The goal of this package is to provide tools to fit time-varying coefficient models.
You will need to install rtools to allow the
devtools package to install packages from a remote repository: https://cran.r-project.org/bin/windows/Rtools/.
Make sure to update R as well.
The main functions for this package are the
pois_vcm functions. They are designed to be similar with other functions that fit models. Additionally, there are functions to compute the optimal bandwidth using a cross-validation approach.
The estimates are obtained using either a local least-squares or local likelihood approach. The varying-coefficients are approximated using a local-linear model.
The standard errors are obtained using a bootstrap method. Due the correlated nature of longitudinal data, bootstrap standard errors provide more accurate results. The functions will provide both the standard errors and point-wise percentiles for a value of a varying-coefficient functions.
plot() function will generate plots of the time-varying coefficient model.