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Exchange Rate Regime Analysis
Exchange rate regression and structural change tools for estimating, testing, dating, and monitoring (de facto) exchange rate regimes.
Generalized Linear Mixed Model Trees
Recursive partitioning based on (generalized) linear mixed models
(GLMMs) combining lmer()/glmer() from 'lme4' and lmtree()/glmtree() from
'partykit'. The fitting algorithm is described in more detail in Fokkema,
Smits, Zeileis, Hothorn & Kelderman (2018;
Evolutionary Learning of Globally Optimal Trees
Commonly used classification and regression tree methods like the CART algorithm are recursive partitioning methods that build the model in a forward stepwise search. Although this approach is known to be an efficient heuristic, the results of recursive tree methods are only locally optimal, as splits are chosen to maximize homogeneity at the next step only. An alternative way to search over the parameter space of trees is to use global optimization methods like evolutionary algorithms. The 'evtree' package implements an evolutionary algorithm for learning globally optimal classification and regression trees in R. CPU and memory-intensive tasks are fully computed in C++ while the 'partykit' package is leveraged to represent the resulting trees in R, providing unified infrastructure for summaries, visualizations, and predictions.
Distributions for Generalized Additive Models for Location Scale and Shape
A set of distributions which can be used for modelling the response variables in Generalized Additive Models for Location Scale and Shape, Rigby and Stasinopoulos (2005),
Penn World Table (Version 8.x)
The Penn World Table 8.x provides information on relative levels of income, output, inputs, and productivity for 167 countries between 1950 and 2011.
Censored Regression with Conditional Heteroscedasticity
Different approaches to censored or truncated regression with conditional heteroscedasticity are provided. First, continuous distributions can be used for the (right and/or left censored or truncated) response with separate linear predictors for the mean and variance. Second, cumulative link models for ordinal data (obtained by interval-censoring continuous data) can be employed for heteroscedastic extended logistic regression (HXLR). In the latter type of models, the intercepts depend on the thresholds that define the intervals. Infrastructure for working with censored or truncated normal, logistic, and Student-t distributions, i.e., d/p/q/r functions and distributions3 objects.
Penn World Table (Version 10.x)
The Penn World Table 10.x (< https://www.rug.nl/ggdc/productivity/pwt/>) provides information on relative levels of income, output, input, and productivity for 183 countries between 1950 and 2019.
Penn World Table (Version 9.x)
The Penn World Table 9.x (< http://www.ggdc.net/pwt/>) provides information on relative levels of income, output, inputs, and productivity for 182 countries between 1950 and 2017.
Penn World Table (Versions 5.6, 6.x, 7.x)
The Penn World Table provides purchasing power parity and national income accounts converted to international prices for 189 countries for some or all of the years 1950-2010.
Spatial Lag Model Trees
Model-based linear model trees adjusting for spatial correlation using a
simultaneous autoregressive spatial lag, Wagner and Zeileis (2019)