Main R packages I maintain/develop:
- tsDyn: Non-linear regime switching models, in particular threshold cointegration in R,
- RDDtools: A toolbox for Regression Discontinuity Design (RDD)
- multiDiff Multi-period diff-diff as discussed in Imai and Kim (2019) and Chaisemartin and Hautfeuille (2019).
- seglm Segmented/threshold regression methods.
Other R packages I have worked on:
- partsm Orphaned package I adopted on Periodic Autoregressive Time Series Models.
- RcompHam94 Replicating Hamilton’s Time Series Analysis
- RCompAngrist Replicating Mostly Harmless Econometrics in R
- Covariate decomposition R code for Gelbach (2016) When Do Covariates Matter? And Which Ones, and How Much? Journal of Labor Economics, 2016, vol. 34(2)
- Fixed-effects decomposition R script for Gibbons et al (2019) “Broken or Fixed Effects?,” Journal of Econometric Methods, vol. 8(1), pages 1-12,
- Random forests as local kernel Didactical code to illustrate Lin and Jeon (2006) Random forests and adaptive nearest neighbors. Journal of the American Statistical Association, 101(474):578–590
- IDW interpolation with spatial regression Didactical code to illustrate the link between inverse-distance-weighted interpolation and spatially weighted regression