terça-feira, setembro 13, 2011

Leitura do dia - Panel Data Econometrics in R: The plm Package

Panel Data Econometrics in R: The plm Package

Yves Croissant
Universitte Lumiere Lyon 2

Giovanni Millo
University of Trieste and Generali SpA

This introduction to the plm package is a slightly modi ed version of Croissant and Millo (2008), published in the Journal of Statistical Software.
Panel data econometrics is obviously one of the main fi elds in the profession, but most of the models used are difficult to estimate with R. plm is a package for R which intends to make the estimation of linear panel models straightforward. plm provides functions to estimate a wide variety of models and to make (robust) inference.

Keywords:~panel data, covariance matrix estimators, generalized method of moments, R.

Uma dupla recomendação - A primeira é pelo excelente pacote de estimação de modelos de dados em painel no R, que implementa quase todas as metodologias de dados em painel utilizadas.
A segunda, e extremamente útil, é a discussão dos distintos significados de efeitos fixos e aleatórios em modelos de dados em painel (econometria) e modelos de efeito mixto (estatística), uma fonte de confusão bastante comum. Isso está na seção 7 do artigo (na verdade uma vignette do R):

7. plm versus nlme/lme4

The models termed panel by the econometricians have counterparts in the statistics literature
on mixed models (or hierarchical models, or models for longitudinal data), although there are both diff erences in jargon and more substantial distinctions. This language inconsistency
between the two communities, together with the more complicated general structure of statistical models for longitudinal data and the associated notation in the software, is likely to
scare some practicing econometricians away from some potentially useful features of the R
environment, so it may be useful to provide here a brief reconciliation between the typical
panel data speci cations used in econometrics and the general framework used in statistics
for mixed models

Um dos melhores pacotes do R, sem dúvida.