Package: dcce
Title: Dynamic Common Correlated Effects Estimation for Panel Data
Version: 0.4.2
Authors@R: person("Mustapha", "Wasseja", role = c("aut", "cre"),
           email = "muswaseja@gmail.com")
Description: Estimates heterogeneous coefficient models for large
        panels with cross-sectional dependence. Implements the Mean
        Group (MG) estimator of Pesaran and Smith (1995)
        <doi:10.1016/0304-4076(94)01644-F>, the Common Correlated
        Effects (CCE) and Dynamic CCE (DCCE) estimators of Pesaran
        (2006) <doi:10.1111/j.1468-0262.2006.00692.x> and Chudik and
        Pesaran (2015) <doi:10.1016/j.jeconom.2015.03.007>, the
        regularized CCE of Juodis (2022), the Augmented Mean Group
        (AMG) of Eberhardt and Teal (2010), the Interactive Fixed
        Effects (IFE) estimator of Bai (2009) <doi:10.3982/ECTA6135>,
        and long-run estimators including Cross-Sectionally augmented
        Distributed Lag (CS-DL), Cross-Sectionally augmented
        Autoregressive Distributed Lag (CS-ARDL), and Pooled Mean Group
        (PMG) (Chudik et al. 2016; Shin et al. 1999). Also provides
        rolling-window estimation, high-dimensional fixed effect
        absorption, spatial CCE via user-supplied weight matrices, and
        structural break tests (Chow and sup-Wald) following Andrews
        (1993), Bai and Perron (1998), and Ditzen, Karavias and
        Westerlund (2024). Supplies a comprehensive cross-sectional
        dependence (CD) test suite including the Pesaran (2015) CD test
        <doi:10.1080/07474938.2014.956623>, the Juodis and Reese (2022)
        randomized weighted CD (CDw) test, the Baltagi et al. (2012)
        bias-adjusted weighted CD (CDw+) test, the Fan et al. (2015)
        Power Enhancement Approach (PEA) test, and the Pesaran and Xie
        (2021) bias-corrected CD (CD*) test. Further diagnostics
        include the Pesaran (2007) Cross-sectionally Augmented IPS
        (CIPS) panel unit root test <doi:10.1002/jae.951>, the
        Westerlund (2007) panel cointegration tests, the Dumitrescu and
        Hurlin (2012) panel Granger causality test, the Im-Pesaran-Shin
        (IPS) and Levin-Lin-Chu (LLC) panel unit root tests, the
        Pedroni (2004) and Kao (1999) residual cointegration tests, the
        Swamy (1970) and Pesaran and Yamagata (2008) slope homogeneity
        tests, a Hausman-type test for MG versus pooled, the exponent
        of cross-sectional dependence from Bailey et al. (2016)
        <doi:10.1002/jae.2490>, information criteria for
        Cross-Sectional Average (CSA) selection, the rank condition
        classifier, impulse response functions, cross-section and wild
        bootstrap inference, and 'broom'-compatible methods.
License: GPL (>= 3)
Encoding: UTF-8
LazyData: true
RoxygenNote: 7.3.3
Depends: R (>= 4.1.0)
Imports: stats, Matrix, collapse (>= 2.0.0), sandwich, generics, rlang
        (>= 1.1.0), cli (>= 3.0.0), tibble, Rcpp (>= 1.0.0)
LinkingTo: Rcpp, RcppArmadillo
Suggests: broom, ggplot2, lifecycle, plm, testthat (>= 3.0.0), knitr,
        rmarkdown, marginaleffects, parallel
VignetteBuilder: knitr
Config/testthat/edition: 3
NeedsCompilation: yes
Packaged: 2026-10-04 07:42:56 UTC; root
Author: Mustapha Wasseja [aut, cre]
Maintainer: Mustapha Wasseja <muswaseja@gmail.com>
Repository: https://muswaseja92.r-universe.dev
Date/Publication: 2026-05-05 20:36:34 UTC
RemoteUrl: https://github.com/cran/dcce
RemoteRef: HEAD
RemoteSha: 8d28b601d40a6f43f926f0cfbfefefafecd2d157