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panelAR

summary.panelAR

Summary method for fitted objects of class "panelAR"

Description

summary method for class "panelAR".

Usage

## S3 method for class 'panelAR'
summary(object, ...)

## S3 method for class 'summary.panelAR'
print(x,digits = max(3, getOption("digits") - 3), 
    signif.stars = getOption("show.signif.stars"),...)

Arguments

`object`	an object of class `"panelAR"`.
`x`	an object of class `"summary.panelAR"`.
`digits`	integer. the number of significant digits to use when printing.
`signif.stars`	logical. If `TRUE`, ‘significance stars’ are printed for each coefficient.
`...`	further arguments passed to or from other methods.

Value

The function summary.panelAR returns a list of summary statistics from the fitted model in object. The list contains the following components:

`call`	the matched call.
`terms`	the terms object used.
`coefficients`	the named vector of coefficients.
`residuals`	the residuals.
`aliased`	named logical vector designating if original coefficients are aliased.
`df`	vector of the form (k,N-k,k^), where k is the rank of the model matrix, N-k* gives the residual degrees of freedom, and k^* is the number of total coefficients.
`rho`	autocorrelation parameters. Scalar if `"ar1"` option was used, vector of length N_p (number of panels) if `"psar1"` option was used, and `NULL` if `"none"` option was used.
`Sigma`	N_p \times N_p matrix of estimated panel covariances.
`r2`	R^2 based on quasi-differenced data from the Prais-Winsten regression. Set to `NULL` if PWLS or Parks-Kmenta procedures are used.
`wald`	results of Wald test.
`vcov`	estimated variance-covariance matrix of coefficients.
`na.action`	information passed on from `obj` about the handling of `NA`s.
`panelStructure`	a list of several objects which contain information on the panel structure of the data. See details below.

Contents of panelStructure:

`N`	number of observations.
`N.panel`	number of panels.
`N.time`	number of times.
`balanced`	logical indicating whether panels are balanced.
`N.min`	minimum number of observations per panel.
`N.max`	maximum number of observations per panel.
`N.avg`	average number of observations per panel.
`N.per.panel`	named vector giving number of observations per panel.

Author(s)

Konstantin Kashin kkashin@fas.harvard.edu

Examples

data(WhittenWilliams)
# expect warning urging to use 'complete.case=FALSE'
out <- panelAR(milex_gdp~lag_milex_gdp+GOV_rl+gthreat+GOV_min+GOV_npty+election_yr+
lag_real_GDP_gr+cinclag+lag_alliance+lag_cinc_ratio+lag_us_change_milex_gdp, 
data=WhittenWilliams, panelVar="ccode", timeVar="year", autoCorr="psar1", 
panelCorrMethod="pcse", complete.case=TRUE)

summary(out)
summary(out)$rho # psar1 coefficients
summary(out)$Sigma # panel covariances
summary(out)$wald # results of Wald test

panelAR

Estimation of Linear AR(1) Panel Data Models with Cross-Sectional Heteroskedasticity and/or Correlation

v0.1

GPL (>= 2)

Authors

Konstantin Kashin <kkashin@fas.harvard.edu>

Initial release

2014-02-27

summary.panelAR

Description

Usage

Arguments

Value

Author(s)

See Also

Examples

panelAR

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