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Dear all R users, I have a small doubt about panel data analysis. My basic understanding on Panel data is a type of data that is collected over time and subjects. Vector Autoregressive Model (VAR) model used on this type of data. Therefore can I say that, one of statistical tools used for analysis of panel data is VAR model? If you clarify my doubt I will be very grateful. Thanks and regards,

...hat square panel (N = 20, T = 9-27, Obs = 338) using the pgmm function in the plm package: Error in function (..., deparse.level = 1) : number of rows of matrices must match (see arg 2) So far, I am not wedded to a particular GMM model but what I have used thus far is similar to the Anderson - Hsaio estimator such that Y(t) = Y(t-2) + X(t-1) + u(i) + e(it) where Y(t-2) is the dependent variable lagged twice; X(t-1) is a series of lagged (more or less) exogenous regressors; u(i) is the individual (country) error component; and e(it) is the idiosyncratic error. The within estimator in plm wor...