Hi All,

I am doing econometric modeling of panel data (fixed effects). We currently use Eviews to do this, but I have discovered a bug in Eviews 7 and am exploring the use of R to build panel data models / longitudinal data models. I looked at the plm package but do not see how I can incorporate AR terms in the model using the plm package. I have an Eviews model with two AR terms, AR(1) and AR(2), and I am trying to replicate that model using R (and SAS too, if possible) as the fitted values in Eviews for panel data (fixed effects) appear to be wrong. In Eviews I tried a second approach and explicitly coded the fixed effects as dummy variables but the standard errors I get are very different from using the panel data options in Eviews, and thus the final model selected could be very different based on these two approaches.

Can I incorporate AR terms in a panel data model using the plm package, and if so, how? Also, are there any other packages like nlme, lme4, .. that will let me build panel data models / longitudinal data models with AR terms? Do any of these packages let you build panel data models / longitudinal data models specifying both AR and MA terms? Looking at the ACF and PCAF it seems that some of the error processes are best/more compactly represented by a combination of AR and MA terms, but unfortunately Eviews only lets you use AR terms for panel data and getting rid of the cross-sections in the panel data and building ARIMA models, which let you specify both AR and MA terms for the error process, will mean building separate models for each cross-section. Besides, we do not have that much data to build time series models and panel data methods let us circumvent the limited data issue.

It is my understanding (but I could be wrong) that some of the SAS procs, like HPMIXED, let you specify only one AR term for panel data so I am hoping there is some R package that will let me replicate what I can do in Eviews, and possibly even go beyond what Eviews can do by specifying both AR and MA terms.

Thanks in advance for your time,

Jude Ryan
MarketShare Partners
1270 Avenue of the Americas, Suite # 2702
New York, NY 10020
http://www.marketsharepartners.com
Work: (646)-745-9916 ext: 222
Cell: (973)-943-2029


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