How can I write the code of the following formula?
y i,t = (1−θ) y i,t−1 + θαi + θβx i,t + θγz t + ε i,t
i have to use panel data, fixed effect model. I tried to use plm package but I'm having some difficulties because I don't know how to indicate the parameter θ and how to insert it in the formula. That's the code I used:
femodel = plm(Y ~ lag(Y) + lag(Y)-1 + X1 + X2 + X3 + Z1 + Z2, index = c("ID","ANNO"), data = pdata, model = "within", effect = "twoways").
Could you help me to insert the other parameter θ?
Perhaps I am misunderstanding the situation but I don't think you need to include \theta in your formula. The coefficient of y_{i,t-1} will be 1-\theta, so you can calculate \theta. The other reported coefficients will be \theta\alpha, \theta\beta and \theta\gamma but you can easily calculate \alpha, \beta and \gamma from the known \theta