plm: ercomp – R documentation

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plm

ercomp

Estimation of the error components

Description

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

Usage

ercomp(object, ...)

## S3 method for class 'plm'
ercomp(object, ...)

## S3 method for class 'pdata.frame'
ercomp(
  object,
  effect = c("individual", "time", "twoways", "nested"),
  method = NULL,
  models = NULL,
  dfcor = NULL,
  index = NULL,
  ...
)

## S3 method for class 'formula'
ercomp(
  object,
  data,
  effect = c("individual", "time", "twoways", "nested"),
  method = NULL,
  models = NULL,
  dfcor = NULL,
  index = NULL,
  ...
)

## S3 method for class 'ercomp'
print(x, digits = max(3, getOption("digits") - 3), ...)

Arguments

`object`	a `formula` or a `plm` object,
`...`	further arguments.
`effect`	the effects introduced in the model, see `plm()` for details,
`method`	method of estimation for the variance components, see `plm()` for details,
`models`	the models used to estimate the variance components (an alternative to the previous argument),
`dfcor`	a numeric vector of length 2 indicating which degree of freedom should be used,
`index`	the indexes,
`data`	a `data.frame`,
`x`	an `ercomp` object,
`digits`	digits,

Value

An object of class "ercomp": a list containing

sigma2 a named numeric with estimates of the variance components,
theta contains the parameter(s) used for the transformation of the variables: For a one-way model, a numeric corresponding to the selected effect (individual or time); for a two-ways model a list of length 3 with the parameters. In case of a balanced model, the numeric has length 1 while for an unbalanced model, the numerics' length equal the number of observations.

Author(s)

Yves Croissant

References

Amemiya T (1971). “The Estimation of the Variances in a Variance–Components Model.” International Economic Review, 12, 1–13.

Nerlove M (1971). “Further Evidence on the Estimation of Dynamic Economic Relations from a Time–Series of Cross–Sections.” Econometrica, 39, 359–382.

Swamy PAVB, Arora SS (1972). “The Exact Finite Sample Properties of the Estimators of Coefficients in the Error Components Regression Models.” Econometrica, 40, 261–275.

Wallace TD, Hussain A (1969). “The Use of Error Components Models in Combining Cross Section With Time Series Data.” Econometrica, 37(1), 55–72.

Examples

data("Produc", package = "plm")
# an example of the formula method
ercomp(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc,
       method = "walhus", effect = "time")
# same with the plm method
z <- plm(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp,
         data = Produc, random.method = "walhus",
         effect = "time", model = "random")
ercomp(z)
# a two-ways model
ercomp(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc,
       method = "amemiya", effect = "twoways")

plm

Linear Models for Panel Data

v2.4-1

GPL (>= 2)

Authors

Yves Croissant [aut, cre], Giovanni Millo [aut], Kevin Tappe [aut], Ott Toomet [ctb], Christian Kleiber [ctb], Achim Zeileis [ctb], Arne Henningsen [ctb], Liviu Andronic [ctb], Nina Schoenfelder [ctb]

Initial release

2021-03-02