# NOT RUN {
#### Example 4-11
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data("HousePricesUS", package = "pder")
library("plm")
php <- pdata.frame(HousePricesUS)
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cbind("rho" = pcdtest(diff(log(php$price)), test = "rho")$statistic,
"|rho|" = pcdtest(diff(log(php$price)), test = "absrho")$statistic)
## ------------------------------------------------------------------------
regions.names <- c("New Engl", "Mideast", "Southeast", "Great Lks",
"Plains", "Southwest", "Rocky Mnt", "Far West")
corr.table.hp <- cortab(diff(log(php$price)), grouping = php$region,
groupnames = regions.names)
colnames(corr.table.hp) <- substr(rownames(corr.table.hp), 1, 5)
round(corr.table.hp, 2)
## ------------------------------------------------------------------------
pcdtest(diff(log(price)) ~ diff(lag(log(price))) + diff(lag(log(price), 2)),
data = php)
#### Example 9-2
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data("HousePricesUS", package = "pder")
swmod <- pvcm(log(price) ~ log(income), data = HousePricesUS, model= "random")
mgmod <- pmg(log(price) ~ log(income), data = HousePricesUS, model = "mg")
coefs <- cbind(coef(swmod), coef(mgmod))
dimnames(coefs)[[2]] <- c("Swamy", "MG")
coefs
#### Example 9-3
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library("texreg")
data("RDSpillovers", package = "pder")
fm.rds <- lny ~ lnl + lnk + lnrd
mg.rds <- pmg(fm.rds, RDSpillovers, trend = TRUE)
dmg.rds <- update(mg.rds, . ~ lag(lny) + .)
screenreg(list('Static MG' = mg.rds, 'Dynamic MG'= dmg.rds), digits = 3)
## ------------------------------------------------------------------------
library("msm")
b.lr <- coef(dmg.rds)["lnrd"]/(1 - coef(dmg.rds)["lag(lny)"])
SEb.lr <- deltamethod(~ x5 / (1 - x2),
mean = coef(dmg.rds), cov = vcov(dmg.rds))
z.lr <- b.lr / SEb.lr
pval.lr <- 2 * pnorm(abs(z.lr), lower.tail = FALSE)
lr.lnrd <- matrix(c(b.lr, SEb.lr, z.lr, pval.lr), nrow=1)
dimnames(lr.lnrd) <- list("lnrd (long run)", c("Est.", "SE", "z", "p.val"))
round(lr.lnrd, 3)
#### Example 9-4
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housep.np <- pvcm(log(price) ~ log(income), data = HousePricesUS, model = "within")
housep.pool <- plm(log(price) ~ log(income), data = HousePricesUS, model = "pooling")
housep.within <- plm(log(price) ~ log(income), data = HousePricesUS, model = "within")
d <- data.frame(x = c(coef(housep.np)[[1]], coef(housep.np)[[2]]),
coef = rep(c("intercept", "log(income)"),
each = nrow(coef(housep.np))))
library("ggplot2")
ggplot(d, aes(x)) + geom_histogram(col = "black", fill = "white", bins = 8) +
facet_wrap(~ coef, scales = "free") + xlab("") + ylab("")
## ------------------------------------------------------------------------
summary(housep.np)
## ------------------------------------------------------------------------
pooltest(housep.pool, housep.np)
pooltest(housep.within, housep.np)
#### Example 9-5
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library("texreg")
cmgmod <- pmg(log(price) ~ log(income), data = HousePricesUS, model = "cmg")
screenreg(list(mg = mgmod, ccemg = cmgmod), digits = 3)
#### Example 9-6
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ccemgmod <- pcce(log(price) ~ log(income), data=HousePricesUS, model="mg")
summary(ccemgmod)
## ------------------------------------------------------------------------
ccepmod <- pcce(log(price) ~ log(income), data=HousePricesUS, model="p")
summary(ccepmod)
#### Example 9-8
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data("HousePricesUS", package = "pder")
price <- pdata.frame(HousePricesUS)$price
purtest(log(price), test = "levinlin", lags = 2, exo = "trend")
purtest(log(price), test = "madwu", lags = 2, exo = "trend")
purtest(log(price), test = "ips", lags = 2, exo = "trend")
#### Example 9-9
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tab5a <- matrix(NA, ncol = 4, nrow = 2)
tab5b <- matrix(NA, ncol = 4, nrow = 2)
for(i in 1:4) {
mymod <- pmg(diff(log(income)) ~ lag(log(income)) +
lag(diff(log(income)), 1:i),
data = HousePricesUS,
model = "mg", trend = TRUE)
tab5a[1, i] <- pcdtest(mymod, test = "rho")$statistic
tab5b[1, i] <- pcdtest(mymod, test = "cd")$statistic
}
for(i in 1:4) {
mymod <- pmg(diff(log(price)) ~ lag(log(price)) +
lag(diff(log(price)), 1:i),
data=HousePricesUS,
model="mg", trend = TRUE)
tab5a[2, i] <- pcdtest(mymod, test = "rho")$statistic
tab5b[2, i] <- pcdtest(mymod, test = "cd")$statistic
}
tab5a <- round(tab5a, 3)
tab5b <- round(tab5b, 2)
dimnames(tab5a) <- list(c("income", "price"),
paste("ADF(", 1:4, ")", sep=""))
dimnames(tab5b) <- dimnames(tab5a)
tab5a
tab5b
## ------------------------------------------------------------------------
php <- pdata.frame(HousePricesUS)
cipstest(log(php$price), type = "drift")
cipstest(diff(log(php$price)), type = "none")
## ------------------------------------------------------------------------
cipstest(resid(ccemgmod), type="none")
cipstest(resid(ccepmod), type="none")
#### Example 10-2
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data("usaw49", package="pder")
library("plm")
php <- pdata.frame(HousePricesUS)
pcdtest(php$price, w = usaw49)
## ------------------------------------------------------------------------
library("splm")
rwtest(php$price, w = usaw49, replications = 999)
## ------------------------------------------------------------------------
mgmod <- pmg(log(price) ~ log(income), data = HousePricesUS)
ccemgmod <- pmg(log(price) ~ log(income), data = HousePricesUS, model = "cmg")
pcdtest(resid(ccemgmod), w = usaw49)
rwtest(resid(mgmod), w = usaw49, replications = 999)
# }
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