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The package is a panel adaptation of the gets package see see here.

This code is being developed by Felix Pretis and Moritz Schwarz. The associated working paper is published under “Panel Break Detection: Detecting Unknown Treatment, Stability, Heterogeneity, and Outliers” by Pretis and Schwarz, which is available at SSRN here.

Installation

You can install the released version of getspanel from CRAN with:

install.packages("getspanel")

And the development version from GitHub with:

# install.packages("devtools")
devtools::install_github("moritzpschwarz/getspanel")

Example

library(getspanel)

data("EU_emissions_road")
subset_EU15 <- c("Austria", "Belgium", "Germany", "Denmark", "Spain", "Finland", 
                 "France",  "Greece", "Ireland", "Italy", "Luxembourg", "Netherlands","Portugal",  "Sweden", "United Kingdom")

EU_emissions_road <- EU_emissions_road[EU_emissions_road$country %in% subset_EU15, ]

is1 <- isatpanel(data = EU_emissions_road,
                 formula = transport.emissions ~ lgdp + lpop, 
                 index = c("country","year"),
                 effect = "twoways",
                 fesis = TRUE,
                 
                 print.searchinfo = FALSE # to save space we suppress the status information in the estimation
)
is1

Date: Mon Feb 14 22:49:38 2022 
Dependent var.: y 
Method: Ordinary Least Squares (OLS)
Variance-Covariance: Ordinary 
No. of observations (mean eq.): 720 
Sample: 1 to 720 

SPECIFIC mean equation:

                            coef std.error  t-stat   p-value    
lgdp                     -8544.9    2319.1 -3.6845 0.0002486 ***
lpop                      3805.8    7072.2  0.5381 0.5906719    
idBelgium                 4274.3    2043.0  2.0922 0.0368149 *  
idDenmark                -2664.8    3066.9 -0.8689 0.3852402    
idFinland                -6504.6    2855.6 -2.2779 0.0230635 *  
idFrance                 76891.2   11146.3  6.8983 1.267e-11 ***
idGermany                95573.1   13389.2  7.1381 2.576e-12 ***
idGreece                 -6335.6    2358.2 -2.6866 0.0074053 ** 
idIreland               -17559.0    4251.5 -4.1301 4.108e-05 ***
idItaly                  51941.9   11492.0  4.5198 7.373e-06 ***
idLuxembourg            -19579.9   17644.9 -1.1097 0.2675620    
idNetherlands             9878.4    3654.9  2.7028 0.0070586 ** 
idPortugal              -13847.2    2926.9 -4.7309 2.752e-06 ***
idSpain                  26281.4    9483.6  2.7712 0.0057464 ** 
idSweden                  5772.1    1467.4  3.9336 9.281e-05 ***
idUnitedKingdom          71674.8   11502.5  6.2312 8.394e-10 ***
time1971                164694.5   78288.9  2.1037 0.0357963 *  
time1972                166697.1   78291.3  2.1292 0.0336196 *  
time1973                168798.7   78286.3  2.1562 0.0314421 *  
time1974                168090.5   78311.0  2.1464 0.0322126 *  
time1975                169229.5   78359.2  2.1597 0.0311694 *  
time1976                171162.4   78370.9  2.1840 0.0293242 *  
time1977                172672.3   78381.7  2.2030 0.0279527 *  
time1978                173404.0   78408.0  2.2116 0.0273496 *  
time1979                174686.2   78411.1  2.2278 0.0262390 *  
time1980                175036.3   78425.6  2.2319 0.0259685 *  
time1981                173981.1   78456.6  2.2175 0.0269363 *  
time1982                174638.0   78465.5  2.2257 0.0263841 *  
time1983                174009.8   78486.7  2.2171 0.0269696 *  
time1984                175197.8   78482.9  2.2323 0.0259400 *  
time1985                175966.5   78477.5  2.2423 0.0252866 *  
time1986                178003.6   78471.4  2.2684 0.0236378 *  
time1987                177602.8   78455.3  2.2637 0.0239238 *  
time1988                179349.0   78449.9  2.2862 0.0225708 *  
time1989                181676.6   78457.7  2.3156 0.0208954 *  
time1990                184188.7   78469.4  2.3473 0.0192153 *  
time1991                186004.6   78501.0  2.3695 0.0181100 *  
time1992                187439.1   78528.6  2.3869 0.0172809 *  
time1993                186694.7   78559.7  2.3765 0.0177724 *  
time1994                187225.9   78566.4  2.3830 0.0174618 *  
time1995                187945.6   78571.2  2.3920 0.0170425 *  
time1996                189158.1   78579.2  2.4072 0.0163562 *  
time1997                190048.3   78577.3  2.4186 0.0158577 *  
time1998                191989.8   78575.8  2.4434 0.0148199 *  
time1999                193511.7   78574.7  2.4628 0.0140489 *  
time2000                194083.9   78574.7  2.4701 0.0137688 *  
time2001                193751.0   78575.7  2.4658 0.0139324 *  
time2002                194470.6   78599.6  2.4742 0.0136120 *  
time2003                195708.3   78653.1  2.4882 0.0130907 *  
time2004                196762.8   78672.1  2.5010 0.0126314 *  
time2005                196528.2   78698.4  2.4972 0.0127668 *  
time2006                197151.9   78718.2  2.5045 0.0125091 *  
time2007                197502.9   78741.6  2.5082 0.0123797 *  
time2008                195755.6   78785.9  2.4847 0.0132223 *  
time2009                193794.3   78850.7  2.4577 0.0142456 *  
time2010                193455.7   78869.7  2.4529 0.0144386 *  
time2011                192842.4   78888.6  2.4445 0.0147745 *  
time2012                190772.0   78922.4  2.4172 0.0159186 *  
time2013                190987.4   78949.3  2.4191 0.0158361 *  
time2014                191602.8   78967.6  2.4263 0.0155269 *  
time2015                192490.6   78979.5  2.4372 0.0150719 *  
time2016                193349.8   79000.3  2.4475 0.0146546 *  
time2017                193936.6   79016.4  2.4544 0.0143778 *  
time2018                193549.0   79030.9  2.4490 0.0145913 *  
fesisAustria.1987        -5813.0    1429.7 -4.0658 5.382e-05 ***
fesisBelgium.1989        -5272.4    1400.4 -3.7650 0.0001819 ***
fesisDenmark.1978        20291.0    2180.3  9.3067 < 2.2e-16 ***
fesisDenmark.1987        29019.1    1860.1 15.6008 < 2.2e-16 ***
fesisDenmark.2003       -12626.6    1565.9 -8.0634 3.658e-15 ***
fesisFinland.1988       -11190.2    1436.9 -7.7878 2.756e-14 ***
fesisFrance.1993         20950.9    1822.2 11.4978 < 2.2e-16 ***
fesisFrance.2001         16109.9    1841.2  8.7498 < 2.2e-16 ***
fesisGermany.1991       -10796.4    1346.2 -8.0200 5.045e-15 ***
fesisGreece.1988         25862.9    1454.3 17.7840 < 2.2e-16 ***
fesisIreland.1987        23772.3    1429.0 16.6354 < 2.2e-16 ***
fesisItaly.1987          -6852.9    1590.3 -4.3090 1.898e-05 ***
fesisNetherlands.1981    12187.4    3320.0  3.6709 0.0002618 ***
fesisNetherlands.1983    20029.1    3169.2  6.3199 4.906e-10 ***
fesisPortugal.1987       -7330.2    1503.7 -4.8749 1.375e-06 ***
fesisUnitedKingdom.1990 -10435.0    1394.6 -7.4826 2.416e-13 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Diagnostics and fit:

                  Chi-sq df   p-value    
Ljung-Box AR(1)   387.15  1 < 2.2e-16 ***
Ljung-Box ARCH(1) 332.36  1 < 2.2e-16 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
                            
SE of regression  4131.66485
R-squared            0.99245
Log-lik.(n=720)  -6976.66946
plot(is1)

Let’s explore the other plots that we can use:

We can plot the counterfactual aspects compared

We can plot the residuals against an OLS model:

An example using coefficient step indicator saturation and impulse indicator saturation:

is2 <- isatpanel(data = EU_emissions_road,
                 formula = transport.emissions ~ lgdp + lpop, 
                 index = c("country","year"),
                 effect = "twoways",
                 csis = TRUE, 
                 iis = TRUE,  
                 print.searchinfo = FALSE # to save space we suppress the status information in the estimation
)
is2     

Date: Mon Feb 14 22:52:59 2022 
Dependent var.: y 
Method: Ordinary Least Squares (OLS)
Variance-Covariance: Ordinary 
No. of observations (mean eq.): 720 
Sample: 1 to 720 

SPECIFIC mean equation:

                     coef std.error  t-stat   p-value    
lgdp             -13562.7    4211.3 -3.2205 0.0013437 ** 
lpop              11530.0   12595.1  0.9154 0.3603039    
idBelgium          4072.8    3200.4  1.2726 0.2036224    
idDenmark         -3500.7    5098.6 -0.6866 0.4925816    
idFinland         -7890.2    4676.3 -1.6872 0.0920373 .  
idFrance          91966.1   20019.1  4.5939 5.230e-06 ***
idGermany        130080.3   22833.4  5.6969 1.853e-08 ***
idGreece         -10071.6    4527.6 -2.2245 0.0264582 *  
idIreland        -12507.6    7160.2 -1.7468 0.0811409 .  
idItaly           74371.0   19872.7  3.7424 0.0001985 ***
idLuxembourg      -9431.8   30453.4 -0.3097 0.7568786    
idNetherlands     12538.2    6499.9  1.9290 0.0541714 .  
idPortugal       -14265.2    5105.2 -2.7943 0.0053560 ** 
idSpain           40175.7   17091.9  2.3506 0.0190442 *  
idSweden           3831.8    2021.2  1.8957 0.0584389 .  
idUnitedKingdom   85369.9   20139.9  4.2389 2.574e-05 ***
time1971         165717.1  136771.0  1.2116 0.2260930    
time1972         167722.7  136772.0  1.2263 0.2205344    
time1973         170003.0  136760.4  1.2431 0.2142916    
time1974        2412928.9  742685.7  3.2489 0.0012184 ** 
time1975        2419489.5  744568.7  3.2495 0.0012159 ** 
time1976        2428993.2  746965.9  3.2518 0.0012063 ** 
time1977         142336.5  137478.0  1.0353 0.3008967    
time1978         143226.9  137533.6  1.0414 0.2980809    
time1979         144588.8  137539.0  1.0513 0.2935332    
time1980         146898.5  137498.2  1.0684 0.2857536    
time1981         149430.1  137450.7  1.0872 0.2773732    
time1982         150067.2  137467.4  1.0917 0.2753904    
time1983         150128.9  137493.0  1.0919 0.2752826    
time1984         148838.1  137568.4  1.0819 0.2796908    
time1985         149614.7  137560.7  1.0876 0.2771650    
time1986         151551.6  137555.8  1.1017 0.2709815    
time1987         157289.0  137423.9  1.1446 0.2528175    
time1988         160112.5  137399.5  1.1653 0.2443246    
time1989         162186.8  137387.0  1.1805 0.2382312    
time1990         160971.7  137500.1  1.1707 0.2421496    
time1991         161227.8  137567.2  1.1720 0.2416314    
time1992         162533.1  137619.9  1.1810 0.2380253    
time1993         163225.4  137672.3  1.1856 0.2362122    
time1994         163970.5  137678.7  1.1910 0.2341039    
time1995         164736.3  137687.6  1.1965 0.2319592    
time1996         167245.3  137659.0  1.2149 0.2248378    
time1997         170150.5  137593.2  1.2366 0.2166770    
time1998         172113.2  137592.3  1.2509 0.2114258    
time1999         174212.2  137574.7  1.2663 0.2058581    
time2000         176516.9  137525.3  1.2835 0.1997682    
time2001         177200.6  137559.8  1.2882 0.1981466    
time2002         177616.7  137611.0  1.2907 0.1972633    
time2003         173799.6  137793.6  1.2613 0.2076541    
time2004         174930.0  137825.9  1.2692 0.2048226    
time2005         174700.2  137872.6  1.2671 0.2055707    
time2006         182331.5  137695.0  1.3242 0.1859144    
time2007         182116.7  137661.8  1.3229 0.1863265    
time2008         182267.4  137779.5  1.3229 0.1863385    
time2009         176480.4  137993.7  1.2789 0.2013900    
time2010         173932.3  138094.7  1.2595 0.2082986    
time2011         173181.3  138132.4  1.2537 0.2103913    
time2012         171369.9  138181.9  1.2402 0.2153596    
time2013         172026.0  138214.6  1.2446 0.2137187    
time2014         172638.2  138247.4  1.2488 0.2122036    
time2015         173699.6  138264.4  1.2563 0.2094660    
time2016         174927.4  138290.4  1.2649 0.2063526    
time2017         175512.6  138319.7  1.2689 0.2049362    
time2018         175075.2  138347.7  1.2655 0.2061575    
iis97            -40328.7    9481.1 -4.2536 2.415e-05 ***
iis98            -36997.2    9481.5 -3.9020 0.0001054 ***
iis99            -35707.6    9481.1 -3.7662 0.0001809 ***
iis100           -33422.5    9570.2 -3.4923 0.0005114 ***
iis101           -30662.7    9491.1 -3.2307 0.0012976 ** 
iis102           -27504.6    9582.2 -2.8704 0.0042338 ** 
iis229            34325.4    9434.9  3.6381 0.0002965 ***
lpop.csis1974   -139568.0   45644.0 -3.0577 0.0023221 ** 
lpop.csis1977    141257.3   45642.4  3.0949 0.0020539 ** 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Diagnostics and fit:

                  Chi-sq df   p-value    
Ljung-Box AR(1)   585.38  1 < 2.2e-16 ***
Ljung-Box ARCH(1) 411.09  1 < 2.2e-16 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
                            
SE of regression  9005.99607
R-squared            0.96374
Log-lik.(n=720)  -7541.20077
plot(is2)

and an example of Coefficient Fixed-Effect Step indicator saturation:

is3 <- isatpanel(data = EU_emissions_road,
                 formula = transport.emissions ~ lgdp + lpop, 
                 index = c("country","year"),
                 effect = "twoways",
                 cfesis = TRUE, 
                 print.searchinfo = FALSE # to save space we suppress the status information in the estimation
)
is3    
plot(is3)

We can also use e.g. the fixest package to estimate our models:

is4 <- isatpanel(data = EU_emissions_road,
                 formula = transport.emissions ~ lgdp + lpop, 
                 index = c("country","year"),
                 effect = "twoways",
                 engine = "fixest",
                 fesis = TRUE, 
                 print.searchinfo = FALSE # to save space we suppress the status information in the estimation
)
plot(is4)