Description Details Author(s) References Examples
Fit an Instrumental fixed effect panel data regression
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.
Zaghdoudi Taha
Zaghdoudi Taha <zedtaha@gmail.com>
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.
1 2 3 4 5 6 7 8 9 10 | #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)
|
$call
ivFixed.formula(formula = t ~ p + int | p + np, data = mdata,
n = 6, t = 3)
$coefficients
Estimate Std.Err T value Pr(>z)
(Intercept) -4.311684e-34 4.512965e-25 -9.553994e-10 1.0000000
p 1.014654e-01 4.110333e-01 2.468545e-01 0.8083674
int -1.849956e-01 8.500752e-01 -2.176226e-01 0.8306558
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