R help - Sep 2013 - theta parameter - plm package

Hi all,

what indicates the parameter theta in the summary of a random effect  
panel model estimated with the plm function?

example:

data("Produc", package = "plm")
zz <- plm(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp,  
model="random", data = Produc, index =
c("state","year"))

summary(zz)

Effects:
                    var  std.dev share
idiosyncratic 0.001454 0.038137 0.175
individual    0.006838 0.082691 0.825

theta:  0.8888

Thanks
Alfonso

Hello.
Relative importance of individual effects' variance: i.e., the standard
quas-demeaning parameter, as in any panel data textbook (e.g. Baltagi,
Wooldridge).

Cheers,
Giovanni 

-----Messaggio originale-----
Da: alfonso.carfora at uniparthenope.it [mailto:alfonso.carfora at
uniparthenope.it]
Inviato: luned? 9 settembre 2013 15.07
A: r-help at r-project.org
Cc: Millo Giovanni
Oggetto: theta parameter - plm package

Hi all,

what indicates the parameter theta in the summary of a random effect panel model
estimated with the plm function?

example:

data("Produc", package = "plm")
zz <- plm(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp,
model="random", data = Produc, index =
c("state","year"))

summary(zz)

Effects:
                    var  std.dev share
idiosyncratic 0.001454 0.038137 0.175
individual    0.006838 0.082691 0.825

theta:  0.8888

Thanks
Alfonso






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Ai sensi del D.Lgs. 196/2003 si precisa che le informazi...{{dropped:12}}