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Introduction

Here we provide computer code which can be used to reproduce the simulation results in the paper

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.

How to Reproduce

Reproduction of all results is a bit tricky. This is due to the fact that the comparison method is written in MATLAB and hence for a complete reproduction one needs to run the MATLAB files stored in src/matlab; more on that below. Given that the MATLAB simulation results have been produced the rest is easy: You simply need open the Rproject simulation.Rproj and then source the file src/main.R. It will run the simulations of our method and produce the overall tex files which are used in the paper. The results can then be found in bld/tex and bld/R. Note that you do not have to use the Rproj file as long as you adjust the relevant paths.

Run the MATLAB files:

To run the matlab code you first need to download the software corresponding to the method presented in Qian and Su, 2016b. The software is available on the authors website (download structb_panel.rar and unpack). The files need to be stored in src/matlab/matlab_src. Then in your MATLAB session you need to add the paths src/matlab/matlab_src and src/matlab/simulation_src. At last simply run the files monte_carlo_study_dgp*. This runs the simulation and writes the results to bld/matlab.

In case you cannot use a Windows machine to run the matlab code you need to find the argument mex in the monte carlo study code and set it to 0.

Our Method

The implementation of out method is hosted here: sawr and can be installed into R using

library("devtools")
install_github("timmens/sawr")

Contact & Contribution

If you find bugs in our codes feel free to open an issue / pull-request or simply contact me. See here.

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Code to reproduce simulation results in paper.

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