Robust inference in panel data microeconometrics, using R

Abstract

This chapter is written as a quick companion to the practicing microeconometrician who wants to use R in data analysis. It is concerned with relaxing the restrictive hypotheses of error homoskedasticity and performing robust inference in the context of panel data. The first part introduces the reader to the mechanics of panel data econometrics with R as a necessary step towards the second part, which expands upon the various robust estimators available in the plm package and how to employ them in a microeconometric context. A casual reader can refer to the first part of the chapter for the application of main methods using R. The second part is recommended for those interested in understanding of various options available and how they map to the underlying statistical theory.