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pdynmc - An R-package for estimating linear dynamic panel data models based on linear and nonlinear moment conditions

Author

Listed:
  • Markus Fritsch
  • Andrew Adrian Pua
  • Joachim Schnurbus

Abstract

pdynmc is an R-package for IV- and GMM-estimation of linear dynamic panel data models that are based on linear and nonlinear moment conditions as proposed by Anderson and Hsiao (1982), Holtz-Eakin, Newey, and Rosen (1988), Arellano and Bover (1995), and Ahn and Schmidt (1995). This paper describes the functionality of the package and the options regarding instrument type, covariate type, estimation methodology, general configuration, specification testing and inference from the perspective of an applied statistician. The illustrations are based on a publicly available panel data set. Additionally, we link our implementation to other software and packages for GMM-estimation of linear dynamic panel data models.

Suggested Citation

  • Markus Fritsch & Andrew Adrian Pua & Joachim Schnurbus, 2019. "pdynmc - An R-package for estimating linear dynamic panel data models based on linear and nonlinear moment conditions," Working Papers 2019-07-09, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    • Handle: RePEc:wyi:wpaper:002488
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    Cited by:

    1. Lee, Boon L. & Wilson, Clevo & Simshauser, Paul & Majiwa, Eucabeth, 2021. "Deregulation, efficiency and policy determination: An analysis of Australia's electricity distribution sector," Energy Economics, Elsevier, vol. 98(C).
    2. Pua, Andrew Adrian Yu & Fritsch, Markus & Schnurbus, Joachim, 2019. "Large sample properties of an IV estimator based on the Ahn and Schmidt moment conditions," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe B-37-19, University of Passau, Faculty of Business and Economics.
    3. Pua, Andrew Adrian Yu & Fritsch, Markus & Schnurbus, Joachim, 2019. "Practical aspects of using quadratic moment conditions in linear dynamic panel data models," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe B-38-19, University of Passau, Faculty of Business and Economics.
    4. Fritsch, Markus, 2019. "On GMM estimation of linear dynamic panel data models," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe B-36-19, University of Passau, Faculty of Business and Economics.

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