Questions tagged [plm]

The plm package for R provides functions for linear models for panel data.

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How to get KP F-stat in IV regression in R?

I am running an IV regression with fixed effects and clustered standard errors similar to the one below and would like to compute the Kleibergen-Paap (rank) F-statistic for weak identification. Is ...
• 51
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Tobit estimation on panel data in combination with an IV approach in R?

I have panel data (country by year) and my dependent variable is left-censored (many countries have zero values, other countries have very large numbers). So, I think that I should implement a Tobit ...
• 345
22 views

How to implement an Anderson-Rubin test and calculate confidence intervals for an iv model set up with plm in r?

I have run an IV model using the plm-package in r. The underlying data is panel data. My instrument is "weak", i.e. the F-statistic lies below 10. How can I implement an Anderson-Rubin test ...
• 345
48 views

Indicator variables/treatment variables as an independent variable?

Can a dummy variable or treatment variable be an independent variable? My independent variable take the value 1 if a flood occurs in a specific country in a specific year and 0 if no flood happens. ...
22 views

Unable to get heteroskedasticity-robust standard errors for PLM "between" model

I am presently running a regression on a balanced panel dataset, where I observe +1000 individuals over a T=10 time period. Given that individual specific independent variables remain constant over ...
• 1
51 views

FD estimator: manual first differencing versus plm

I am working on a first-difference (FD) estimator for panel data (only two time periods). I calculated manually the first difference of each variable (dependent and two regressors) and then run an OLS ...
39 views

Interpretation of interaction term coefficient in fixed effects estimation

I have balanced panel data for 14 industries and 21 years. The data consists of several variables with annual observations. Based on theoretical reasoning and visual data inspection I assume that ...
• 3
1 vote
93 views

How to run fixed-effects model on survey data in R?

I have two periods of panel data and I am trying to see if coefficients change over time. I would like to control for individual-level heterogeneity, but not sure how to do it with a complex design ...
• 23
1 vote
39 views

Estimating treatment effect using panel data and absorbing binary treatment

I have a panel dataset of a large N and T = 24. I want to estimate the effect of a treatment (in this case, taking on a certain type of credit product) on Y which is an individuals credit score. I ...
• 11
35 views

Matched panel data regression in R: clustering on three dimensions (firm_id, year, matching value) with plm package

I'm new to working with panel data in general. While I work with R my coauthors work with Stata. So naturally, I'm running into problems that they can't relate to but I also can't fully explain them ...
164 views

Autocorrelation robust errors with plm and vcovHC

I have a panel dataset where I suspect a serial correlation. I found the vcovHC function in plm package which should solve both ...