Stephen:

I am trying to use the plm package for panel econometrics. I am just
trying to get started and load my data.

Look at the Journal of Statistical Software paper that introduces the "plm" package:
  http://www.jstatsoft.org/v27/i02/

It seems from most of the
sample documentation that I need to use the pdata.frame function to
get my data loaded. However, even after installing the "plm" package,
my R installation cannot find the function.

pdata.frame() was removed from the package. plm.data() took over some of its purposes. See the paper mentioned above for more details.

I am trying to follow the
example in plmEN.pdf ( cran.mirroring.de/doc/vignettes/plm/plmEN.pdf )

That version is two years old, plm changed (and improved) a lot since them. You shouldn't use that mirror in general (unless you want to use tools from 2007...).

Yves & Giovanni: The latest version of plm has lost its "inst" directory. Hence, there is no vignette and no pointer to the JSS paper via the CITATION. It seems that the inst directory wasn't moved to R-Forge...

hth,
Z

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