pdynmc: Moment Condition Based Estimation of Linear Dynamic Panel Data Models

Linear dynamic panel data modeling based on linear and nonlinear moment conditions as proposed by Holtz-Eakin, Newey, and Rosen (1988) <doi:10.2307/1913103>, Ahn and Schmidt (1995) <doi:10.1016/0304-4076(94)01641-C>, and Arellano and Bover (1995) <doi:10.1016/0304-4076(94)01642-D>. Estimation of the model parameters relies on the Generalized Method of Moments (GMM), numerical optimization (when nonlinear moment conditions are employed) and the computation of closed form solutions (when estimation is based on linear moment conditions). One-step, two-step and iterated estimation is available. of closed form solutions. For inference and specification testing, Windmeijer (2005) <doi:10.1016/j.jeconom.2004.02.005> and doubly corrected standard errors (Hwang, Kang, Lee, 2021 <doi:10.1016/j.jeconom.2020.09.010>) are available. Additionally, serial correlation tests, tests for overidentification, and Wald tests are provided. Functions for visualizing panel data structures and modeling results obtained from GMM estimation are also available. The plot methods include functions to plot unbalanced panel structure, coefficient ranges and coefficient paths across GMM iterations (the latter is implemented according to the plot shown in Hansen and Lee, 2021 <doi:10.3982/ECTA16274>).

Version: 0.9.6
Depends: R (≥ 3.6.0)
Imports: data.table (≥ 1.12.2), MASS (≥ 7.3-51.4), Matrix (≥ 1.2-17), optimx (≥ 2018-07.10), qlcMatrix (≥ 0.9.7), stats (≥ 3.6.0), Rdpack (≥ 0.11-0)
Suggests: pder (≥ 1.0-1), plm (≥ 2.2-0), testthat (≥ 2.3.2), R.rsp (≥ 0.43.2)
Published: 2021-10-14
Author: Markus Fritsch [aut, cre], Joachim Schnurbus [aut], Andrew Adrian Yu Pua [aut]
Maintainer: Markus Fritsch <Markus.Fritsch at uni-Passau.de>
BugReports: https://github.com/markusfritsch/pdynmc/issues
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://github.com/markusfritsch/pdynmc
NeedsCompilation: no
Classification/JEL: C23, C26, C87
Citation: pdynmc citation info
Materials: README NEWS
In views: Econometrics
CRAN checks: pdynmc results

Downloads:

Reference manual: pdynmc.pdf
Vignettes: pdynmc – A Package for Estimating Linear Dynamic Panel Data Models Based on Nonlinear Moment Conditions
pdynmc – An R-Package for Estimating Linear Dynamic Panel Data Models Based on Nonlinear Moment Conditions
R-package pdynmc: GMM Estimation of Dynamic Panel Data Models Based on Nonlinear Moment Conditions
Package source: pdynmc_0.9.6.tar.gz
Windows binaries: r-devel: pdynmc_0.9.6.zip, r-release: pdynmc_0.9.5.zip, r-oldrel: pdynmc_0.9.5.zip
macOS binaries: r-release (arm64): pdynmc_0.9.5.tgz, r-release (x86_64): pdynmc_0.9.5.tgz, r-oldrel: pdynmc_0.9.5.tgz
Old sources: pdynmc archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=pdynmc to link to this page.