R里有几个package可以进行动态面板回归，比如plm和panelvar。但是前者在System GMM中不支持常数项，后者太慢。

pydynpd是个python package，可以对动态面板模型进行回归。包含的功能如下：

• Differene and System GMM
• One-step, two-step, and iterative estimates
• First-difference and forward orthogonal deviation transformations
• Robust standard errors. For two-step GMM, the calculation suggested by Windmeijer (2005) is used.
• Hansen over-identification test
• Arellano-Bond test for autocorrelation
• Time dummies
• Collapse GMM instruments to limit instrument proliferation
• Search for models based on users' request, rather than just run the model specified by users as other packages do
  

回归结果和Stata中的xtabond2相同。即便在R中调用这个Python package, 速度仍然比调用R package panelvar快几十倍。在Python和R环境中安装使用可参考
https://github.com/dazhwu/pydynpd