Dynamic Panel Models with Orthogonal Reparameterization of Fixed Effects

Implements the orthogonal reparameterization approach recommended by Lancaster (2002) to estimate dynamic panel models with fixed effects (and optionally: panel specific intercepts). The approach uses a likelihood-based estimator and produces estimates that are asymptotically unbiased as N goes to infinity, with a T as low as 2.


OrthoPanels 1.1.1

New features

OrthoPanels can now handle cases that enter the panel late (refreshment), not just drop outs. Late entrants can either have NAs for time entries prior to their joining, or not be present in the data at early times (possible only when using the formula interface).

Add a dataset of the dynamics of labour demand in the United Kingdom, based on Arellano and Bond (1991)

Bug fixes and minor improvements

  • missing data only in the first wave of X doesn't affect the result.

  • handle case and time variables that aren't 1:N and 1:T

Reference manual

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1.1-3 by Mark Pickup, a year ago

Browse source code at https://github.com/cran/OrthoPanels

Authors: Davor Cubranic [aut] , Mark Pickup [aut, cre] , Paul Gustafson [aut] , Geoffrey Evans [aut] , Jonoska Stojkova Biljana [ctb]

Documentation:   PDF Manual  

Task views: Econometrics

GPL (>= 3) license

Imports MASS

Suggests testthat, knitr

See at CRAN