ivfixed-package: Instrumental fixed effect panel data model

In ivfixed: 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.

Author(s)

Zaghdoudi Taha

Zaghdoudi Taha <[e-mail]>

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)

Example output

$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

ivfixed documentation built on May 2, 2019, 3:04 a.m.