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####### Example 1: Estimate PCSEs for a balanced dataset. #########
# Load the data.
data(agl)
# OLS Estimation for a model of growth in OECD countries
agl.lm <- lm(growth ~ lagg1 + opengdp + openex + openimp + central + leftc +
inter + as.factor(year), data=agl)
summary(agl.lm)
# Estimate Panel-Corrected Standard-Errors and summarize the results.
agl.pcse <- pcse(agl.lm, groupN=agl$country, groupT=agl$year)
summary(agl.pcse)
####### Example 2: Estimate PCSEs for an unbalanced dataset. #########
# Load the data.
data(aglUn)
# Note: this is the orignal agl dataset with 10 observations randomly deleted.
# OLS Estimation for a model of growth in OECD countries.
aglUn.lm <- lm(growth ~ lagg1 + opengdp + openex + openimp + central + leftc +
inter + as.factor(year), data=aglUn)
summary(aglUn.lm)
# Estimate Panel-Corrected Standard-Errors with Pairwise Selection
# and summarize the results.
aglUn.pcse1 <- pcse(aglUn.lm, groupN=aglUn$country, groupT=aglUn$year,
pairwise=TRUE)
summary(aglUn.pcse1)
# Estimate Panel-Corrected Standard-Errors with Casewise Selection
# and summarize the results.
aglUn.pcse2 <- pcse(aglUn.lm, groupN=aglUn$country, groupT=aglUn$year,
pairwise=FALSE)
summary(aglUn.pcse2)
# Extract Panel-Corrected Variance Covariance Matrix and provide to coeftest().
cv <- vcovPC(aglUn.lm, groupN=aglUn$country, groupT=aglUn$year)
# both calls below provide the same results.
coeftest(aglUn.lm, vcov.=cv)
coeftest(aglUn.lm, vcov.=vcovPC(aglUn.lm, aglUn$country, aglUn$year))
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