Hello.
Sorry, as already explained on this list this isn't a problem with the
software but with the data. Negative variance estimates may happen, most likely
when the model is misspecified: see Wooldridge, "Econometric analysis of
cross-section and panel data", p. 261.
Hence, there is no real "solution". In Stata, if I remember correctly,
zeros are (silently?) substituted for the negative values, in R we chose not to
do this, issuing an error instead: in fact, substituting zeros for individual
components amounts exactly to estimating a "pooling" model, which you
can easily do.
Best,
Giovanni
Giovanni Millo, PhD
Research Dept.,
Assicurazioni Generali SpA
Via Machiavelli 3,
34132 Trieste (Italy)
tel. +39 040 671184
fax +39 040 671160
-------------- original message ----------------
Message: 65
Date: Thu, 7 Mar 2013 16:50:43 -0800 (PST)
From: Wei-han Liu <weihanliu2002 at yahoo.com>
To: "r-help at r-project.org" <r-help at r-project.org>
Subject: [R] question on package plm
Message-ID:
<1362703843.84094.YahooMailNeo at web163805.mail.gq1.yahoo.com>
Content-Type: text/plain
?Hi R users:
?I am using the plm package for linear panel data analysis but encountered the
following message when I try plm function to estimate an random model with
individual effect.
?data.re.ind <- plm(X.RETURN. ~ IOB +
IOBS,data=E,model="random",effect = "individual")
?Error in swar(object, data, effect) :? the estimated variance of the individual
effect is negative
?I have tried the other estimation methods ("walhus",
"amemiya", "nerlove") in addition to method "swar"
but it does not help.
?I have googled for answer but I have not found the solution yet. Actually this
problem encountered by some users but still remains unsolved, I am afraid. Would
some people help in this regard?
?Best regards,
Wei-han Liu
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?
Ai sensi del D.Lgs. 196/2003 si precisa che le informazi...{{dropped:12}}