I am currently trying to find a best model using R for Panel Data. I have a project on Corporate Governance in which I collected data of various companies from 2009-2014. I found the best fit using Backward Elimination and Forward Selection using T values in R which concur with themselves (I think its expected as well). But, after reading various articles in academic community I realize T values can give dubious results and to gain any sort of credibility for my results it will be best to use AIC or BIC criteria (even though its not a big improvement by the looks of things in terms of credibility but still its some improvement). As I understand, the definition of AIC is as follows:
AIC = -2log-likelihood+2p (for BIC it will be plogn)
For normal data with no time series, R has a pre-defined function stepAIC which selects variables according to AIC values till AIC value cannot decrease.
But for panel data I havent found any way to find AIC value. I have tried searching for this but in vain.