Displaying 3 results from an estimated 3 matches for "femod".
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demod
2012 Feb 07
1
fixed effects with clustered standard errors
Dear R-helpers,
I have a very simple question and I really hope that someone could help me
I would like to estimate a simple fixed effect regression model with clustered standard errors by individuals.
For those using Stata, the counterpart would be xtreg with the "fe" option, or areg with the "absorb" option and in both case the clustering is achieved with "vce(cluster
2010 Oct 14
1
robust standard errors for panel data - corrigendum
...ble by applying vcovHAC{sandwich} to the time-demeaned data but I'm not sure; in this case, vcovHAC should be applied this 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(dem...
2010 Oct 15
0
nomianl response model
...ble by applying
vcovHAC{sandwich} to the time-demeaned data but I'm not sure; in this case,
vcovHAC should be applied this 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(...