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PDMIF  

Fits Heterogeneous Panel Data Models
View on CRAN: Click here


Download and install PDMIF package within the R console
Install from CRAN:
install.packages("PDMIF")

Install from Github:
library("remotes")
install_github("cran/PDMIF")

Install by package version:
library("remotes")
install_version("PDMIF", "0.1.0")



Attach the package and use:
library("PDMIF")
Maintained by
Tomohiro Ando
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2022-02-16
Latest Update: 2022-02-16
Description:
Fits heterogeneous panel data models with interactive effects for linear regression, logistic, count, probit, quantile, and clustering. Based on Ando, T. and Bai, J. (2015) "A simple new test for slope homogeneity in panel data models with interactive effects" , Ando, T. and Bai, J. (2015) "Asset Pricing with a General Multifactor Structure" , Ando, T. and Bai, J. (2016) "Panel data models with grouped factor structure under unknown group membership" , Ando, T. and Bai, J. (2017) "Clustering huge number of financial time series: A panel data approach with high-dimensional predictors and factor structures" , Ando, T. and Bai, J. (2020) "Quantile co-movement in financial markets" , Ando, T., Bai, J. and Li, K. (2021) "Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity" .
How to cite:
Tomohiro Ando (2022). PDMIF: Fits Heterogeneous Panel Data Models. R package version 0.1.0, https://cran.r-project.org/web/packages/PDMIF. Accessed 28 Jun. 2026.
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