search for: giovanni_millo

Dear List, I am using the output of a ML estimation on a random effects model with first-order autocorrelation to make a further conditional test. My model is much like this (which reproduces the method on the famous Grunfeld data, for the econometricians out there it is Table 5.2 in Baltagi): library(Ecdat) library(nlme) data(Grunfeld)

...t;within", effect="twoways") is quick when the number of individuals is kept low; re-run the same example with n <- 200. Any ideas on how to obtain the within R-sq from a Twoways Within fit on unbalanced panel data with n>2000? Thank you Liviu On 5/12/10, Millo Giovanni <Giovanni_Millo at generali.com> wrote: > Dear Liviu, > > we're still working on measures of fit for panels. If I get you right, > what you mean is the R^2 of the demeaned, or "within", regression. A > quick and dirty function to do this is: > > pmodel.response<-plm:::p...

Dear Kailas Gokhale, The negative individual variance is not a problem with your code or plm. It a property of your data. Please check the posts of Giovanni Millo on this topic: [R] R: plm random effect: the estimated variance of the individual effect is negative Millo Giovanni Giovanni_Millo at Generali.com Sat Jan 5 10:10:01 CET 2013 You can find the posts in the archive by rseek.org. Kind regards, Nina Sch?nfelder ----- FernUniversit?t in Hagen Fakult?t f?r Wirtschaftswissenschaft Lehrstuhl f?r Volkswirtschaftslehre, insbes. Makro?konomik 58084 Hagen E-Mail: Nina.Schoenfelder at...

Matteo, I fully agree with David: please read the posting guide. Anyway, the error message says it all: "the estimated variance of the individual effect is negative". See e.g. the "basic panel" chapter (10 or 11) in Wooldridge's "Econometric Analysis of XS and Panel Data" to understand why this may happen. Stata's behaviour is (as far as I remember) to

Hi! I noticed that there is a (minor) bug either the command all.equal() or in the "plm" package. I demonstrate this using an example taken from the documentation of plm(): ====================================== R> data("Produc", package="plm") R> zz <- plm(log(gsp)~log(pcap)+log(pc)+log(emp)+unemp, + data=Produc,

...derico Calboli) 145. Re: spatial partition (Michael Bedward) ---------------------------------------------------------------------- Message: 1 Date: Wed, 13 Oct 2010 12:06:21 +0200 (CEST) From: Achim Zeileis <Achim.Zeileis at uibk.ac.at> To: Max Brown <max.e.brown at gmail.com> Cc: Giovanni_Millo at Generali.com, r-help at stat.math.ethz.ch Subject: Re: [R] robust standard errors for panel data Message-ID: <alpine.DEB.2.00.1010131157470.23222 at paninaro.uibk.ac.at> Content-Type: TEXT/PLAIN; charset=US-ASCII; format=flowed On Wed, 13 Oct 2010, Max Brown wrote: > Hi, > > I w...

...QLite(),"example.db") x <- dbGetQuery(example.db,"select * from t") x x$v1 --> -- ----------------------- Stephan Lindner University of Michigan ------------------------------ Message: 45 Date: Mon, 30 Mar 2009 18:35:58 +0200 From: "Millo Giovanni" <Giovanni_Millo@Generali.com> Subject: [R]  pgmm (Blundell-Bond) sample needed) To: "Ivo Welch" <ivo.welch@gmail.com>, <r-help@r-project.org> Cc: yves croissant <yves.croissant@let.ish-lyon.cnrs.fr> Message-ID:     <28643F754DDB094D8A875617EC4398B202AE7947@BEMAILEXTV03.corp.genera...

...en able to find a solution anywhere. Thanks! -Paul. -- Paul Geeleher School of Mathematics, Statistics and Applied Mathematics National University of Ireland Galway Ireland ------------------------------ Message: 32 Date: Wed, 27 May 2009 14:43:55 +0200 From: "Millo Giovanni" <Giovanni_Millo@Generali.com> Subject: Re: [R] moving from Windows to Linux - need help To: <KINLEY_ROBERT@lilly.com> Cc: r-help@r-project.org Message-ID:     <28643F754DDB094D8A875617EC4398B20311E1AF@BEMAILEXTV03.corp.generali.net>     Content-Type: text/plain;    charset="US-ASCII" Dea...

Dear all, I am looking for a convenient way to model a binary choice variable in R. Would you suggest glm() with family=binomial(link=probit))? Is there something more focused on that kind of analysis? Or am I plainly wrong? Cheers and thanx for your answers Giovanni Giovanni Millo R&D Dept. Assicurazioni Generali SpA Ai sensi della Legge 675/96 si precisa che le informazioni contenute in

Dear all, Does anybody know whether the (general) Lagrange Multiplier testing framework for restrictions on linear models has been implemented in some package? My goal is to test for omitted variables, i.e. restrictions of the kind beta_i=0, in the specification of an econometric model. There are some particular implementations in this fashion in the lmtest package (e,g, the bgtest() function,

Dear all, I am implementing a redundant variables F-test. For that I need to compute 2 models, restricted and unrestricted, then extracting the residuals to calculate the test statistic. I borrowed this elegant solution from the LMtest package to rebuild the first of the matrices involved (the unrestricted one) on the basis of model spec. and data >red.var.test<-function(formula,

Thomas, may I also suggest, from the Documentation>Contributed section of CRAN, "Econometrics in R" by Grant Farnsworth http://cran.at.r-project.org/doc/contrib/Farnsworth-EconometricsInR.pdf (see the chapter on Time series) and, in case you can read Italian, "Analisi delle serie storiche con R" by Vito Ricci http://cran.at.r-project.org/doc/contrib/Ricci-ts-italian.pdf

Hello Cecilia, nice hearing from you again. I must restate a couple of my old hints, though ;^) 1) please always put the authors c/c, as we are not guaranteed to browse through the r-help every day 2) please provide reproducible examples. As example(pooltest) keeps working fine, as do some other cases I tried (Grunfeld data etc.), I don't know what the problem is but evidently your data are

Hello. This is to get you started with data.frames, next time please - read the posting guide - see the documentation, especially the builtin "R data import/export" manual form the help menu ## begin R examples, paste into console ## data(mtcars) # builtin database class(mtcars) # what it is mtcars # print it out... head(mtcars) # ...better: see first rows fm <- mpg~hp+wt

Dear Hao-pang, it is impossible to really tell the problem without a reproducible example. Just guessing: this looks like you have too many regressors. In GMM, lags of variables are used as instruments, so you might have more regressors than observations. Try reducing the 'lag' argument (which, by default, uses all lags available). Of course, the first observation to make would be that

Dear Helen, bootstrapped standard errors are currently not supported in 'plm'. Cheers, Giovanni ------------------------------ Original Message: Date: Wed, 22 Apr 2009 23:23:26 -0700 (PDT) From: Helen Chen <96258011 at nccu.edu.tw> Subject: [R] question of plm package To: r-help at r-project.org Message-ID: <23190943.post at talk.nabble.com> Content-Type: text/plain;

Dear Limin, might be just about anything. Could you please provide a reproducible example? Best, Giovanni ----------------- Original message ---------------------- Message: 51 Date: Mon, 17 May 2010 10:36:03 +0800 (CST) From: ??? <dlmsos at 163.com> To: r-help at r-project.org Subject: [R] pgmm function Message-ID: <b2cba0.35fc.128a41e3684.Coremail.dlmsos at 163.com> Content-Type:

Dear all, I was wondering whether there is a way to make loops in Sweave, i.e. for example to: 1) calculate a parameter, say, a=length(b) 2) according to that, add #a# chapters to the document, each including some repetitive analysis, each time done on a particular subset of the data indexed by the elements of 1:a. This would be of great help for repeating exploratory data analyses on, say,

Guillermo, I am dropping most of your mail because my answer is very generic. First, why doesn't it work as you tried it: technically speaking, coeftest() and the like expect to be feed an lm or a glm object and for this reason won't accept the result of systemfit(), which is a much different object. I suppose the same goes for the rest. Second, what can you do: I'd do at least one

Dear List, I just installed R 2.6.1 (on Win2K) and I get a strange error in functions min() and max(): > min(1:3) Errore in .Internal(min(..., na.rm = na.rm)) : nessuna funzione interna "min" which, as you may have guessed, means 'no internal function "min" '. The same happens for max(). Maybe this is a bug in the new release, or maybe I'm missing