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.
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For attribution, please cite this work as
Pickup, et al., "The R Journal: 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 = {The R Journal: 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}
}