This release corrects the computation of the test statistic and several related defects; the version on CRAN is 1.0.2.
variance = c("bw", "py") selects the estimator: "bw"
(default) is T^-1 times the residual sum of squares of the unit-specific
least-squares regression (Blomquist and Westerlund, 2016, Section 3.1);
"py" is the pooled fixed-effects residual sum of squares divided by
T - K - 1 (Pesaran and Yamagata, 2008). The chosen estimator is used in
the weights of the weighted fixed-effects estimator, in S and in every
bootstrap statistic.delta_adj is NA with a warning when T - K - 1 <= 0.pval is now based on the statistic S
that the paper bootstraps (proportion of S* at least as large as S).
Delta and adjusted Delta are fixed rescalings of S, so their bootstrap
p-values coincided with each other; the duplicated pval_adj and
delta_adj_stars elements have been removed and pval_delta_asy and
pval_delta_adj_asy (asymptotic standard normal p-values) are reported
instead. Delta and adjusted Delta are always computed with the Pesaran
and Yamagata (2008) variance estimator (from the new element S_py),
whatever the value of variance, so that they are the statistics of
that paper; variance governs only S and the bootstrap. The
conclusion in summary() uses the bootstrap p-value only. New elements
S, S_py, S_stars, sigma2, variance and n_dropped.csa_lags > 0). Rows with missing
lagged averages were previously set to zero (including the constant)
without reducing T, which distorted the unit estimates. The first
csa_lags periods are now dropped for all units, T is reduced
accordingly, and when the dependent variable enters csa its
cross-sectional averages are recomputed from the pseudo-data in each
bootstrap replication. The documentation states that CSA augmentation is
an extension not covered by the paper.round(2 * T^(1/3)), which gives the
block lengths 6, 7 and 9 for T = 25, 50 and 100 stated in Section 4.2 of
the paper (previously floor(), giving 5, 7 and 9). A blocklength
larger than T is now an error.plot(): plot 1 now shows the bootstrap distribution of S and plot 2
that of Delta.xthst command now appears as a narrative reference in README.md only.