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demo
2010 Oct 14
1
robust standard errors for panel data - corrigendum
...is way (here: the famous Munnell data, see example(plm))
> library(plm)
> fm<-log(gsp)~log(pcap)+log(pc)+log(emp)+unemp
> data(Produc)
> ## est. FE model
> femod<-plm(fm, Produc)
> ## extract time-demeaned data
> demy<-pmodel.response(femod, model="within") demX<-model.matrix(femod,
> model="within") ## estimate lm model on demeaned data ## (equivalent
> to FE, but makes a 'lm' object)
> demod<-lm(demy~demX-1)
> library(sandwich)
> library(lmtest)
> ## apply HAC covariance, e.g., to t-tests coeftest(demod,
>...
2010 Oct 15
0
nomianl response model
...y (here: the famous Munnell data, see
example(plm))
> library(plm)
> fm<-log(gsp)~log(pcap)+log(pc)+log(emp)+unemp
> data(Produc)
> ## est. FE model
> femod<-plm(fm, Produc)
> ## extract time-demeaned data
> demy<-pmodel.response(femod, model="within")
> demX<-model.matrix(femod, model="within")
> ## estimate lm model on demeaned data
> ## (equivalent to FE, but makes a 'lm' object)
> demod<-lm(demy~demX-1)
> library(sandwich)
> library(lmtest)
> ## apply HAC covariance, e.g., to t-tests
> coeftest(demod, vco...