DPML {DPTM}  R Documentation 
The dynamic panel linear model with fixed effects
Description
The dynamic panel linear model with fixed effects
Usage
DPML(
y,
y1 = NULL,
x = NULL,
w = NULL,
var_u = NULL,
tt,
nn,
time_trend = FALSE,
time_fix_effects = FALSE,
restart = FALSE,
x1 = NULL,
delty0 = NULL,
Only_b = FALSE,
display = TRUE
)
Arguments
y 
the dependent variable; vector type input. 
y1 
the lag dependent variable; vector type input; By default, y1 is NULL, and then y1 will be computed by y automatically. 
x 
the independent variable; matrix type input. 
w 
the variance ratio; By default, is NULL; It must be greater than 1. 
var_u 
the option of variance of error term; By default, is NULL; It must be greater than 0; When meet relevant ERROR, please change the var_u. 
tt 
the length of time period. 
nn 
the number of individuals. 
time_trend 
the time trend; By default, it is FALSE. 
time_fix_effects 
the time fixed effects; By default, it is FALSE. 
restart 
the option of iterations; By default, restart is FALSE, if encounters iteration failure, please set restart as TRUE. 
x1 
the initial values of independent variable; matrix type input. By default, x1 is NULL, and thus x1 will be computed by x automatically. 
delty0 
the option of delta_y; By default, delty0 is NULL; Please do not change delty0. 
Only_b 
the option of initial equation;By default, Only_b is FALSE, and if Only_b is TRUE, initial delta y will be a constant C. Please see Hsiao (2002) and RamírezRondán (2020) for more details. 
display 
the option of whether to print the messages of estimated results; By default, the display is TRUE. 
Value
A list containing the following components:
ssemin 
the negaive loglikelihood function value 
Coefs 
parameter estimates containing tvalues 
pars 
iterated results for all parameters 
duit 
the firstdifference form of residuals 
dy0 
the firstdifference form of dependent variable 
xx 
the independent variables and their initial values 
covariance_matrix 
the covariance matrix 
Ses 
the standard errors of coefs 
Zvalues 
the values of the statistic 
ccd 
the number of independent variables 
coefs 
parameter estimates containing their initial valuess 
Functions

DPML()
: This is a dynamic panel linear model with fixed effects, which allows time trend term or time fixed effects.
Author(s)
Hujie Bai
References
RamírezRondán, N. R. (2020). Maximum likelihood estimation of dynamic panel threshold models. Econometric Reviews, 39(3), 260276.
Hsiao, C., Pesaran, M. H., & Tahmiscioglu, A. K. (2002). Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods. Journal of econometrics, 109(1), 107150.
Examples
data("data", package = "DPTM")
y < data$data_test_linear$y
q < data$data_test_linear$q
x < as.matrix(data$data_test_linear$x)
z < as.matrix(data$data_test_linear$z)
tt < data$data_test_linear$tt
nn < data$data_test_linear$nn
xx < cbind(x,z)
m1 < DPML(y=y,x=xx,tt=tt,nn=nn)
m1$Coefs