This R package is very much work in progress and might not work as expected. Some portions of the code come from the pgmm() function in package plm.
lfm() estimates the first-order linear feedback model in Blundell, Griffith and Windmeijer (2002) via Generalized Method of Moments.
if (!require(devtools)) install.packages("devtools")
devtools::install_github("walshc/linearFeedbackModel")Usage is very similar to the pgmm() function in package plm:
lfm(y ~ lag(y, k = 1) + x | lag(y, k = 2:4) + lag(x, k = 1:4),
data = data, effect = "individual", model = "onestep")Type help(lfm) for more details.
- Blundell, Richard & Griffith, Rachel & Windmeijer, Frank, 2002. "Individual effects and dynamics in count data models", Journal of Econometrics, Elsevier, vol. 108(1), pages 113-131, May.