OrthoPanels: An R Package for Estimating a Dynamic Panel Model with Fixed Effects Using the Orthogonal Reparameterization Approach

This article describes the R package OrthoPanels, which includes the function opm(). This function implements the orthogonal reparameterization approach recommended by Lancaster (2002) to estimate dynamic panel models with fixed effects (and optionally: wave specific intercepts). This article provides a statistical description of the orthogonal reparameterization approach, a demonstration of the package using real-world data, and simulations comparing the estimator to the known-to-be-biased OLS estimator and the commonly used GMM estimator.

Mark Pickup , Paul Gustafson , Davor Cubranic , Geoffrey Evans
2017-05-10

CRAN packages used

OrthoPanels, plm

CRAN Task Views implied by cited packages

Econometrics, SpatioTemporal

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Citation

For attribution, please cite this work as

Pickup, et al., "OrthoPanels: An R Package for Estimating a Dynamic Panel Model with Fixed Effects Using the Orthogonal Reparameterization Approach", The R Journal, 2017

BibTeX citation

@article{RJ-2017-003,
  author = {Pickup, Mark and Gustafson, Paul and Cubranic, Davor and Evans, Geoffrey},
  title = {OrthoPanels: An R Package for Estimating a Dynamic Panel Model with Fixed Effects Using the Orthogonal Reparameterization Approach},
  journal = {The R Journal},
  year = {2017},
  note = {https://doi.org/10.32614/RJ-2017-003},
  doi = {10.32614/RJ-2017-003},
  volume = {9},
  issue = {1},
  issn = {2073-4859},
  pages = {60-76}
}