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# CITATION file created with {cffr} R package
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cff-version: 1.2.0
message: 'To cite package "dcce" in publications use:'
type: software
license: GPL-3.0-or-later
title: 'dcce: Dynamic Common Correlated Effects Estimation for Panel Data'
version: 0.4.2
doi: 10.32614/CRAN.package.dcce
abstract: Estimates heterogeneous coefficient models for large panels with cross-sectional
  dependence. Implements the Mean Group (MG) estimator of Pesaran and Smith (1995)
  <https://doi.org/10.1016/0304-4076(94)01644-F>, the Common Correlated Effects (CCE)
  and Dynamic CCE (DCCE) estimators of Pesaran (2006) <https://doi.org/10.1111/j.1468-0262.2006.00692.x>
  and Chudik and Pesaran (2015) <https://doi.org/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) <https://doi.org/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 <https://doi.org/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 <https://doi.org/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) <https://doi.org/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.
authors:
- family-names: Wasseja
  given-names: Mustapha
  email: muswaseja@gmail.com
repository: https://muswaseja92.r-universe.dev
commit: 8d28b601d40a6f43f926f0cfbfefefafecd2d157
date-released: '2026-05-05'
contact:
- family-names: Wasseja
  given-names: Mustapha
  email: muswaseja@gmail.com