ivfixed (version 1.0)

ivfixed-package: Instrumental fixed effect panel data model

Description

Fit an Instrumental fixed effect panel data regression

Details

Package:

IvFixed

Type:

Package

Version:

1.0

Date:

2014-03-24

License:

Artistic-2.0

ivFixed is general function for the estimation of Instrumental least square dummy variable model.

References

Amemiyia, T. (1971) The estimation of the variances in a variance--components model, International Economic Review, 12, pp.1--13. Baltagi, B.H. (1981) Simultaneous equations with error components, Journal of econometrics, 17, pp.21--49. Baltagi, B.H. (2001) Econometric Analysis of Panel Data. John Wiley and sons. ltd. Joshua D. A. (2001) Estimation of Limited Dependent Variable Models with Dummy Endogenous Regressors: Simple Strategies for Empirical Practice, Journal of Business & Economic Statistics, 19, pp.2--16.

Examples

#Create some data 
pib<-as.matrix(c(12,3,4,0.4,0.7,5,0.7,0.3,0.6,89,7,8,45,7,4,5,0.5,5),nrows=18,ncols=1)
tir<-as.matrix(c(12,0.3,4,0.4,7,12,3.0,6.0,45,7.0,0.8,44,65,23,4,6,76,9),nrows=18,ncols=1)
inf<-as.matrix(c(1.2,3.6,44,1.4,0.78,54,0.34,0.66,12,0.7,8.0,12,65,43,5,76,65,8),nrows=18,ncols=1)
npl<-as.matrix(c(0.2,3.8,14,2.4,1.7,43,0.2,0.5,23,7.8,88,36,65,3,44,65,7,34),nrows=18,ncols=1)
# create a data frame 
mdata<-data.frame(p=pib,t=tir,int=inf,np=npl)
# fit the ivfixed function   
ivf<-ivFixed(t~p+int|p+np,mdata,n=6,t=3)
summary(ivf)