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vcovPC.prais for panels that do not all begin in
the same period. The covariances of the panels were indexed by the order
in which the panels first appear, while the observations of a period
follow the panel, so the covariances were assigned to the wrong panels.
The results now agree with package pcse.index after the model frame was built. A
subset that reorders the observations undid that order and
made the transformation use the wrong lags.summary.prais are considerably faster
for data with many panels, and the check of argument index
and the alignment of the observations no longer dominate the run time of
larger samples. The positions of the observations were obtained by
appending to a vector once per panel, which copies the whole vector in
every iteration.pcse,
which prais depends on, is licensed under GPL (>= 3),
with which GPL-2 alone is not compatible.prais_winsten.
Observations that were dropped by lm are now also removed
from the data that is used to construct the panel and lag positions,
which previously caused errors such as “subscript out of bounds” or
“NA/NaN/Inf in ‘y’”.prais_winsten now throws an informative error if the
variables specified in argument index contain
NA values.newdata of predict.prais,
which was positioned after ... and was therefore ignored
when it was not passed by name. predict(object, newdata)
silently returned the fitted values instead of the predictions.predict.prais now builds the model matrix of
newdata from the model terms. Transformed variables,
factors and interactions are handled correctly, and the variables in
newdata no longer have to be named after the model
coefficients.prais_winsten returns the new elements
xlevels and contrasts.lm,
the coefficients of such variables are set to NA and omitted from the
fitted values, the coefficient table of summary.prais, the
covariance matrices of vcovHC.prais and
vcovPC.prais and from predict.prais.print.summary.prais reports the number of coefficients
that are not defined because of singularities.subset and weights are
now passed on to lm correctly. They could not be evaluated
when they were passed through the dots, which also made the check for
weighted least squares unreachable.vcovPC.prais throws an informative error if it is used
on a model that was not estimated from panel data.vcovHC.prais and vcovPC.prais no longer
build an n x n matrix, which required a prohibitive amount of memory for
larger samples. The results are unchanged.message
instead of cat and can be suppressed with
suppressMessages.prais_winsten throws an error if the variables
specified in argument index are not contained in
data or do not uniquely identify the observations, and
warns if the time variable is not equally spaced.summary.prais returns the residuals of the transformed
model, so that they are on the same scale as the reported residual
standard error.rhoweight no longer fails with “object ‘n_groups’ not
found” if rho is not panel specific. The weights only combine
panel-specific estimates and are ignored otherwise.max_iter and tol are validated.
max_iter = 0 was silently treated as one iteration and made
the estimation of panel-specific rho fail with “subscript out of
bounds”.print.summary.prais states that the reported residuals
belong to the transformed model.vcovPC.prais reports panels that do not have a period
in common instead of returning a covariance matrix of NaN. Argument
pairwise = TRUE can be used to match the observations of
two panels by period in that case.prais_winsten reports panels with less than two
observations if panelwise is TRUE, because a
panel-specific rho cannot be obtained from a single observation.predict.prais has its own help
page, the description of argument ... of
prais_winsten is no longer overwritten, the note on values
of rho above 1 reflects that rho is bounded, summary.prais
documents the components it actually returns, and several typos were
corrected.predict.prais.summary.prais when
only an intercept is estimated.barium example data set.index of
prais_winsten.prais_winsten$indexvcovPC.praisvcovHC.prais documentationNEWS.md file to track changes to the
packageThese 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.
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