Estimate dynamic panel models with fixed effects via maximum likelihood estimation.

dpm(formula, data, error.inv = FALSE, const.inv = FALSE, alpha.free = FALSE, y.lag = 1, y.free = FALSE, x.free = FALSE, fixed.effects = TRUE, print.only = FALSE, id = NULL, wave = NULL, err.inv = NULL, ...)

formula | Model formula. See details for instructions on specifying parameters properly. |
---|---|

data | Data frame in "long" format. Prefers a "panel_data" object. |

error.inv | Constrain the error variance to be equal across waves. Default is FALSE. |

const.inv | Constrain the dependent variable's variance to be equal across waves. This removes cross-sectional dependence. Default is FALSE. |

alpha.free | Estimate each wave of the dependent variable's loading on the alpha latent variable. Default is FALSE, meaning each wave has a loading of 1. |

y.lag | Which lag(s) of the dependent variable to include in the regression. Default is 1, but any number of vector of numbers can be used. |

y.free | If TRUE, allows the regression coefficient(s) for the lagged dependent variable to vary over time. Default is FALSE. You may alternately provide a number or vector of numbers corresponding to which lags should vary freely. |

x.free | If TRUE, allows the regressions coefficient(s) for the predictor(s) to vary over time. Default is FALSE. If TRUE, the predictor regression coefficient(s) can vary over time. Alternately, you may provide a character vector of predictors to allow to vary if you only want a subset of predictors to vary. |

fixed.effects | Fit a fixed effects model? Default is TRUE. If FALSE, you get a random effects specification instead. |

print.only | Instead of estimating the model, print the lavaan model string to the console instead. |

id | Name of the data column that identifies which individual the
observation is. Not needed if |

wave | Name of the data column that identifies which wave the
observation is from. Not needed if |

err.inv | Deprecated, same purpose as |

... | Extra parameters to pass to |

An object of class `dpm`

which has its own `summary`

method.

The `dpm`

object is an extension of the `lavaan`

class and has all
the capabilities of `lavaan`

objects, with some extras.

It contains extra slots for:

`mod_string`

, the character object used to specify the model to lavaan. This is helpful if you want to fit the model yourself or wish to check that the specification is correct.`wide_data`

, the widened data frame necessary to fit the SEM.

The right-hand side of the formula has two parts, separated by a bar
(`|`

). The first part should include the time-varying predictors.
The second part, then, is for the time-invariant variables. If you put
a time-varying variable in the second part of the formula, by default
the first wave's value of that variable is treated as the constant.

You must include time-varying predictors. If you do not include a bar in the formula, all variables are treated as time-varying.

*Predetermined variables*:

To set a variable as predetermined, or weakly exogenous, surround the
variable with a `pre`

function. For instance, if you want the variable
`union`

to be predetermined, you could specify the formula like this:
`wks ~ pre(union) + lwage | ed`

, where `wks`

is the dependent
variable, `lwage`

is a strictly exogenous time-varying predictor,
and `ed`

is a strictly exogenous time-invariant predictor.

To lag a predictor, surround the variable with a `lag`

function in
the same way. Note that the lag function used is specific to this package,
so it does not work the same way as the built-in lag function.

Allison, P. D., Williams, R., & Moral-Benito, E. (2017). Maximum likelihood
for cross-lagged panel models with fixed effects. *Socius*, *3*, 1–17.
http://journals.sagepub.com/doi/10.1177/2378023117710578

# Load example data data("WageData", package = "panelr") # Convert data to panel_data format for ease of use wages <- panel_data(WageData, id = id, wave = t) # Replicates Allison, Williams, & Moral-Benito (2017) analysis fit <- dpm(wks ~ pre(lag(union)) + lag(lwage) | ed, data = wages, error.inv = TRUE, information = "observed") # Note: information = "observed" only needed to match Stata/SAS standard errors summary(fit)#> MODEL INFO: #> Dependent variable: wks #> Total observations: 595 #> Complete observations: 595 #> Time periods: 2 - 7 #> #> MODEL FIT: #> <U+0001D6D8>²(76) = 138.476 #> RMSEA = 0.037, 90% CI [0.027, 0.047] #> p(RMSEA < .05) = 0.986 #> SRMR = 0.025 #> #> | | Est. | S.E. | z val. | p | #> |:------------------|-------:|------:|-------:|------:| #> | union (t - 1) | -1.206 | 0.522 | -2.309 | 0.021 | #> | lwage (t - 1) | 0.588 | 0.488 | 1.204 | 0.229 | #> | ed | -0.107 | 0.056 | -1.893 | 0.058 | #> | wks (t - 1) | 0.188 | 0.020 | 9.586 | 0.000 | #> #> Model converged after 603 iterations