plm (version 1.4-0)

plm: Panel Data Estimators

Description

Linear models for panel data estimated using the lm function on transformed data.

Usage

plm(formula, data, subset, na.action, effect = c("individual","time","twoways"),
    model = c("within","random","ht","between","pooling","fd"),
    random.method = c("swar","walhus","amemiya","nerlove", "kinla"),
    inst.method = c("bvk","baltagi"), restrict.matrix = NULL,
    restrict.rhs = NULL, index = NULL, ...)
## S3 method for class 'plm':
summary(object, .vcov = NULL, ...)
## S3 method for class 'summary.plm':
print(x, digits = max(3, getOption("digits") - 2),
    width = getOption("width"), subset = NULL, ...)
## S3 method for class 'plm':
plot(x, dx = 1, N = 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,

effect

the effects introduced in the model, one of "individual", "time" or "twoways",

model

one of "pooling", "within", "between", "random", "fd" and "ht",

random.method

method of estimation for the variance components in the random effects model, one of "swar" (the default value), "amemiya", "walhus", "nerlove" and "kinla",

inst.method

the instrumental variable transformation: one of "bvk" and "baltagi",

index

the indexes,

restrict.matrix

a matrix wich defines linear restrictions on the coefficients,

restrict.rhs

the right hand side vector of the linear restrictions on the coefficients,

.vcov

a covariance matrix furnished by the user,

digits

digits,

width

the maximum length of the lines in the printed output,

dx

the half-length of the individual lines for the plot method,

N

the number of individual to plot,

...

further arguments.

Value

• An object of class c("plm","panelmodel"). A "plm" object has the following elements :
• coefficients
  the vector of coefficients,
• vcov
  the covariance matrix of the coefficients,
• residuals
  the vector of residuals,
• df.residual
  degrees of freedom of the residuals,
• formula
  an object of class 'pFormula' describing the model,
• model
  a data.frame of class 'pdata.frame' containing the variables used for the estimation: the response is in first position and the two indexes in the last positions,
• ercomp
  an object of class 'ercomp' providing the estimation of the components of the errors (for random effects models only),
• call
  the call,
• It has print, summary and print.summary methods.

Details

plm is a general function for the estimation of linear panel models. It supports the following estimation methods: pooled OLS (model="pooling"), fixed effects ("within"), random effects ("random"), first--differences ("fd") and between ("between"). It supports unbalanced panels and two--way effects (although not with all methods). For random effects models, 4 estimators of the transformation parameter are available : swar (Swamy and Arora), amemiya, walhus (Wallace and Hussain) and nerlove. Instrumental variables estimation is obtained using two-part formulas, the second part indicating the instrumental variables used. This can be a complete list of instrumental variables or an update of the first part. If, for example, the model is y ~ x1 + x2 + x3, with x1 and x2 endogenous and z1 and z2 external instruments, the model can be estimated with:

• formula=y~x1+x2+x3 | x3+z1+z2,
• formula=y~x1+x2+x3 | .-x1-x2+z1+z2.

Balestra and Varadharajan--Krishnakumar's or Baltagi's method is used if inst.method="bvk" or if inst.method="baltagi". The Hausman and Taylor estimator is computed if model="ht".

References

Amemiya, T. (1971) The estimation of the variances in a variance--components model, International Economic Review, 12, pp.1--13. Balestra, P. and Varadharajan--Krishnakumar, J. (1987) Full information estimations of a system of simultaneous equations with error components structure, Econometric Theory, 3, pp.223--246. 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, 2nd ed. John Wiley and Sons, Ltd. Hausman, J.A. and Taylor W.E. (1981) Panel data and unobservable individual effects, Econometrica, 49, pp.1377--1398. Nerlove, M. (1971) Further evidence on the estimation of dynamic economic relations from a time--series of cross--sections, Econometrica, 39, pp.359--382. Swamy, P.A.V.B. and Arora, S.S. (1972) The exact finite sample properties of the estimators of coefficients in the error components regression models, Econometrica, 40, pp.261--275. Wallace, T.D. and Hussain, A. (1969) The use of error components models in combining cross section with time series data, Econometrica, 37(1), pp.55--72.

Examples

data("Produc", package = "plm")
zz <- plm(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp,
          data = Produc, index = c("state","year"))
summary(zz)