Displaying 20 results from an estimated 110 matches similar to: "MA process in panels"
2012 May 03
0
error in La.svd Lapack routine 'dgesdd'
Dear Philipp,
this is just a tentative answer because debugging is really not possible
without a reproducible example (or, at a very bare minimum, the output
from traceback()).
Anyway, thank you for reporting this interesting numerical issue; I'll
try to replicate some similar behaviour on a similarly dimensioned
artificial dataset when I have some time (which might not be soon). As
for now,
2010 Mar 04
2
which coefficients for a gam(mgcv) model equation?
Dear users,
I am trying to show the equation (including coefficients from the model
estimates) for a gam model but do not understand how to.
Slide 7 from one of the authors presentations (gam-theory.pdf URL:
http://people.bath.ac.uk/sw283/mgcv/) shows a general equation
log{E(yi )} = ?+ ?xi + f (zi ) .
What I would like to do is put my model coefficients and present the
equation used. I am an
2013 Oct 19
2
ivreg with fixed effect in R?
I want to estimate the following fixed effect model:
y_i,t = alpha_i + beta_1 x1_t + beta_2 x2_i,tx2_i,t = gamma_i + gamma_1
x1_t + gamma_2 Z1_i + gamma_3 Z2_i
I can use ivreg from AER to do the iv regression.
fm <- ivreg(y_i,t ~ x1_t + x2_i,t | x1_t + Z1_i + Z2_i,
data = DataSet)
But, I'm not sure how can I add the fixed effects.
Thanks!
[[alternative HTML
2013 Apr 08
2
How can I extract part of the data in a panel dataset?
Taking the Grunfeld data, which is built-in in R, for example,
(1)How can I construct a dataset (or dataframe) that consists of the data
of all firms in 1951?
(2)How can I calculate the average capital in each form over the period
1951-1954?
What I can imagine is to categorize the data by firm, and then select the
data between 1951 and 1954 for each firm, but how can I do it?
Thanks,
Miao
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
2007 May 24
1
lme with corAR1 errors - can't find AR coefficient in output
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)
2011 Feb 22
1
Adjusting for autocorrelation in a panel model
I am working with panel data. I am using the plm package to do this.
I would like to do be able to adjust for autocorrelation, as one does with
glm models and correlation structures (eg corr=corARMA(q=4)) . In
particular, I want to employ MA(4) error structure.
Is there a way of doing this with the plm package?
(Note: I do not really want to use the pggls function for various
2010 Mar 16
2
plm "within" models: is the correct F-statistic reported?
Dear R users
I get different F-statistic results for a "within" model, when using
"time" or "twoways" effects in plm() [1] and when manually specifying
the time control dummies [2].
[1] vignette("plm")
[2] http://cran.r-project.org/doc/contrib/Farnsworth-EconometricsInR.pdf
Two examples below:
library("AER")
data("Grunfeld", package =
2009 Apr 19
2
importing spreadsheet data - linera regression - panel data
Hi everyone and thank you for the help you could give me.
My data is in a spreadsheet. The 1st column identifies the
firm (with the fiscal number), the columns 2 to 11 have
the variable value for 11 years. I have many variables
(files like this). Each file has about 40.000 firms
(rows). I transformed all the files in txt files. The data
is a panel data, like this:
firm revenu2007 revenue2006
2010 Feb 25
2
error using pvcm() on unbalanced panel data
Dear all
I am trying to fit Variable Coefficients Models on Unbalanced Panel
Data. I managed to fit such models on balanced panel data (the example
from the "plm" vignette), but I failed to do so on my real, unbalanced
panel data.
I can reproduce the error on a modified example from the vignette:
> require(plm)
> data("Hedonic")
> Hed <- pvcm(mv ~ crim + zn + indus
2008 Nov 19
2
GAMM and anove.lme question
Greetings all
The help file for GAMM in mgcv indicates that the log likelihood for a
GAMM reported using
summary(my.gamm$lme) (as an example) is not correct.
However, in a past R-help post (included below), there is some indication
that the likelihood ratio test in anova.lme(mygamm$lme, mygamm1$lme) is
valid.
How can I tell if anova.lme results are meaningful (are AIC, BIC, and
logLik
2003 Sep 25
1
Time Series DGPs
I was wondering if anyone had some sample time series dgp code. I am
particularly interested in examples of autoregressive processes and
error correction model DGPs. I have attached a more specific example
of what I mean. I have tried myself but would hoping someone had some
more elegant code that would help me extend my own code.
Thanks
Luke Keele
UNC-Chapel Hill
Nuffield College, Oxford
2011 Jun 18
0
Unexpected result with lag() et diff() in plm package.
I have an unexpected result with the functions lag() and diff() in the plm
(panel data) package when used with transform(). These plm-specific
functions are supposed to generate lags and first differences within each
panel.
lag() does not work properly the first time (it reproduces the same
series--this is a common time series pitfall), BUT then it does work
properly when it is run a second
2013 Jan 11
0
Manual two-way demeaning of unbalanced panel data (Wansbeek/Kapteyn transformation)
Dear R users,
I wish to manually demean a panel over time and entities. I tried to code
the Wansbeek and Kapteyn (1989) transformation (from Baltagi's book Ch. 9).
As a benchmark I use both the pmodel.response() and model.matrix() functions
in package plm and the results from using dummy variables. As far as I
understood the transformation (Ch.3), Q%*%y (with y being the dependent
variable)
2011 Nov 22
0
Unexpected result with lag() et diff() in plm package.
I didn't see you got an answer posted to this question:
You can't modify a pdata.frame object. Your transforms turn it back to a normal data frame and diff and lag won't work as expected.
Try:
Grunfeld.p <- pdata.frame(Grunfeld,c("firm","year"))
tmp <- transform(Grunfeld.p, d.value = diff(Grunfeld.p$value,1))
tmp <- cbind(tmp, l.value =
2010 Apr 09
0
panel regression with twoways random effects, on unbalanced data?
Dear R users
What would be the best way to approach estimating a panel regression
with twoways random effects, on unbalanced data? Unfortunately, the
"plm" package has no implementation of twoways random effects for
unbalanced data. Currently I'm considering two approaches:
- extend "plm" to cover this type of panel regression. (For the
authors, cc'ed:) Would
2002 Dec 09
1
heteroscedasticity analysis
Hello,
First, sorry for my poor english, I will try to be understood.
It's the first time I try this "r-help mailing list" and I hope it will be
a success.
I am working on heteroscedasticity analysis. I would like to get the
"Box-Ljung" and the "Lagrange multipliers" test.
I found the first one in the library "ts", but I can't find the second one.
2003 May 29
2
Newbie trying to Lag Variables in a regression
Perhaps I am making this too hard, but how does one regress y(t) on a
constant, x(t-1) and y(t-1)? I've tried the manuals and until I get
Dalgaard's book (just ordered on Amazon), I am stuck!
Thanks to all in advance for your patience and consideration.
2009 Dec 10
0
plm ? tests of poolability ? error: insufficient number
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
2009 Mar 30
0
pgmm (Blundell-Bond) sample needed)
Dear Ivo, dear list,
(see: Message: 70
Date: Thu, 26 Mar 2009 21:39:19 +0000
From: ivowel at gmail.com
Subject: [R] pgmm (Blundell-Bond) sample needed)
I think I finally figured out how to replicate your supersimple GMM
example with pgmm() so as to get the very same results as Stata.
Having no other regressors in the formula initially drove me crazy. This was a case where simpler models are