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Implementing Panel Corrected Standard Errors in R: The pcse Package

Bailey, Delia and Katz, Jonathan N. (2011) Implementing Panel Corrected Standard Errors in R: The pcse Package. Journal of Statistical Software, 42 (CS1). pp. 1-11. ISSN 1548-7660. https://resolver.caltech.edu/CaltechAUTHORS:20140314-120455027

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Abstract

Time-series-cross-section (TSCS) data are characterized by having repeated observations over time on some set of units, such as states or nations. TSCS data typically display both contemporaneous correlation across units and unit level heteroskedasity making inference from standard errors produced by ordinary least squares incorrect. Panel-corrected standard errors (PCSE) account for these these deviations from spherical errors and allow for better inference from linear models estimated from TSCS data. In this paper, we discuss an implementation of them in the R system for statistical computing. The key computational issue is how to handle unbalanced data.


Item Type:Article
Related URLs:
URLURL TypeDescription
http://www.jstatsoft.org/v42/c01PublisherArticle
ORCID:
AuthorORCID
Katz, Jonathan N.0000-0002-5287-3503
Additional Information:© 2011 Published by the American Statistical Association. This work is licensed under the licenses Paper: Creative Commons Attribution 3.0 Unported License Code: GNU General Public License (at least one of version 2 or version 3). Submitted: 2007-01-22; Accepted: 2007-10-16.
Subject Keywords:pcse; time-series-cross-section; covariance matrix estimation; contemporaneous correlation; heteroskedasity; R
Issue or Number:CS1
Record Number:CaltechAUTHORS:20140314-120455027
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20140314-120455027
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:44318
Collection:CaltechAUTHORS
Deposited By: Jonathan Katz
Deposited On:17 Mar 2014 15:10
Last Modified:03 Oct 2019 06:16

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