plm (version 1.4-0)

pht: Hausman-Taylor Estimator for Panel Data

Description

The Hausman-Taylor estimator is an instrumental variable estimator without external instruments.

Usage

pht(formula, data, subset, na.action, model = c("ht", "am", "bmc"), index = NULL, ...)
## S3 method for class 'pht':
summary(object, ...)
## S3 method for class 'summary.pht':
print(x, digits = max(3, getOption("digits") - 2),
     width = getOption("width"), subset = NULL, ...)

Arguments

formula

a symbolic description for the model to be estimated,

object,x

an object of class "plm",

data

a data.frame,

subset

see lm for "plm", a character or numeric vector indicaing asubset of the table of coefficient to be printed for "print.summary.plm",

na.action

see lm,

model

one of "ht" for Hausman-Taylor, "am" for Amemiya-MaCurdy and "bms" for Breush-Mizon-Schmidt,

index

the indexes,

digits

digits,

width

the maximum length of the lines in the print output,

...

further arguments.

Value

• An object of class c("pht", "plm", "panelmodel"). A "pht" object contains the same element as plm, with a further argument called varlist which describes the typology of the variables. It has summary and print.summary methods.

Details

pht estimates panels models using the Hausman-Taylor estimator. The model is specified a two-part formula, the second part containing the exogenous variables.

References

Amemiya , T. and MaCurdy T.E. (1986) Instrumental-variable estimation of an error components model, Econometrica, 54, pp. 869--881. Breush, T.S, Mizon, G.E. and Schmidt, P. (1989) Efficient estimation using panel data, Econometrica, 57, pp.219--257. Hausman, J.A. and Taylor W.E. (1981) Panel data and unobservable individual effects, Econometrica, 49, pp.1377--1398.

Examples

data("Wages", package = "plm")
ht <- pht(lwage ~ wks + south + smsa + married + exp + I(exp^2) +
          bluecol + ind + union + sex + black + ed | 
          sex + black + bluecol + south + smsa + ind,
          data = Wages, model = "ht", index = 595)
summary(ht)