[R] How to set up a dynamic panel data model with pgmm from plm pacakge?

[Striessnig, Erich]

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Hi,



I am trying to set up a dynamic panel data model using the pgmm function from the plm package. The formula that I want to estimate is something like this:



[y(t) - y(t-1)] ~ [x(t) - x(t-1)] + [x(t-1) - y(t-1)]



where the lagged value of the dependent variable should be instrumented by its 4th and 5th lag.

Can anyone please tell me which one of the five formulas in the R-code below does that?





###########################

library(plm)



value.x <- rnorm(336)

value.y <- rnorm(336)

diff.xy <- value.x - value.y

my.data <- data.frame(expand.grid(ids=1:28,times=1:12),value.x,value.y,diff.xy)



form1 <- diff(value.y) ~ diff(value.x) + lag(I(value.x-value.y),1) | lag(value.y,4:5)

form2 <- diff(value.y) ~ diff(value.x) + lag(I(value.x-value.y),4:5) | lag(value.y,4:5)

form3 <- diff(value.y) ~ diff(value.x) + diff.xy | lag(diff.xy,4:5)

form4 <- diff(value.y) ~ diff(value.x) + lag(diff.xy,1) | lag(diff.xy,4:5)

form5 <- diff(value.y) ~ diff(value.x) + lag(diff.xy,1) | lag(I(value.x-value.y),4:5)



mod1 <- pgmm(formula=form1,data=my.data,index=c('ids','times'),

             effect="individual", model="twosteps")

summary(mod1)

###########################



Kind regards,

Erich







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R Version:

platform = x86_64-w64-mingw32

arch = x86_64

os = mingw32

system = x86_64, mingw32

status =

 major = 3

minor = 2.5

year = 2016

month = 04

day = 14

svn rev = 70478

language = R

version.string = R version 3.2.5 (2016-04-14)

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