How to run regressions on multidimensional panel data in R

Question

I need to run a regression on a panel data . It has 3 dimensions (Year * Company * Country). For example:

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 year | co         


        

Answer 1

This question is much like these:

• fixed effects in R: plm vs lm + factor()
• Fixed Effects plm package R - multiple observations per year/id

You may not want to create a new dummy, then with dplyr package you can use the group_indices function. Although it do not support mutate, the following approach is straightforward:

fakedata$id <- fakedata %>% group_indices(comp, count)

The id variable will be your first panel dimension. So, you need to set the plm index argument to index = c("id", "year").

For alternatives you can take a look at this question: R create ID within a group.