pht {plm}R Documentation

Hausman-Taylor Estimator for Panel Data

Description

The Hausman-Taylor estimator is an instrumental variable estimator without external instruments.

Usage

pht(formula, data, subset, na.action, index = NULL, ...)
## S3 method for class 'pht':
summary(object, ...)
## S3 method for class 'summary.pht':
print(x, digits = max(3, getOption("digits") - 2), width = getOption("width"), ...)

Arguments

formula a symbolic description for the model to be estimated,
object,x an object of class "plm",
data a data.frame,
subset see lm,
na.action see lm,
index the indexes,
digits digits,
width the maximum length of the lines in the print output,
... further arguments.

Details

pht estimates panels models using the Hausman-Taylor estimator. The model is specified a two-part formula, the second part containing the exogenous variables.

Value

An object of class c("pht", "plm", "panelmodel").
A "pht" object contains the same element as plm, with a further argument called varlist which describes the typology of the variables. It has summary and print.summary methods.

Author(s)

Yves Croissant

References

Hausman, J.A. and Taylor W.E. (1981) Panel data and unobservable individual effects, Econometrica, 49, pp.1377–1398.

Examples

data("Wages", package = "plm")
ht <- plm(lwage~wks+south+smsa+married+exp+I(exp^2)+
          bluecol+ind+union+sex+black+ed | 
          sex+black+bluecol+south+smsa+ind,
          data=Wages,model="ht",index=595)
summary(ht)

[Package plm version 1.2-3 Index]