Dynamic Panel Analysis in R

Dear Tanveer and Johannes,

it *is* indeed possible to estimate dynamic panels by GMM with plm. As
Johannes observes, ?pgmm is a good start. Please see also the package
vignette or its close cousin, this paper on JSS
http://www.jstatsoft.org/v27/i02, section 5.4.

Johannes, if you had problems (assuming it was the software's fault, of
course) it would be nice to get a bug report, possibly with a
reproducible example, so we can try and sort them out.

Best,
Giovanni

### Original message: ###
Message: 1
Date: Sat, 14 Feb 2009 03:41:34 -0800 (PST)
From: Johannes Habel <johannes.habel at gmx.de>
Subject: Re: [R] Dynamic Panel Analysis in R
To: r-help at r-project.org
Message-ID: <22011830.post at talk.nabble.com>
Content-Type: text/plain; charset=us-ascii


Hi Tanveer,

the PLM package includes the possibility to estimate instrumental
variable models. It also includes a function PGMM to estimate GMM
models. Try ?pgmm... By the way, if you manage to make this function
work, I'd be glad for a quick note. I've been ecountering massive
problems with this function...

Best,
Johannes

Hi!

I am quite a new user of R. I wanted to ask if there was some package
for dynamic panel analysis (with Arneallo-Bond Method) like stata. PLM

is for panel analysis but not for dynamic.

Best regards,

Tanveer

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and provide commented, minimal, self-contained, reproducible code.

Giovanni Millo
Research Dept.,
Assicurazioni Generali SpA
Via Machiavelli 4, 
34132 Trieste (Italy)
tel. +39 040 671184 
fax  +39 040 671160
 
Ai sensi del D.Lgs. 196/2003 si precisa che le informazi...{{dropped:13}}