summary.panelAR: Summary method for fitted objects of class '"panelAR"' In panelAR: Estimation of Linear AR(1) Panel Data Models with Cross-Sectional Heteroskedasticity and/or Correlation

Description

summary method for class "panelAR".

Usage

 1 2 3 4 5 6 ## S3 method for class 'panelAR' summary(object, ...) ## S3 method for class 'summary.panelAR' print(x,digits = max(3, getOption("digits") - 3), signif.stars = getOption("show.signif.stars"),...) 

Arguments

 object an object of class "panelAR". x an object of class "summary.panelAR". digits integer. the number of significant digits to use when printing. signif.stars logical. If TRUE, ‘significance stars’ are printed for each coefficient. ... further arguments passed to or from other methods.

Value

The function summary.panelAR returns a list of summary statistics from the fitted model in object. The list contains the following components:

 call the matched call. terms the terms object used. coefficients the named vector of coefficients. residuals the residuals. aliased named logical vector designating if original coefficients are aliased. df vector of the form (k,N-k,k^*), where k is the rank of the model matrix, N-k gives the residual degrees of freedom, and k^* is the number of total coefficients. rho autocorrelation parameters. Scalar if "ar1" option was used, vector of length N_p (number of panels) if "psar1" option was used, and NULL if "none" option was used. Sigma N_p \times N_p matrix of estimated panel covariances. r2 R^2 based on quasi-differenced data from the Prais-Winsten regression. Set to NULL if PWLS or Parks-Kmenta procedures are used. wald results of Wald test. vcov estimated variance-covariance matrix of coefficients. na.action information passed on from obj about the handling of NAs. panelStructure a list of several objects which contain information on the panel structure of the data. See details below.

Contents of panelStructure:

 N number of observations. N.panel number of panels. N.time number of times. balanced logical indicating whether panels are balanced. N.min minimum number of observations per panel. N.max maximum number of observations per panel. N.avg average number of observations per panel. N.per.panel named vector giving number of observations per panel.

Author(s)

Konstantin Kashin [email protected]

The function panelAR. Function coef will extract the table of coefficients, standard errors, t-statistics, and p-values.
  1 2 3 4 5 6 7 8 9 10 11 data(WhittenWilliams) # expect warning urging to use 'complete.case=FALSE' out <- panelAR(milex_gdp~lag_milex_gdp+GOV_rl+gthreat+GOV_min+GOV_npty+election_yr+ lag_real_GDP_gr+cinclag+lag_alliance+lag_cinc_ratio+lag_us_change_milex_gdp, data=WhittenWilliams, panelVar="ccode", timeVar="year", autoCorr="psar1", panelCorrMethod="pcse", complete.case=TRUE) summary(out) summary(out)$rho # psar1 coefficients summary(out)$Sigma # panel covariances summary(out)\$wald # results of Wald test