Estimate asymmetric effects models using first differencesSource:
The function fits the asymmetric effects first difference model described in Allison (2019) using GLS estimation.
Model formula. See details for crucial info on
panelr's formula syntax.
The data, either a
datais not a
panel_dataobject, then the name of the individual id column as a string. Otherwise, leave as NULL, the default.
datais not a
panel_dataobject, then the name of the panel wave column as a string. Otherwise, leave as NULL, the default.
Should the wave be included as a predictor? Default is FALSE.
What is the minimum number of waves an individual must have participated in to be included in the analysis? Default is
2and any valid number is accepted.
"all"is also acceptable if you want to include only complete panelists.
"unconstrained". The toeplitz variance specification estimates a single error variance and a single lag-1 error correlation with other lags having zero correlation. The constrained model assumes no autocorrelated errors or heteroskedastic errors. The unconstrained option allows separate variances for every period as well as every lag of autocorrelation. This can be very computationally taxing as periods increase and will be inefficient when not necessary. See Allison (2019) for more.
Either "CR2" or "CR1S". See the
clubSandwichpackage for more details.
Allison, P. D. (2019). Asymmetric fixed-effects models for panel data. Socius, 5, 1-12. https://doi.org/10.1177/2378023119826441