README.md

In walshc/linearFeedbackModel: Estimate the linear feedback model from Blundell, Griffith and Windmeijer (2002)

linearFeedbackModel

This R package is very much work in progress and might not work as expected. Some portions of the code come from the pgmm() function in package plm.

Description

lfm() estimates the first-order linear feedback model in Blundell, Griffith and Windmeijer (2002) via Generalized Method of Moments.

Installation

if (!require(devtools)) install.packages("devtools")
devtools::install_github("walshc/linearFeedbackModel")

Usage:

Usage is very similar to the pgmm() function in package plm:

lfm(y ~ lag(y, k = 1) + x | lag(y, k = 2:4) + lag(x, k = 1:4),
    data = data, effect = "individual", model = "onestep")

Type help(lfm) for more details.

References

• Blundell, Richard & Griffith, Rachel & Windmeijer, Frank, 2002. "Individual effects and dynamics in count data models", Journal of Econometrics, Elsevier, vol. 108(1), pages 113-131, May.

walshc/linearFeedbackModel documentation built on May 3, 2019, 11:51 p.m.