ercomp {plm}R Documentation

Estimation of the error components

Description

This function enables the estimation of the components of the errors of a panel model.

Usage

ercomp(object, ...)
## S3 method for class 'formula':
ercomp(object, data, effect = c("individual", "time", "twoways"), 
                         method = c("swar", "walhus", "amemiya", "nerlove"),
                         index = NULL, ...)
## S3 method for class 'plm':
ercomp(object, ...)

Arguments

object a formula or a plm object,
data a data.frame,
method method of estimation for the variance components, see lm for details,
effect the effects introduced in the model, see lm for details,
index the indexes,
... further arguments.

Value

an object of class "ercomp": a list containing a list called sigma2 which contains the estimation of the components of the variance of the errors, and theta which is the parameters used for the transformation of the variables.

Author(s)

Yves Croissant

References

Amemiyia, T. (1971) The estimation of the variances in a variance–components model, International Economic Review, 12, pp.1–13.

Nerlove, M. (1971) Further evidence on the estimation of dynamic economic relations from a time–series of cross–sections, Econometrica, 39, pp.359–382.

Swamy, P.A.V.B. and Arora, S.S. (1972) The exact finite sample properties of the estimators of coefficients in the error components regression models, Econometrica, 40, pp.261–275.

Wallace, T.D. and Hussain, A. (1969) The use of error components models in combining cross section with time series data, Econometrica, 37(1), pp.55–72.

See Also

plm where the estimation of the components of the variance of the errors are used


[Package plm version 1.1-1 Index]