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 <[EMAIL PROTECTED]>:
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: [EMAIL PROTECTED] Internet: http://www.unifr.ch/finwiss Internet (priv): http://david.stadelmann-online.com ______________________________________________ [email protected] 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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