# pggls: General FGLS Estimators In plm: Linear Models for Panel Data

## Description

General FGLS estimators for panel data (balanced or unbalanced)

## Usage

 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24``` ```pggls( formula, data, subset, na.action, effect = c("individual", "time"), model = c("within", "random", "pooling", "fd"), index = NULL, ... ) ## S3 method for class 'pggls' summary(object, ...) ## S3 method for class 'summary.pggls' print( x, digits = max(3, getOption("digits") - 2), width = getOption("width"), ... ) ## S3 method for class 'pggls' residuals(object, ...) ```

## Arguments

 `formula` a symbolic description of the model to be estimated, `data` a `data.frame`, `subset` see `lm()`, `na.action` see `lm()`, `effect` the effects introduced in the model, one of `"individual"` or `"time"`, `model` one of `"within"`, `"pooling"`, `"random"` or `"fd"`, `index` the indexes, see `pdata.frame()`, `...` further arguments. `object, x` an object of class `pggls`, `digits` digits, `width` the maximum length of the lines in the print output,

## Details

`pggls` is a function for the estimation of linear panel models by general feasible generalized least squares, either with or without fixed effects. General FGLS is based on a two-step estimation process: first a model is estimated by OLS (`model = "pooling"`), fixed effects (`model = "within"`) or first differences (`model = "fd"`), then its residuals are used to estimate an error covariance matrix for use in a feasible-GLS analysis. This framework allows the error covariance structure inside every group (if `effect = "individual"`, else symmetric) of observations to be fully unrestricted and is therefore robust against any type of intragroup heteroskedasticity and serial correlation. Conversely, this structure is assumed identical across groups and thus general FGLS estimation is inefficient under groupwise heteroskedasticity. Note also that this method requires estimation of T(T+1)/2 variance parameters, thus efficiency requires N >> T (if `effect = "individual"`, else the opposite). Setting `model = "random"` or `model = "pooling"`, both produce an unrestricted FGLS model as in Wooldridge, Ch. 10.5, although the former is deprecated and included only for retro–compatibility reasons. If `model = "within"` (the default) then a FEGLS (fixed effects GLS, see ibid.) is estimated; if `model = "fd"` a FDGLS (first-difference GLS).

## Value

An object of class `c("pggls","panelmodel")` containing:

 `coefficients` the vector of coefficients, `residuals` the vector of residuals, `fitted.values` the vector of fitted values, `vcov` the covariance matrix of the coefficients, `df.residual` degrees of freedom of the residuals, `model` a data.frame containing the variables used for the estimation, `call` the call, `sigma` the estimated intragroup (or cross-sectional, if `effect = "time"`) covariance of errors,

Giovanni Millo

## References

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IM:SEUN:SCHM:WOOL:99plm

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KIEF:80plm

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WOOL:02plm

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WOOL:10plm

## Examples

 ``` 1 2 3 4 5 6 7 8 9 10 11 12``` ```data("Produc", package = "plm") zz_wi <- pggls(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc, model = "within") summary(zz_wi) zz_pool <- pggls(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc, model = "pooling") summary(zz_pool) zz_fd <- pggls(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc, model = "fd") summary(zz_fd) ```

plm documentation built on March 3, 2021, 1:12 a.m.