Changes since version 0-1.2 * Models with only one explanatory variable resulted in a bug. This has been fixed. * Estimation methods are now available with four functions : plm, pvcm, pggls and pgmm instead of one (plm) in the previous version. * pvcm is a new function which estimate variable coefficients models. The "nopool" model is now part of it. * pggls is a new function which enables the estimation of general FGLS. * pgmm is a new function for general method of moments estimator. * for all estimation functions, the first four arguments are now formula, data, effect, model * robust inference is now provided by the pvcovHC function. Changes since version 0-2.1 * pdata.frame is much faster thanks to a modification of the pvar function * series with only NA values or with constants values are now removed by pdata.frame * observations are ordered by id and time by pdata.frame * a pfix function is added to edit a pdata.frame * a as.data.frame function is provided to coerce a pdata.frame to a data.frame * the dependency to the Matrix package has been removed and pgmm is much faster now * phtest has been fixed to return only positive values of the statistic * pgmm objects now inherits from panelmodel like other estimators and prints correctly * a bug in summary.pgmm has been fixed Changes since version 0-2.2 * the coefficients method for objects of class pgmm is now exported. * a bug in the plm method of plmtest has been fixed * in plmtest, the argument effect "id" is renamed "individual" * three testing functions are added : pbsytest (Bera, Sosa-Escudero and Yoon test), pARtest (Breusch-Godfrey Test) and pDWtest (Durbin-Watson test), pwartest, pBGtest, pwtest pbltest * plm, pvcm and pggls now have arguments "subset" and "na.action" * phtest, pFtest, plmtest now have a formula method * a bug is fixed for the vcov of the within model * the pdata.frame function and class is suppressed. The package now use ordinary data.frames. Changes since version 0-3.1 * in plm.formula, [int.row.names] is replaced by [as.character(int.row.names)] * the degree of freedom for a within time effect model was wrong and has been corrected. * the arguments type and weights in pvcovHC.panelmodel are renamed method and type respectively. The default method (type in previous versions) is arellano and not white1 * honda is now the default option for plmtest Changes since version 0-3.2 * a lot of typos of the man pages have been fixed * functions pcdtest, pcdres have been added. * for hausman taylor model, the summary now prints the variables and not the effects * the estimation of a model with only one explanatory variable using plm with method = "fd" is now working correctly Changes since version 1-0.0 * lag and diff methods for pseries are now exported and therefore behave correctly * for two-ways within models with instrumental variables, K is replaced by K+1 for the computation of the overall mean matrix of the instruments. Time fixef are now computed. The error message "impossible ..." is removed * a bug in the time random effect model is corrected * a model.matrix method for panelmodel is provided * models without intercept (-1 in the formula) should now be consistently estimated with plm, pggls and pvcm. * plm depends now on the Formula package which provides useful tools for formula with two parts Changes since version 1-0.1 * the plm function has been completely rewriten, * the names of some arguments have changed (random.methods -> ercomp, inst.method -> ivar), the old names are accepted with a warning, * the instuments argument is removed, instrumental variable estimation is performed using extended formula. The instruments argument is still accepted with a warning, * the model argument of plm objects are now ordinary data.frame, and not data.frame with elements y and X. Moreover, this data.frame contains untransformed data * the data sets which are relevant for panel data estimation that where previously in the Ecdat package are now in the plm package * in pvcm a bug when the estimation was made on a subset is fixed * ercomp is a stand alone function which returns the estimation of the components of the variance of the errors, * the estimation of two-ways within model is now implemented for unbalanced panels, * the fixef method is much improved, the fixed effects may be computed in levels, in deviation from the first level or in deviation from the overall mean * in pbsytest, the arguments test are now in lowercases, * the pvcovHC function is replaced by suitable vcovHC methods for panelmodel and pgmm models Changes since version 1-1.0 * in fixef, the effect argument default is now NULL: fixef(model_with_time_effect) now works correctly * in pFtest, the error message "the arguments should be a within and a pooling model" is removed so that two within models may be provided * for backward compatibility reasons, the pvcovHC is reintroduced. * for backward compatibility reasons, argument test of pbsytest may be indicated in upper case * we switched back to old names for two arguments of plm ercomp -> random.methods ivar -> inst.method -> ivar * amemiya method is not implemented for unbalanced panels: an error message is now returned. Changes since version 1-1.1 * part of the "details" section of the fixef.plm man page is removed * a fitted.value method is now available for plm objects. It returns the fitted values of the untransformed response * in pdiff, a drop=FALSE is added. This omission was responsible of a bug while estimating a model like plm(inv~value-1, data = Grunfeld, model = "fd") * the lev2var is changed so that it doesn't result in an error when the data.frame contains no factor: this was responsible for a bug in plm.ht Changes since version 1-1.2 * the inst directory was missing, it has been added again Changes since version 1-1.3 * a relevant error message is added when a within model is estimated with no time-varying variable * the formula method for dynformula objects is now exported * a misleading notation was corrected for plm.ht model * the definition of sigma2$id for unbalanced ht model is corrected, an harmonic mean of Ti being used * the definition of tss.default is simplified * the fitted.values element was missing for plm objects and has been added Change since version 1-1.4 * a args argument is added for plm objects, and the internal function relies now on it (and not on the call as previously) * more attention is paid when one of the estimated components of the variance is negative (warning or error messages result) * pdata.frame objects are re-introduced. They are used to compute model.frames. Extraction from pdata.frames results in 'pserie' objects which have an index attribute. * the print method of ercomp is now exported * the first argument of pgmm may now be a formula. A lag.form must be provided in this case * hausman-taylor estimation is now performed by the pht function. For backaward compatibility reasons, it is still possible to estimate this model with plm Changes since version 1.2-0 * the as.matrix and print methods for pserie objects are now exported * in summary.plm, the p-value is now computed using a Student distribution and not a normal one * the lag.pserie method is modified so that it deals correctly with factors, and not only with numeric vectors. The diff.pserie method returns an error if its argument is not numeric * the instruments-"backward compatibility" stuff in plm is simplified thanks to the new features of Formula * 'pserie' is renamed 'pseries' * a THANKS file is added * the `[.pdata.frame` function is modified so that [, j] returns a pseries and not a pdata.frame when j is a single integer, and a backward compatibility feature is added for the "index" attribute Changes since version 1.2-1 * a new purtest function to perform unit root tests * [[.pdata.frame is modified so that NULL (and not an error message) is returned if an unknown column is selected Changes since version 1.2-2 * the documentation has been improved * the pvalue for purtest(..., type = "madwu") was in error (by a factor of 2) * in formula(dynformula), a bug is fixed so that the endog variable doesn't appear on the rhs if there is no lags * in pgmm, the extract.data has been rewriten and is *much* faster * two new functions vcovBK and vcovSCC have been added * a 'model' argument is added to pgmm.sys and pgmm.diff (previously, the model name was extracted from the call) * Kt is fixed to 0 in pgmm when effect="individual" Changes since version 1.2-3 * lag.pseries now returns relevant names for the returned factor * pFormula is modified so that it can handle correctly Formula object, and not only formula * pgmm has been completely rewriten with a new 'Formula' interface. Old formula and dynformula interfaces are kept for backward compatibility but won't be maintained in the future * subset, na.action are added to the list of arguments of pgmm and oldpgmm * lag.pseries is now able to deal with vector arguments for lags, e.g. lag(x, c(1,3)) * suml(x) is replaced by Reduce("+", x) Changes since version 1.2-4 * bug corrected in pgmm : ud <- cbind(ud, td.gmm.level) is relevant only for twoways models * in fitted.plm, the extraction of the index is updated * the residuals.plm method now has a model argument * a new function r.squared * pmodel.response.plm is modified : no explicit effect and model arguments anymore (like in model.matrix.plm) Changes since version 1.2-5 * fixed error in pggls, model="within" (FEGLS). Added model="fd" (FDGLS). * changed dependency from kinship to bdsmatrix (as suggested by Terry Therneau after his reorganization of the packages). * fixed DESCRIPTION and NAMESPACE accordingly. * fixed the example in pggls.Rd Changes since version 1.2-6 * a bug in mtest for pgmm models with effect=individual and transformation=ld *and* for the wald test for time.dummies for model with effect = twoways and transformation=ld is fixed by modifying namest in gmm * there was a bug in pgmm for models with different lags for gmm instruments. The number of time-series lost is now the min (and not the max) of the first lags for gmm instruments * some parts of summmary.pgmm only worked correctly for model with time-dummies. It now deals correctly for model with 'individual' effects * the rda files are now compressed Changes since version 1.2-7 * a typo is corrected in the man page of plm.data * AER is now suggested