Displaying 20 results from an estimated 900 matches similar to: "Running a GMM Estimation on dynamic Panel Model using plm-Package"
2009 Mar 26
1
pgmm (Blundell-Bond) sample needed
Dear R Experts---
Sorry for all the questions yesterday and today. I am trying to use Yves
Croissant's pgmm function in the plm package with Blundell-Bond moments. I
have read the Blundell-Bond paper, and want to run the simplest model
first, d[i,t] = a*d[i,t-1] + fixed[i] + u[i,t] . no third conditioning
variables yet. the full set of moment conditions recommended for
system-GMM,
2008 Dec 30
1
extend summary.lm for hccm?
Hi!
I am trying to estimate Engel curves using a big sample (>42,000) using lm and
taking heteroskedasticity into account by using the summaryHCCM posted here by
John Fox (Mon Dec 25 16:01:59 CET 2006).
Having used the SIC (with MASS stepAIC) to determine how many powers to use I
estimate the model:
> # =========================================
> summary.lm(fit.lm.5)
Call:
lm(formula
2012 Oct 29
1
Hausman test error solve
Hello,
I am trying to conduct a Hausman test to choose between FE estimators and RE
estimators.
When I try to run:
library(plm)
fixed <- plm(ROS ~ DiffClosenessC +ZZiele + AggSK + nRedundantStrecken +
Degree + KantenGew + BetweennessC + SitzKappazitaet,
data=Panel,index=c("id","time"),model="within")
summary(fixed)
fixef(fixed)
random <-plm(ROS ~
2013 Jan 13
1
R error: system is computationally singular when building GMM model
Dear,
I built the generalized method of moments model to estimate the sales rank
in the bookstore using plm package in R.
The equation is:
data1.gmm <- pgmm(dynformula(lnsales_rank ~ ln_price + avg_ham_rate +
avg_spam_rate + num_of_ham+ num_of_spam + ship_code2 +ship_code3
+ship_code4+ ship_code5+ ship_code6 + ship_ code7, lag = list(0, 0, 0,
0,0,0,0,0,0,0,0,0), log =FALSE), data=data,
2009 Mar 08
1
singular matrices in plm::pgmm()
Hi list,
has anyone succeeded in using pgmm() on any dataset besides
Arellano/Bond's EmplUK, as shown in the vignette?
Whatever I try, I eventually get a runtime error because of a singular
matrix at various points in pgmm.diff() (which gets called by pgmm()).
For example, when estimating a "dynamic" version of the Grunfeld data:
data(Grunfeld, package="Ecdat")
grun
2009 Feb 14
2
Dynamic Panel Analysis in R
Hi!
I am quite a new user of R. I wanted to ask if there was some package
for dynamic panel analysis (with Arneallo-Bond Method) like stata. PLM
is for panel analysis but not for dynamic.
Best regards,
Tanveer
2010 Aug 11
1
sem & psych
Dear R users,
I am trying to simulate some multitrait-multimethod models using the
packages sem and psych but whatever I do to deal with models which do not
converge I always get stuck and get error messages such as these:
"Error in summary.sem(M1) : coefficient covariances cannot be computed"
"Error in solve.default(res$hessian) : System ist f?r den Rechner singul?r:
reziproke
2013 Feb 28
0
GMM for dynamic mdels: what if never passes Sargan test?
Hi! I am looking for some insight with this situation: what to do or how to
analyze when our models fitted with pgmm never pass Sargant test?
With my current dataset, I've been fitting different models and with all
possible combinations of lagged instruments, with all possible lag order
combinations, but no model passes Sargan test. I can not give up gmm here
as I have autocorrelation and
2011 Jul 29
0
GMM, panel data, functions lag() and diff()
I’m starting to use the GMM estimator with panel data in R. I´ve read the
document «Panel Data Econometrics in R: The plm Package» (Croissant and
Millo).
In Stata before using the functions lag() or diff() we must sort the data by
individual and by time. I would like to know if I have to do something like
this in R.
If you know any other interesting document about panel data in R please let
me
2013 Feb 20
2
'gmm' package: How to pass controls to a numerical solver used in the gmm() function?
Hello --
The question I have is about the gmm() function from the 'gmm' package
(v. 1.4-5).
The manual accompanying the package says that the gmm() function is
programmed to use either of four numerical solvers -- optim, optimize,
constrOptim, or nlminb -- for the minimization of the GMM objective
function.
I wonder whether there is a way to pass controls to a solver used
while calling
2008 May 27
2
GMM estimation
Hello there!!!
Sorry to bother you all with such question and difficulties that I have been
facing on.
Recently I have been searching for packages to run GMM estimatives with R.
I have been searching for such packages for a while, but since I am a new
user of R system,
my quest so far was unsucessful.
That´s why I had decided to ask to this forum. Hope that anyone could help
me!
I know that
2013 Mar 05
2
Issues when using interaction term with a lagged variable
Hi there!
Today I tried to estimate models using both plm and pgmm functions, with an
interaction between X1 and lag(X2, 1). And I notice two issues.
Let "Y=b_1 * X_1 + b_2 * X_2 + b_3 * X_1 * x_2 + e" be our model.
1) When using plm, I got different results when I coded the interaction
term with I(X1 * lag(X2, 1)) and when I just saved this multiplication X1 *
lag(X2, 1) in a
2011 Oct 25
1
regression using GMM for mulltiple groups
Inthe code below I was trying to to obtain the GMM estimates for CAPM
(REGRESSION) for 36 stocks each have 180 observations,however it only gives
me one output rather than 36.
In SAS i would just put in a *By statement*. I have a variable TICKER that
categorize them into 36 groups.
*How can I obtain all 36 output instead of just one.*
**
2024 Apr 23
1
System GMM yields identical results for any weighting matrix
A copy of this question can be found on Cross Validated:
https://stats.stackexchange.com/questions/645362
I am estimating a system of seemingly unrelated regressions (SUR) in R.
Each of the equations has one unique regressor and one common regressor. I
am using `gmm::sysGmm` and am experimenting with different weighting
matrices. I get the same results (point estimates, standard errors and
2012 Apr 09
0
Error using PGMM function in the PLM package
Good day fellow R users:
I have routinely received the following message when attempting to
estimate a GMM model for a somewhat square panel (N = 20, T = 9-27,
Obs = 338) using the pgmm function in the plm package:
Error in function (..., deparse.level = 1) :
number of rows of matrices must match (see arg 2)
So far, I am not wedded to a particular GMM model but what I have used
thus far is
2024 Apr 23
1
System GMM yields identical results for any weighting matrix
Generally speaking, this sort of detailed statistical question about a
speccial package in R does not get a reply on this general R
programming help list. Instead, I suggest you either email the
maintainer (found by ?maintainer) or ask a question on a relevant R
task view, such as
https://cran.r-project.org/web/views/Econometrics.html . (or any other
that you judge to be more appropriate).
2009 Mar 27
0
R: plm and pgmm
dear giovanni---
thanks for answering on r-help to me as well as privately. I very much
appreciate your responding. I read the plm vignette. I don't have the book,
so I can't consult it. :-(. I am going to post this message now (rather
than just email it privately), because other amateurs may have similar
questions in the future, and find this message and your answers via google.
2009 Nov 13
0
about the pgmm in plm package (application and singularity)
Dear Sir or Madam:
I am Shaojuan Liao, the 3rd year Ph.D. student from Econ Department,
Virginia Tech.
I don't know whether it is appropriate to ask you questions on the
command pgmm. But I don't know how to deal with the case where all X are
exogenous and all T time periods' X can be used as the instrument.
Problem 1:
I know when X are predetermined, such as
Z=[y1,X1,X2, 0,
2009 Jun 23
1
nlme package - unbalanced data and Croissant (2008)
Dear listserv members,
In Croissant (2008) “Panel Data Econometrics in R: The plm Package” the
authors seem to indicate that the nlme package for R cannot correctly handle
unbalanced panel data: “Moreover, economic panel datasets often happen to be
unbalanced (i.e., they have a different number of observations between
groups), which case needs some adaptation to the methods and is not
2017 Dec 25
1
package : plm : pgmm question
Dear Sir,
I am using the package pgmm you build in panel regression. However, I found that when T is 10, N=30, the error would show as following:
system is computationally singular: reciprocal condition number
But the similar code works well on Stata, so I wonder how I can optimize the algorithm, for example , the inverse matrix optimization ? And I have checked my data as well, no