Open nilshg opened 4 years ago
Dynamic panel models are not my expertise, but as the tools become available we could try patching something together. Any update on the ecosystem developments?
I haven't seen anything, but also haven't been following very closely. There's a new project coming up though which will probably require Arellano-Bond though, so I might be revisiting this soon.
I actually preserved our old discussion about this on Slack by keeping a draft message in the thread, maybe I'll move that over to Zulip when I get back to this and we can continue the discussion there (and maybe rope in others who are interested)?
Sure. I am also paying attention to https://github.com/JuliaArrays/ShiftedArrays.jl/pull/37 which might make it a bit easier to work with panel data as StatsModels supports time-aware operations.
As discussed on Slack, I think dynamic panel data models would be a great enhancement for this package.
Some things off the top of my head that this would require:
The first two points on this list probably also require thinking about whether they should live elsewhere, given they are more widely applicable than just dynamic panel data models.