[R] GMM with panel data

[Cecilia Carmo]

Hi everyone,

 

I´m starting with GMM estimator for panel data in R. In fact I’m starting
with 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)?

 

Thank you,

Cecília Carmo (Universidade de Aveiro)

 

 


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