The plm Package - Linear Models and Tests for Panel Data

About

plm is a package for panel data econometrics for the R statistical computing environment. It was first published on CRAN in 2006.

It includes (non-exhaustive overview):

• a set of functions to estimate models:

  • plm: panel data estimators (within/fixed effects, random effects, between, first-difference, nested random effects), incl. instrumental-variable estimation techniques (IV) and Hausman-Taylor-style models,
  • pgmm: generalized method of moments (GMM) estimation for panel data,
  • pggls: estimation of general feasible generalized least squares models,
  • pmg: mean groups (MG), demeaned MG and common correlated effects (CCEMG) estimators,
  • pcce: estimators for common correlated effects mean groups (CCEMG) and pooled (CCEP) for panel data with common factors,
  • pvcm: variable coefficients models,
  • pldv: panel estimators for limited dependent variables.

• a set of testing functions:

  • model specification (phtest, pFtest, pooltest, plmtest, pwaldtest, piest, aneweytest, mtest, sargan),
  • serial correlation (pbgtest, pwfdtest, pbnftest, pdwtest, pwartest, pbsytest, pbltest),
  • cross-sectional dependence (pcdtest),
  • panel unit root (purtest, cipstest, phansi),
  • panel Granger (non-)causality (pgrangertest),

• a set of robust covariance matrix estimators (incl. various weighting schemes for small sample adjustment):

  • vcovHC: Arellano (1987), White (1980),
  • vcovBK: Beck and Katz (1995) (PCSE),
  • vcovNW: Newey and West (1987),
  • vcovDC: double-clustering robust (Thompson (2011), Cameron et al. (2011)),
  • vcovSCC: Driscoll and Kraay (1998).

• an enhanced data frame, called pdata.frame, to deal with data sets for which observations are identified by a combination of two indexes, and panel data transformation functions (e.g, Within, Between, lag, lead, diff).

Installation

To install the released version from CRAN:

install.packages("plm")

The package's CRAN website is https://cran.r-project.org/package=plm.

The development of package plm takes place on GitHub at https://github.com/ycroissant/plm. To install the development version from GitHub, use, e.g.:

# install.packages("remotes")
remotes::install_github("ycroissant/plm")

Documentation

Package plm comes with documentation: Besides the usual help pages for each function, the vignettes provide a gentle introduction to the package and some functions (vignettes are available at the package's CRAN website https://cran.r-project.org/package=plm).

New package users are advised to start with the first vignette Panel data econometrics in R: the plm package for an overview of the package. A more in-depth treatment of estimation of error component models and instrument variable models is in the second vignette Estimation of error component models with the plm function.

Further, many textbooks treat package plm and/or use it in their examples:

• Croissant/Millo, Panel Data Econometrics with R, 2019, John Wiley & Sons, Hoboken.

• Kleiber/Zeileis, Applied Econometrics with R, 2008, Springer, New York. Esp. chapter 3.6.

• Hanck/Arnold/Gerber/Schmelzer, Econometrics with R, online book https://www.econometrics-with-r.org/. Esp. chapter 10.

• Heiss, Using R for Introductory Econometrics, 2nd edition, 2020, Independent Publishing, Düsseldorf, also available online at http://www.urfie.net/. A companion book using R to Wooldridge, Introductory Econometrics, esp. chapters 13-14.