This R-package contains the implementation of the SAW estimation procedure, introduced in A Wavelet Method for Panel Models with Jump Discontinuities in the Parameters by Bada O., Kneip A., Liebl D., Mensinger T., Gualtieri J. and Sickles R. C. (link to paper will appear soon).
library("devtools")
devtools::install_github("https://github.com/timmens/sawr")X, y <- get_data()
model <- sawr::fit_saw(y, X, time_effect = TRUE)Remark. Parallelization might only be available for unix users.
X_new, X, Z, y <- get_endogeneous_data()
iv_model <- sawr::fit_saw(y, X, Z)
pred <- predict(iv_model, X_new)More examples can be found in the repository of the simulation study corresponding to the publication: https://github.com/timmens/simulation-saw-paper.