Analysis of Panel Data Using R

The past decades have seen a fast increase in the availability and the use of panel data and a rapid development of methods for their analysis. This chapter gives practical guidelines for the analysis of panel data with the statistical software R. We start by suggesting procedures for exploring and re-arranging panel data sets and for preparing them for further analyses. A large part of this chapter demonstrates the application of various “traditional” panel data estimators that are used frequently in scientific and applied analyses. Furthermore, we explain the estimation of several “modern” panel data models, such as panel time series models and dynamic panel data models. Finally, this chapter shows how to use statistical tests to test critical hypotheses under different assumptions and how the results of these tests can be used to select the panel data estimator that is most suitable for a specific empirical panel data analysis.