I have a very basic question regarding these two functions in R.
When I try to do panel data analysis using generalised moment method, I realised that both gmm and pgmm are functions for this method. What is the difference between them? Should I use pgmm one instead of gmm for panel data(I would like to do difference GMM estimation)?
Thank you in advance!
If you are doing panel analysis, you should use pgmm. It is part of the plm package for R, which is a comprehensive package for panel data econometrics.
I assume the gmm function you refer to is from the package of the same name. It is developed for cross-section GMM estimation, not panel data.