Dear Tanveer and Johannes, it *is* indeed possible to estimate dynamic panels by GMM with plm. As Johannes observes, ?pgmm is a good start. Please see also the package vignette or its close cousin, this paper on JSS http://www.jstatsoft.org/v27/i02, section 5.4.
Johannes, if you had problems (assuming it was the software's fault, of course) it would be nice to get a bug report, possibly with a reproducible example, so we can try and sort them out. Best, Giovanni ### Original message: ### Message: 1 Date: Sat, 14 Feb 2009 03:41:34 -0800 (PST) From: Johannes Habel <johannes.ha...@gmx.de> Subject: Re: [R] Dynamic Panel Analysis in R To: r-help@r-project.org Message-ID: <22011830.p...@talk.nabble.com> Content-Type: text/plain; charset=us-ascii Hi Tanveer, the PLM package includes the possibility to estimate instrumental variable models. It also includes a function PGMM to estimate GMM models. Try ?pgmm... By the way, if you manage to make this function work, I'd be glad for a quick note. I've been ecountering massive problems with this function... Best, Johannes C.T.Shehzad wrote: > > Hi! > > I am quite a new user of R. I wanted to ask if there was some package > for dynamic panel analysis (with Arneallo-Bond Method) like stata. PLM > is for panel analysis but not for dynamic. > > Best regards, > > Tanveer > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > > Giovanni Millo Research Dept., Assicurazioni Generali SpA Via Machiavelli 4, 34132 Trieste (Italy) tel. +39 040 671184 fax +39 040 671160 Ai sensi del D.Lgs. 196/2003 si precisa che le informazi...{{dropped:13}} ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
