I don't have STATA and your example is not sufficiently complete for
me to replicate anything. However, my approach to that kind of thing is
to try to find the absolute simplest possible example I can think and
work with that. I have on occasion programmed such simple examples in
Excel; if I get the same answers from Excel and R, I have reasonable
confidence that I know that R (or STATA) is doing.
Beyond that, you have a great advantage with R in that the source
code is available: To see the R source, type the name of the function
at a command prompt. If I do that with lme, I get the following:
lme
function (fixed, data = sys.frame(sys.parent()), random, correlation =
NULL,
weights = NULL, subset, method = c(REML, ML), na.action = na.fail,
control = list(), contrasts = NULL)
UseMethod(lme)
This is not too helpful by itself. To get further, I use methods:
methods(lme)
[1] lme.formula lme.groupedData* lme.lmList
Your fixed argument appears to have class formula. In that case,
lme.formula is the function you want. Typing this at a command prompt
gives you the code. You can then copy that into a script file, print it
out, and walk through it line by line to make sure you understand what
it does. A walk-through like this can be facilitated by using degug,
which you can invoke as follows:
debug(lme.formula)
regsc-lme(dsc~dcomp+dperc,random=~1|ind7090)
The debug documentation describes how to use it to walk line by
line through the function flagged for debugging. You can query the
status of any variable at any point, change variables, etc.
Hope this helps.
spencer graves
Raphael Schoenle wrote:
Hi everyone,
I have tried to solve a simple problem for days but I can't figure out
how to run it properly. If someone could give me a hint, this would be
really great.
Basically, I want to run a standard economist's fixed, and random
effects regression (corresponds to xtreg in STATA) but with _variable_
weights (they correspond to changing industry shares in the market).
Here is what I do:
regsc-lme(dsc~dcomp+dperc,random=~1|ind7090)
update(regsc,weights=varFixed(~wt))
1. however, my results are different from what I obtain in Stata using
areg (the weighted fixed effects times series regression). any ideas?
2. how do I read of the random affects results from this regression?
(i.e. coefficients on dcomp and dperc?)
Any hint would greatly be appreciated.
Best,
-Raphael
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