R语言处理面板数据--plm包.pdfVIP

JSS Journal of Statistical Software July 2008, Volume 27, Issue 2. / Panel Data Econometrics in R: The plm Package Yves Croissant Giovanni Millo Universit´e Lumi`ere Lyon 2 University of Trieste and Generali SpA Abstract Panel data econometrics is obviously one of the main fields in the profession, but most of the models used are difficult to estimate with R. plm is a package for R which intends to make the estimation of linear panel models straightforward. plm provides functions to estimate a wide variety of models and to make (robust) inference. Keywords : panel data, covariance matrix estimators, generalized method of moments, R. 1. Introduction Panel data econometrics is a continuously developing field. The increasing availability of data observed on cross-sections of units (like households, firms, countries etc.) and over time has given rise to a number of estimation approaches exploiting this double dimensionality to cope with some of the typical problems associated with economic data, first of all that of unobserved heterogeneity. Timewise observation of data from different observational units has long been common in other fields of statistics (where they are often termed longitudinal data). In the panel data field as well as in others, the econometric approach is nevertheless peculiar with respect to experimental contexts, as it is emphasizing model specification and testing and tackling a number of issues arising from the particular statistical problems associated with economic data. Thus, while a very comprehensive software framework for (among many other feature