ercomp {plm} | R Documentation |
This function enables the estimation of the components of the errors of a panel model.
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, ...)
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. |
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.
Yves Croissant
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.
plm
where the estimation of the components of the
variance of the errors are used