Using collapse to speed up prais?

[SebKrantz]

Hello Franz,

thank you for your great package! I would like to make this suggestion to you: My recently developed C/C++ package collapse provides a function fdiff which supports extremely fast quasi-differences on (unordered) time series and panel data. The documentation for that function is here. I'd love to see this performance implemented in Prais. collapse depends on Rcpp, so you'd have two extra dependencies (more or less one as 99% of R users have Rcpp installed).

If you don't want to create hard dependencies, you could think of adding a soft one by using if(requireNamespace("collapse", quietly = TRUE)) to check if collapse is available, and use your base R implementation otherwise.

If you go for a hard dependency, collapse also offers other functions like na_omit, qDF, qM, roworderv, funique, ss, get_vars etc. that would also help to dramatically speed up the rest of the prais code.

I don't want to intrude into your development choices of course, but It would be really cool to run prais on large panel data. Let me know what you think about this.

Best regards,

Sebastian

[franzmohr]

Thanks for the proposal. Definitely looking into it.