Implementing Panel-Corrected Standard Errors in R: The pcse Package
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.
r pcse time-series-cross-section contemporaneous correlation heteroskedasity covariance matrix estimation