pgmm {plm} | R Documentation |
General method of moments estimator for static or dynamic models with panel data.
pgmm(formula,data,effect="individual",model="twosteps", instruments=NULL,inst.transformation="l",lags.endog=1, first.period=-99,last.period=-1,...) ## S3 method for class 'pgmm': summary(object, ...) ## S3 method for class 'summary.pgmm': print(x,digits=5,length.line=70, ...)
formula |
a symbolic description for the model to be estimated or a character string for a pure auto–regressive model, |
object,x |
an object of class pgmm , |
data |
the data, must be an object of class pdata.frame
and is mandatory, |
effect |
the effects introduced in the model, one of
"individual" or "twoways" , |
model |
one of "onestep" or "twosteps" , |
instruments |
a one side formula containing the instruments, |
inst.transformation |
a vector of character strings containing
"l" for instruments in level and "d" for instruments
in first difference, |
lags.endog |
an integer between 0 and 2 indicating the number of lags of the dependent variable, |
first.period |
a vector of integer containing the first period for which the instrument has to be introduced, |
last.period |
a vector integer containing the last period for which the instrument has to be introduced, |
digits |
digits, |
length.line |
the maximum length of the lines in the print output, |
... |
further arguments. |
pgmm
estimate a model for panel data with the general method of
moments estimator. A dynamic model is specified by fixing the
lags.endog
argument to 1 or 2. By default, the instruments used
are the independent variables (and the dependent variable if
lags.endog>0
). The complete list of instruments can also be
specified with the instruments
argument. For each instruments,
the first period used is specified by first.period
, the last
period by last.period
and the way they are introduced (in level
or in first difference by inst.transformation
). These three
arguments may be of length one, in this case, all the instruments are
treated the same way. In case of a dynamic model, they may be of
length two, then the first element is used for the dependent
variable and the second element is used for the independent
variables. They finally may be of length equal to the number of
instruments to specify a specific rule for each instrument.
an object of class c("pgmm","panelmodel")
, which has the following elements :
coefficients |
the vector (or the list for fixed effects) of coefficients, |
residuals |
the vector of residuals, |
fitted.values |
the vector of fitted.values, |
vcov |
the covariance matrix of the coefficients, |
df.residual |
degrees of freedom of the residuals, |
model |
a data.frame containing the variables used for the estimation, |
omega |
a matrix containing the instruments (each column is an individual), |
WDWm1 |
the inverse of the norm matrix used in the gmm estimation, |
J |
a 3D table containing the first period, last period and number of periods for each instrument and each year, |
K |
a list containing K the number of explanatory
variables, Ky the number of lags of the dependent variable
and Kt the number of time dummies, |
call |
the call. |
It has print
, summary
and print.summary
methods.
Yves Croissant
Arellano, Manuel & Bond, Stephen (1991), Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations, The Review of Economic Studies, vol. 58(2), april 1991, pp.227–297.
plm
for the estimation of models with instrumental variables.
library(Ecdat) data(Snmesp) pdata.frame(Snmesp,"firm","year") z <- pgmm(n~lag(w)+lag(w,2),Snmesp,effect="twoways",model="twosteps",lags.endog=2, last.period=c(-2), inst.transformation=c("l"),instruments=~n+w) summary(z)