Linear Models for Panel Data
Simes Test for unit roots in panel data
Hausman--Taylor Estimator for Panel Data
panel series
Cross-sectionally Augmented IPS Test for Unit Roots in Panel Models
Cross--sectional correlation matrix
Functions to detect linear dependence
Estimation of the error components
Extract the Fixed Effects
Check for the presence of an intercept in a formula or in a fitted mod...
Extract the indexes of panel data
Check if data are balanced
Check if time periods are consecutive
Check if an object is a pseries
lag, lead, and diff for panel data
Create a Dummy Matrix
Make data balanced
Make data consecutive (and, optionally, also balanced)
model.frame and model.matrix for panel data
Extract Total Number of Observations Used in Estimated Panelmodel
Breusch--Godfrey Test for Panel Models
Baltagi and Li Serial Dependence Test For Random Effects Models
Modified BNF--Durbin--Watson Test and Baltagi--Wu's LBI Test for Panel...
Bera, Sosa-Escudero and Yoon Locally--Robust Lagrange Multiplier Tests...
Turn all columns of a pdata.frame into class pseries.
Common Correlated Effects estimators
Tests of cross-section dependence for panel models
pdata.frame: a data.frame for panel data
Check for the Dimensions of the Panel
Durbin--Watson Test for Panel Models
F Test for Individual and/or Time Effects
General FGLS Estimators
Generalized Method of Moments (GMM) Estimation for Panel Data
Panel Granger (Non-)Causality Test (Dumitrescu/Hurlin (2012))
Hausman Test for Panel Models
Chamberlain estimator and test for fixed effects
Panel estimators for limited dependent variables
Deprecated functions of plm
Measures for Unbalancedness of Panel Data
Unit root tests for panel data
plm package: linear models for panel data
Option to Switch On/Off Fast Data Transformations
Panel Data Estimators
Lagrange FF Multiplier Tests for Panel Models
Mean Groups (MG), Demeaned MG and CCE MG estimators
A function to extract the model.response
Test of Poolability
Model Prediction for plm Objects
Wooldridge Test for AR(1) Errors in FE Panel Models
Wooldridge first--difference--based test for AR(1) errors in levels or...
Wooldridge's Test for Unobserved Effects in Panel Models
R squared and adjusted R squared for panel models
Extract the Random Effects
Functions exported from other packages
Hansen--Sargan Test of Overidentifying Restrictions
Summary for plm objects
Beck and Katz Robust Covariance Matrix Estimators
Double-Clustering Robust Covariance Matrix Estimator
Generic Lego building block for Robust Covariance Matrix Estimators
Robust Covariance Matrix Estimators
Newey and West (1987) Robust Covariance Matrix Estimator
Driscoll and Kraay (1998) Robust Covariance Matrix Estimator
Overall Intercept for Within Models Along its Standard Error
Arellano--Bond Test of Serial Correlation
Check for Cross-Sectional and Time Variation
Variable Coefficients Models for Panel Data
Wald-style Chi-square Test and F Test
Angrist and Newey's version of Chamberlain test for fixed effects
A set of estimators for models and (robust) covariance matrices, and tests for panel data econometrics, including within/fixed effects, random effects, between, first-difference, nested random effects as well as instrumental-variable (IV) and Hausman-Taylor-style models, panel generalized method of moments (GMM) and general FGLS models, mean groups (MG), demeaned MG, and common correlated effects (CCEMG) and pooled (CCEP) estimators with common factors, variable coefficients and limited dependent variables models. Test functions include model specification, serial correlation, cross-sectional dependence, panel unit root and panel Granger (non-)causality. Typical references are general econometrics text books such as Baltagi (2021), Econometric Analysis of Panel Data (<doi:10.1007/978-3-030-53953-5>), Hsiao (2014), Analysis of Panel Data (<doi:10.1017/CBO9781139839327>), and Croissant and Millo (2018), Panel Data Econometrics with R (<doi:10.1002/9781119504641>).
Useful links