Chamberlain and Angrist Newey test for fixed effect panel data

Question

I'm trying to reproduce the estimations of table 7.1 in Baltagi (2013) Econometric Analysis of Panel Data (5th edition), page 133. Also, I would to reproduce the Chamberlain (1982) or its Angrist-Newey (1991) equivalence test of the working paper of Baltagi, Bresson & Pirotte (2009) Testing Fixed-effects restrictions? A Monte Carlo study.... because Baltagi et al. say that is not common in applied research but it is very important to check the conditions for fixed effect models. (Please, find the data, the relevant papers and an R script with the estimations) in https://github.com/Joseperles/Statistical-questions/tree/master/Baltagi

I have got success to replicate all estimations with R's plm package. But I do not find any R Package or any R code to replicate both tests of restrictions. In the Angrist-Newey paper they use 3SLS estimations using SAS to perform their test.

I have seen that the R package systemfit performs 3SLS, but it seems that is not useful to estimate panel data models.

So, somebody knows any package or has any code to perform these unusual tests?

Answer 1

Finally, I myself find these nice functions piest and aneweytest in the R package plm of Prof. Yves Croissant for the Chamberlain test and the Angrist/Newey test, respectively.