https://github.com/jacob-long/dpm
R package for fitting dynamic panel models with maximum likelihood
https://github.com/jacob-long/dpm
r r-package social-science statistics
Last synced: 8 months ago
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R package for fitting dynamic panel models with maximum likelihood
- Host: GitHub
- URL: https://github.com/jacob-long/dpm
- Owner: jacob-long
- License: other
- Created: 2017-09-30T16:16:24.000Z (over 8 years ago)
- Default Branch: master
- Last Pushed: 2024-01-22T20:25:38.000Z (over 2 years ago)
- Last Synced: 2025-10-22T03:46:00.742Z (8 months ago)
- Topics: r, r-package, social-science, statistics
- Language: R
- Homepage: https://dpm.jacob-long.com
- Size: 312 KB
- Stars: 16
- Watchers: 2
- Forks: 9
- Open Issues: 5
-
Metadata Files:
- Readme: README.Rmd
- Changelog: NEWS.md
- License: LICENSE
Awesome Lists containing this project
README
---
output: github_document
---
# dpm
[](https://cran.r-project.org/package=dpm) [](https://github.com/jacob-long/dpm) [](https://cran.r-project.org/package=dpm)
[](https://github.com/jacob-long/interactions/actions) [](https://app.codecov.io/gh/jacob-long/dpm)
[](https://www.repostatus.org/#active) [](https://opensource.org/license/mit/)
```{r, echo = FALSE}
knitr::opts_chunk$set(
collapse = F,
comment = "",
fig.path = "README-"
)
```
This R package implements the dynamic panel data modeling framework
described by Allison, Williams, and Moral-Benito (2017). This approach allows
fitting models with fixed effects that do not assume strict exogeneity of
predictors. That means you can simultaneously get the robustness to confounding
offered by fixed effects models and account for reciprocal causation between the
predictors and the outcome variable. The estimating approach from Allison et al.
provides better finite sample performance in terms of both bias and efficiency
than other popular methods (e.g., the Arellano-Bond estimator).
These models are fit using structural equation models, using maximum
likelihood estimation and offering the missing data handling and flexibility
afforded by SEM. This package will reshape your data, specify the model
properly, and fit it with `lavaan`.
If a result doesn't seem right, it would be a good idea to cross-reference it
with `xtdpdml` for Stata. Go to
[https://www3.nd.edu/~rwilliam/dynamic/](https://www3.nd.edu/~rwilliam/dynamic/)
to learn about `xtdpdml` and the underlying method. You may also be interested
in the article by Paul Allison, Richard Williams, and Enrique Moral-Benito in
**Socius**, accessible
[here](http://journals.sagepub.com/doi/full/10.1177/2378023117710578).
# Installation
`dpm` is now on CRAN and can be installed like other R packages.
```{r eval = F}
install.packages("dpm")
```
# Usage
This package assumes your data are in *long* format, with each row representing
a single observation of a single participant. Contrast this with *wide* format
in which each row contains all observations of a single participant.
For help on converting data from wide to long format, check out
[the tutorial](https://panelr.jacob-long.com/articles/reshape.html)
that accompanies the `panelr` package.
First we load the package and the `WageData` from `panelr`.
```{r message = F}
library(dpm)
data("WageData", package = "panelr")
```
This next line of code converts the data to class `panel_data`, which is a
class specific to the [`panelr`](https://github.com/jacob-long/panelr) that
helps to simplify the treatment of the long-form
panel data. You don't have to do this, but it saves you from providing
`id` and `wave` arguments to the model fitting function each time you use it.
```{r}
wages <- panel_data(WageData, id = id, wave = t)
```
## Basic formula syntax
The formula syntax used in this package is meant to be as similar to a typical
regression model as possible.
The most basic model can be specified like any other: `y ~ x`, where `y` is
the dependent variable and `x` is a time-varying predictor. If you would like
to include time-invariant predictors, you will make the formula consist of two
parts, separated with a bar (`|`) like so: `y ~ x | z` where z is a time
invariant predictor, like ethnicity.
One of the innovations of the method, however, is the notion of pre-determined,
or sequentially exogenous, predictors. To specify a model with a pre-determined
variable, put the variable within a `pre` function, `y ~ pre(x1) + x2 | z`.
This tells the function that `x1` is pre-determined while `x2` is strictly
exogenous by assumption. You could have multiple pre-determined predictors as
well (e.g., `y ~ pre(x1) + pre(x2) | z`).
You may also fit models with lagged predictors. Simply apply the lag function
to the lagged predictors in the formula: `y ~ pre(lag(x1)) + lag(x2) | z`.
To specify more than 1 lag, just provide it as an argument. For instance,
`y ~ pre(lag(x1, 2)) + lag(x2) | z` will use 2 lags of the `x1` variable.
## *Socius* article example
This will replicate the analysis of the wages data in the *Socius* article that
describes these models.
Note that to get matching standard errors, set `information = "observed"` to
override `lavaan`'s default, `information = "expected"`.
```{r}
fit <- dpm(wks ~ pre(lag(union)) + lag(lwage) | ed, data = wages,
error.inv = TRUE, information = "observed")
summary(fit)
```
Any arguments supplied other than those that are documented within the
`dpm` function are passed on to `sem` from the `lavaan` package.
## Model specification options
The following arguments allow you to make changes to the default model
specification:
* `y.lag`: By default the lag 1 value of the DV is included as a predictor
(this is why they are dynamic models). You may choose a different value or
multiple values instead, including 0 (no lagged DV at all).
* `fixed.effects`: By default, the model is specified as a fixed effects model.
If you set this to FALSE, you get a random effects specification instead.
* `error.inv`: This constrains error variances to be equal in each wave. It
is FALSE by default.
* `const.inv`: This constrains the constants to be equal in each wave.
It is FALSE by default, but if TRUE it eliminates cross-sectional dependence.
* `y.free`: This allows the regression coefficient of the lagged DV to vary
across time. It is FALSE by default and you can either set it to TRUE or
to the specific lag number(s).
* `x.free`: This allows the regression coefficients for the predictors to
vary across time. It is FALSE by default and you can either set it to TRUE
to set all predictors' coefficients free over time or else pass a vector
of strings of the predictors whose coefficients should be set free over time.
* `alpha.free`: If TRUE, relaxes the constraint that the fixed effects are
equal across time. Default is FALSE to be consistent with how fixed effects
models normally work.
* `partial.pre`: If TRUE (FALSE by default), predetermined lagged predictors
will also be allowed to correlate with the contemporaneous error term as
[suggested by Paul Allison](https://statisticalhorizons.com/getting-the-lags-right-a-new-solution/)
for scenarios when it's not clear whether you have chosen the right lag structure.
## Summary options
You have most of the options available to you via `lavaan`'s summary method.
You can choose to omit any of: the *z* statistics (`zstat = FALSE`),
the standard errors (`se = FALSE`), or the p values (`pvalue = FALSE`). You
may also add confidence intervals (`ci = TRUE`) at any specified level
(`ci.level = .95`). If you used bootstrapping for uncertainty intervals,
you can also specify the method (`boot.ci.type = "perc"`).
The number of digits to print can be set via `digits` or with the option
`dpm-digits`. You may also standardize coefficients via `lavaan`'s method
using `standardize = TRUE`.
## Other features
### Lavaan syntax only
If you just want the `lavaan` model specification and don't want this package
to fit the model for you, you can set `print.only = TRUE`. To reduce the
amount of output, I'm condensing `wages` to 4 waves here.
```{r}
dpm(wks ~ pre(lag(union)) + lag(lwage) | ed, data = wages[wages$t < 5,],
print.only = TRUE)
```
### Extract components
Alternately, you can extract the `lavaan` model syntax and wide-formatted
data from the fitted model object to do your own fitting and tweaking.
```{r eval = FALSE}
get_wide_data(fit)
get_syntax(fit)
```
The model is a special type of `lavaan` object. This means most methods
implemented for `lavaan` objects will work on these. You can also convert
the fitted model into a typical `lavaan` object:
```{r eval = FALSE}
as(fit, "lavaan")
```
### Get full `lavaan` summary
While you could convert the model to `lavaan` model and apply any of
`lavaan`'s functions to it (and you should!), as a convenience you can use
`lav_summary()` to get `lavaan`'s summary of the model.
### Missing data
Take advantage of `lavaan`'s missing data handling by using the
`missing = "fiml"` argument as well as any other arguments accepted by
`lavaan::sem()`.
# Feature comparison and roadmap
* CFI/TLI fit measures are much different than Stata's and consistently
more optimistic. For now, they are not printed with the summary because they
are probably misleading.
* ~~You cannot use multiple lags of the same predictor (e.g.,
`y ~ x + lag(x)`).~~ (Fixed in `1.0.0`)
* The function does not yet support input data that is already in wide format.
(Not planning to fix)
* ~~You cannot apply arbitrary functions to variables in the formula like you
can with regression models. For instance, a specification like `y ~ scale(x)`
will cause an error.~~ (Works as of `1.1.0`)
Feature parity with `xtdpdml` (Stata) is a goal. Here's how we are doing
in terms of matching relevant `xtdpdml` options:
- [x] `alphafree` (as `alpha.free`)
- [x] `xfree` (as `x.free`)
- [x] `xfree(varlist)` (as `x.free`)
- [x] `yfree` (added as `y.free` argument in `1.0.0`)
- [ ] `yfree(numlist)`
- [x] `re` (added via `fixed.effects` argument in `1.0.0`)
- [x] `errorinv` (as `error.inv`)
- [x] `nocsd`/`constinv` (as `const.inv`)
- [x] `ylag(numlist)` (added as `y.lag` argument in `1.0.0`; option to
specify as 0 — no lagged DV — added in `1.1.0`)
- [ ] `std` (but `standardize` argument of `summary` may suffice)
- [x] `dryrun` (as `print.only`)
Many and perhaps more SEM fitting options are implemented by virtue of
accepting any `lavaan::sem()` argument.
## Roadmap
- [ ] Get proper CFI/TLI statistics --- this is a `lavaan` problem.
- [x] Allow full use of formula syntax, e.g. `y ~ scale(x)` (fixed in `1.1.0`)
- [x] Add `broom` methods (`tidy`, `glance`) (added `tidy` in `1.1.0`)
- [ ] Create a `predict` method and perhaps some ability to plot predictions
- [x] Add `x.free` option to allow the coefficients of all predictors to
vary across periods. This will make the `summary` output a pain, so it will
take some time to implement. (added in `1.1.1`)
# References
Allison, P. (2022, October 24). Getting the lags right – a new solution.
*Statistical Horizons*.
https://statisticalhorizons.com/getting-the-lags-right-a-new-solution/
Allison, P. D., Williams, R., & Moral-Benito, E. (2017). Maximum likelihood for
cross-lagged panel models with fixed effects. *Socius*, *3*, 1–17.
https://doi.org/10.1177/2378023117710578
Leszczensky, L., & Wolbring, T. (2022). How to deal with reverse causality using
panel data? Recommendations for researchers based on a simulation study.
*Sociological Methods & Research*, *51*(2), 837–865.
https://doi.org/10.1177/0049124119882473
Moral-Benito, E., Allison, P., & Williams, R. (2019). Dynamic panel data
modelling using maximum likelihood: An alternative to Arellano-Bond.
*Applied Economics*, *51*, 2221–2232.
https://doi.org/10.1080/00036846.2018.1540854
Williams, R., Allison, P. D., & Moral-Benito, E. (2018). Linear dynamic
panel-data estimation using maximum likelihood and structural equation modeling.
*The Stata Journal*, *18*, 293–326. https://doi.org/10.1177/1536867X1801800201