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 1.6-6 Index]