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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