Moment Condition Based Estimation of Linear Dynamic Panel Data Models

Linear dynamic panel data modeling based on linear and nonlinear moment conditions as proposed by Holtz-Eakin, Newey, and Rosen (1988) , Ahn and Schmidt (1995) , and Arellano and Bover (1995) . Estimation of the model parameters relies on the Generalized Method of Moments (GMM), numerical optimization (when nonlinear moment conditions are employed) and the computation of closed form solutions (when estimation is based on linear moment conditions). One-step, two-step and iterated estimation is available. of closed form solutions. For inference and specification testing, Windmeijer (2005) and doubly corrected standard errors (Hwang, Kang, Lee, 2021 ) are available. Additionally, serial correlation tests, tests for overidentification, and Wald tests are provided. Functions for visualizing panel data structures and modeling results obtained from GMM estimation are also available. The plot methods include functions to plot unbalanced panel structure, coefficient ranges and coefficient paths across GMM iterations (the latter is implemented according to the plot shown in Hansen and Lee, 2021 ).


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0.9.6 by Markus Fritsch, 3 months ago

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Authors: Markus Fritsch [aut, cre] , Joachim Schnurbus [aut] , Andrew Adrian Yu Pua [aut]

Documentation:   PDF Manual  

Task views: Econometrics

GPL (>= 2) license

Imports data.table, MASS, Matrix, optimx, qlcMatrix, stats, Rdpack

Suggests pder, plm, testthat, R.rsp

See at CRAN