R: plm package: linear models for panel data

plm-package {plm} | R Documentation

## plm package: linear models for panel data

### Description

plm is a package for R which intends to make the estimation of linear panel models straightforward. plm provides functions to estimate a wide variety of models and to make (robust) inference.

### Details

For a gentle and comprehensive introduction to the package, please see the package's vignette.

The main functions to estimate models are:

`plm` | panel data estimators using `lm` on transformed data,

`pgmm` | generalized method of moments (GMM) estimation for panel data,

`pvcm` | variable coefficients models for panel data,

`pmg` | mean groups (MG), demeaned MG and common correlated effects (CCEMG) estimators.

Next to the model estimation functions, the package offers several functions for statistical tests related to panel data/models.

Multiple functions for (robust) variance–covariance matrices are at hand as well.

The package also provides data sets to demonstrate functions and to replicate some text book/paper results. Use `data(package="plm")` to view a list of available data sets in the package.

### Examples

    data("Produc", package = "plm")
    zz <- plm(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp,
              data = Produc, index = c("state","year"))
    summary(zz)

    # replicates some results from Baltagi (2013), table 3.1
    data("Grunfeld", package = "plm")
    p <- plm(inv ~ value + capital,
             data = Grunfeld, model="pooling")

    wi <- plm(inv ~ value + capital,
              data = Grunfeld, model="within", effect = "twoways")

    swar <- plm(inv ~ value + capital,
                data = Grunfeld, model="random", effect = "twoways")

    amemiya <- plm(inv ~ value + capital,
                   data = Grunfeld, model = "random", random.method = "amemiya",
                   effect = "twoways")

    walhus <- plm(inv ~ value + capital,
                  data = Grunfeld, model = "random", random.method = "walhus",
                  effect = "twoways")

[Package plm version 1.6-5 Index]