Hi everyone,

I´m starting with GMM estimator for panel data in R. 

In fact I’m  starting with IV and GMM estimation with panel data, my
research area is  accounting and finance, so I’ve been reading many
«econometric» books  but I have some difficulties in applying GMM
estimation. 

I’ve also read the article «Panel data econometrics in R: the plm package»
(Croissant & Millo) and my question is:

 

Does the pggm() function performs the estimation based in Arellano and Bond
(1991)? If yes, is there any way to perform the estimation based in Blundell
and Bond (1998) (that seems to be a better estimator)?

 

Any other document about this subject is welcome.

 

Thank you,

 

Cecília Carmo (Universidade de Aveiro)

 


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