plm: Linear Models for Panel Data

A set of estimators for models and (robust) covariance matrices, and tests for panel data econometrics, including within/fixed effects, random effects, between, first-difference, nested random effects as well as instrumental-variable (IV) and Hausman-Taylor-style models, panel generalized method of moments (GMM) and general FGLS models, mean groups (MG), demeaned MG, and common correlated effects (CCEMG) and pooled (CCEP) estimators with common factors, variable coefficients and limited dependent variables models. Test functions include model specification, serial correlation, cross-sectional dependence, panel unit root and panel Granger (non-)causality. Typical references are general econometrics text books such as Baltagi (2021), Econometric Analysis of Panel Data, ISBN-13:978-3-030-53952-8, Hsiao (2014), Analysis of Panel Data <doi:10.1017/CBO9781139839327>, and Croissant and Millo (2018), Panel Data Econometrics with R, ISBN-13:978-1-118-94918-4.

Package details

AuthorYves Croissant [aut, cre], Giovanni Millo [aut], Kevin Tappe [aut], Ott Toomet [ctb], Christian Kleiber [ctb], Achim Zeileis [ctb], Arne Henningsen [ctb], Liviu Andronic [ctb], Nina Schoenfelder [ctb]
MaintainerYves Croissant <>
LicenseGPL (>= 2)
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Package repositoryView on CRAN
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plm documentation built on March 18, 2022, 6:15 p.m.