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 numerical optimization and the computation of closed form solutions. For inference and specification testing, Windmeijer (2005) corrected standard errors, serial correlation tests, tests for overidentification, and Wald tests are available.


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install.packages("pdynmc")

0.9.2 by Markus Fritsch, 5 days ago


https://github.com/markusfritsch/pdynmc


Report a bug at https://github.com/markusfritsch/pdynmc/issues


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


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


Documentation:   PDF Manual  


GPL (>= 2) license


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

Suggests plm, testthat, R.rsp


See at CRAN