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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.
Health stats visible at Monitor.