`plm`

Package - Linear Models and Tests for Panel Data`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`

),

- model specification (
- 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`

).

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")
```

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.