Panel Data Estimators (within, between, Random Effects estimator)

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Panel Data Estimators (within, between, Random Effects estimator)

David STADELMANN
Dear R Users,

Here is another probelm/question.

I would like to run some panel regressions with R. Therefore I have
combined several time periods of data for different individuals in my
database.

I have already run pooled OLS but I would need to calculate a Fixed
Effects Estimator (within estimator). Unfortunately I couldn't find
anything like that in the RSearch and I suppose that lme (in package
nlme) is not the answer.

Is there any defined function to calculate panel data estimators like
Fixed Effects Estimators (within), a between estimator or a Random
Effects estimator. For more details on the estimators I would like to
use see: Cameron, A. C.; Trivedi, P. K.: "Microeconometrics. Methods and
Applications", Cambridge University Press, 2005, pp. 695-809.

Thanks for your help.
David Stadelmann

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David Stadelmann
Seminar für Finanzwissenschaft
Université de Fribourg
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Bd de Pérolles 90
CH-1700 Fribourg
SCHWEIZ

Tel: +41 (026) 300 93 82
Fax: +41 (026) 300 96 78
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Email: [hidden email]
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Internet (priv): http://david.stadelmann-online.com

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Re: Panel Data Estimators (within, between, Random Effects estimator)

Wincent
Some time ago,I wrote some simple functions to do the
fixed/between/random effects regression.If you want the code,pls drop
me a line.

2006/5/8, David STADELMANN <[hidden email]>:

> Dear R Users,
>
> Here is another probelm/question.
>
> I would like to run some panel regressions with R. Therefore I have
> combined several time periods of data for different individuals in my
> database.
>
> I have already run pooled OLS but I would need to calculate a Fixed
> Effects Estimator (within estimator). Unfortunately I couldn't find
> anything like that in the RSearch and I suppose that lme (in package
> nlme) is not the answer.
>
> Is there any defined function to calculate panel data estimators like
> Fixed Effects Estimators (within), a between estimator or a Random
> Effects estimator. For more details on the estimators I would like to
> use see: Cameron, A. C.; Trivedi, P. K.: "Microeconometrics. Methods and
> Applications", Cambridge University Press, 2005, pp. 695-809.
One way to get the fixed effects estimator is using dummy regression
by adding factor(id) in the right side to the formula.(the id is panel
ID variable).Just be aware that the R-sqare from dummy regression is
overestimated.If I remember correctly,you can get the R-sqare by
calculate the square of the correlation between response variable and
the predicted value.

And package nlme can do the random effects by ML/REML methods.(Maybe
not axactly what you want).This is achieved by gls function by
specifying the cor argument.
The following example is from Wooldrige(1999),Introductory Econometrics.

summary(gls(lwage~educ+black+hisp+exper+expersq+married+union,cor=corCompSymm(form=~1|nr),data=wagepan,method="ML"))

It is the same as the Stata command:
xtreg lwage educ black hisp exper expersq married union,i(nr) mle

I hope it helps.



> Thanks for your help.
> David Stadelmann
>
> --
> ######################################
> David Stadelmann
> Seminar für Finanzwissenschaft
> Université de Fribourg
> Bureau F410
> Bd de Pérolles 90
> CH-1700 Fribourg
> SCHWEIZ
>
> Tel: +41 (026) 300 93 82
> Fax: +41 (026) 300 96 78
> Tel (priv): +41 (044) 586 78 99
> Mob (priv): +41 (076) 542 33 48
> Email: [hidden email]
> Internet: http://www.unifr.ch/finwiss
> Internet (priv): http://david.stadelmann-online.com
>
> ______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
>

--
黄荣贵
Deparment of Sociology
Fudan University


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