
pmpp_data	Transform a single variable in the matrix format into the long panel format
pmpp_predinterval	Random-Window Block Bootstrap for prediction intervals for PMPP model
post_mean_lambda_par	Provide posterior means of lambda_i's based on the Parametric Posterior Mean estimator with correlated random coefficients
predict.pmpp	Compute forecasts with a PMPP model
ssys_gmm	Suboptimal multi-step System-GMM estimator for AR(1) panel data model
summary.pmpp	Summary method for objects of class 'pmpp'.