lrdegeest/panelGMM: GMM-IV models for panel data
General Method of Moments (GMM) estimators for panel data with lagged and differenced instruments in R. The function panelGMM estimates one-step and two-step GMM-IV linear models for panel data. Panel-robust standard errors allowing for heteroskedasticity and correlation over time are calculated using the algorithm laid out in Chapter 22 of Cameron and Trivedi (2005).
Getting started
Browse package contents
Package details |
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| Author | Lawrence R. De Geest |
| Maintainer | Lawrence R. De Geest <lrdegeest@gmail.com> |
| License | MIT + file LICENSE |
| Version | 2.0 |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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