Package: pdynmc 0.9.12.9000

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) and instrumental variables (IV) estimation, 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. 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>). For a more detailed description of the GMM-based functionality, please see Fritsch, Pua, Schnurbus (2021) <doi:10.32614/RJ-2021-035>. For more details on the IV-based estimation routines, see Fritsch, Pua, and Schnurbus (WP, 2024) and Han and Phillips (2010) <doi:10.1017/S026646660909063X>.

Authors:Markus Fritsch [aut, cre], Joachim Schnurbus [aut], Andrew Adrian Yu Pua [aut]

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pdynmc.pdf |pdynmc.html✨
pdynmc/json (API)
NEWS

# Install 'pdynmc' in R:
install.packages('pdynmc', repos = c('https://markusfritsch.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/markusfritsch/pdynmc/issues

Datasets:
  • ABdata - Employment, wages, capital, and output for companies based in the UK
  • cigDemand - Cigarette consumption in the US

On CRAN:

13 exports 4 stars 1.55 score 10 dependencies 103 scripts 542 downloads

Last updated 2 months agofrom:2f5d084d4f. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKSep 10 2024
R-4.5-winOKSep 10 2024
R-4.5-linuxOKSep 10 2024
R-4.4-winOKSep 10 2024
R-4.4-macOKSep 10 2024
R-4.3-winOKSep 10 2024
R-4.3-macOKSep 10 2024

Exports:data.infoFDLSjtest.fctmtest.fctninstNLIVNLIV.altoptimInpDensTime.plotpdynmcstrucUPD.plotwald.fctwmat

Dependencies:data.tablelatticeMASSMatrixnloptrnumDerivoptimxpracmarbibutilsRdpack

pdynmc -- An R-Package for Estimating Linear Dynamic Panel Data Models Based on Nonlinear Moment Conditions

Rendered frompdynmc-introLong.pdf.asisusingR.rsp::asison Sep 10 2024.

Last update: 2021-06-15
Started: 2021-06-14

R-package pdynmc: GMM Estimation of Dynamic Panel Data Models Based on Nonlinear Moment Conditions

Rendered frompdynmc-pres-in-a-nutshell.pdf.asisusingR.rsp::asison Sep 10 2024.

Last update: 2021-06-15
Started: 2021-06-14

Readme and manuals

Help Manual

Help pageTopics
Employment, wages, capital, and output for companies based in the UKABdata
Case and Variable Names of Fitted Model.case.names.pdynmc
Cigarette consumption in the UScigDemand
Extract Coefficient Estimates of Fitted Model.coef.pdynmc
Show Basic Structure of Panel Dataset.data.info
Extract Coefficient Estimates of Time Dummies of Fitted Model.dummy.coef.pdynmc
First Difference Least Squares (FDLS) Estimator of Han and Phillips (2010).FDLS
Extract Fitted Values of Fitted Model.fitted.pdynmc
Hansen J-Test.jtest.fct
Extract Instrument Matrix of Fitted Model.model.matrix.pdynmc
Arellano and Bond Serial Correlation Test.mtest.fct
Extract Instrument Count of Fitted Model.ninst
Extract Instrument Count of Fitted Model.ninst.pdynmc
Nonlinear Instrumental Variables Estimator - T-Version (NLIV).NLIV
Nonlinear Instrumental Variables Estimator - t-Version (NLIV.alt).NLIV.alt
Extract Number of Observations of Fitted Model.nobs.pdynmc
Extract Input Parameters of Numeric Optimization of Fitted Model.optimIn
Extract Input Parameters of Numeric Optimization of Fitted Model.optimIn.pdynmc
pdynmc: A package for moment conditions based estimation of linear dynamic panel data modelspackage-pdynmc
Plot Empirical Density of a Column of a Panel Dataset over Time.pDensTime.plot
Generalized Method of Moments (GMM) Estimation of Linear Dynamic Panel Data Models.pdynmc
Plot Coefficient Estimates and Corresponding Ranges of Fitted Model.plot.pdynmc
Print Fitted Model Object.print.pdynmc
Print Summary of Fitted Model Object.print.summary.pdynmc
Extract Residuals of Fitted Model.residuals.pdynmc
Plot on Structure of Unbalanced Panel Dataset.strucUPD.plot
Summary for Fitted Model Object.summary.pdynmc
Extract Names of Explanatory Variables of Fitted Model.variable.names.pdynmc
Extract Variance Covariance Matrix of Fitted Model.vcov.pdynmc
Wald Test.wald.fct
Extract Weighting Matrix of Fitted Model.wmat
Extract Weighting Matrix of Fitted Model.wmat.pdynmc