\n<<
Hi,
I am trying to set up a dynamic panel data model using the pgmm function from
the plm package. The formula that I want to estimate is something like this:
[y(t) - y(t-1)] ~ [x(t) - x(t-1)] + [x(t-1) - y(t-1)]
where the lagged value of the dependent variable should be instrumented by its
4th and 5th lag.
Can anyone please tell me which one of the five formulas in the R-code below
does that?
###########################
library(plm)
value.x <- rnorm(336)
value.y <- rnorm(336)
diff.xy <- value.x - value.y
my.data <- data.frame(expand.grid(ids=1:28,times=1:12),value.x,value.y,diff.xy)
form1 <- diff(value.y) ~ diff(value.x) + lag(I(value.x-value.y),1) |
lag(value.y,4:5)
form2 <- diff(value.y) ~ diff(value.x) + lag(I(value.x-value.y),4:5) |
lag(value.y,4:5)
form3 <- diff(value.y) ~ diff(value.x) + diff.xy | lag(diff.xy,4:5)
form4 <- diff(value.y) ~ diff(value.x) + lag(diff.xy,1) | lag(diff.xy,4:5)
form5 <- diff(value.y) ~ diff(value.x) + lag(diff.xy,1) |
lag(I(value.x-value.y),4:5)
mod1 <- pgmm(formula=form1,data=my.data,index=c('ids','times'),
effect="individual", model="twosteps")
summary(mod1)
###########################
Kind regards,
Erich
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R Version:
platform = x86_64-w64-mingw32
arch = x86_64
os = mingw32
system = x86_64, mingw32
status =
major = 3
minor = 2.5
year = 2016
month = 04
day = 14
svn rev = 70478
language = R
version.string = R version 3.2.5 (2016-04-14)
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