Changelog

Source: NEWS.md

endogCopulaPanel 0.2.0

Breaking changes

• CopRegML_par() is replaced by CopRegPANEL(), ported from the rewritten reference implementation.
• The formula interface changes to the two part form used across the toolbox, y ~ endogenous | exogenous, used together with index = c("id", "time").

New features

• CopRegPANEL() returns an object of class "copregpanel" with coef(), vcov(), confint(), residuals(), fitted(), fixef(), logLik(), predict(), summary() and validity() methods.

Dependencies

• The package now imports endogCopula for the shared model parsing, CDF estimation and diagnostic helpers. The estimator code itself is unchanged apart from packaging, and reproduces the upstream coefficients, standard errors, rho and log likelihood to 1e-12.
• The dependency list is reduced. copula, dplyr, extRC, ks, matrixcalc, nlme, nortest, pbapply, resample and tsoutliers are dropped. Several of these did not install from CRAN in their current form.
• The test suite is replaced. The old tests called CopRegML_par() and FOD(), which no longer exist.