pvcm {plm}R Documentation

Variable Coefficients Models for Panel Data

Description

Estimators for random and fixed effects models with variable coefficients.

Usage

pvcm(formula, data, subset, na.action, effect = c("individual","time"),
     model = c("within","random"), index = NULL, ...)
## S3 method for class 'pvcm':
summary(object, ...)
## S3 method for class 'summary.pvcm':
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 "pvcm",
data a data.frame,
subset see lm,
na.action see lm,
effect the effects introduced in the model: one of "individual", "time",
model one of "within", "random",
index the indexes, see plm.data,
digits digits,
width the maximum length of the lines in the print output,
... further arguments.

Details

pvcm estimates variable coefficients models. Time or individual effects are introduced, respectively, if effect="time" or effect="individual" (the default value).

Coefficients are assumed to be fixed if model="within" and random if model="random". In the first case, a different model is estimated for each individual (or time period). In the second case, the Swamy (1970) model is estimated. It is a generalized least squares model which use the results of the previous model.

Value

an object of class c("pvcm","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,
call the call,
Delta the estimation of the covariance matrix of the coefficients (random effect models only),
std.error the standard errors for all the coefficients for each individual (within models only),

pvcm objects have print, summary and print.summary methods.

Author(s)

Yves Croissant

References

Swamy, P.A.V.B. (1970) Efficient Inference in a Random Coefficient Regression Model, Econometrica, 38(2), pp.311–323.

Examples

data("Produc", package="Ecdat")
zw <- pvcm(log(gsp)~log(pcap)+log(pc)+log(emp)+unemp,data=Produc, model="within")
zr <- pvcm(log(gsp)~log(pcap)+log(pc)+log(emp)+unemp,data=Produc, model="random")

[Package plm version 1.1-1 Index]