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

Authors

• Mark Pickup, Simon Fraser University
• Paul Gustafson, The University of British Columbia
• Davor Cubranic, The University of British Columbia
• Geoffrey Evans, University of Oxford

Date of this Version

6-2017

Document Type

Article

Citation

The R Journal (June 2017) 9(1); Editor: Roger Bivand

Comments

Copyright 2017, The R Foundation. Open access material. License: CC BY 4.0 International

Abstract

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 OLSestimator and the commonly used GMM estimator.