pht: Hausman-Taylor Estimator for Panel Data

Description Usage Arguments Details Value Author(s) References Examples

View source: R/deprecated.R

Description

The Hausman–Taylor estimator is an instrumental variable estimator without external instruments.

Usage

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pht(formula, data, subset, na.action, model = c("ht", "am", "bms"), index = NULL, ...)
## S3 method for class 'pht'
summary(object, ...)
## S3 method for class 'summary.pht'
print(x, digits = max(3, getOption("digits") - 2),
     width = getOption("width"), subset = NULL, ...)

Arguments

formula

a symbolic description for the model to be estimated,

object,x

an object of class "plm",

data

a data.frame,

subset

see lm for "plm", a character or numeric vector indicating a subset of the table of coefficient to be printed for "print.summary.plm",

na.action

see lm,

model

one of "ht" for Hausman–Taylor, "am" for Amemiya–MaCurdy and "bms" for Breusch–Mizon–Schmidt,

index

the indexes,

digits

digits,

width

the maximum length of the lines in the print output,

...

further arguments.

Details

pht estimates panels models using the Hausman–Taylor estimator, Amemiya–MaCurdy estimator, or Breusch–Mizon–Schmidt estimator, depending on the argument model. The model is specified as a two–part formula, the second part containing the exogenous variables.

Value

An object of class c("pht", "plm", "panelmodel").

A "pht" object contains the same elements as plm, with a further argument called varlist which describes the typology of the variables. It has summary and print.summary methods.

Author(s)

Yves Croissant

References

Amemiya, T. and MaCurdy, T.E. (1986) Instrumental–variable estimation of an error components model, Econometrica, 54(4), pp. 869–880.

Baltagi, Badi H. (2013) Econometric Analysis of Panel Data, 5th ed., John Wiley and Sons.

Breusch, T.S., Mizon, G.E. and Schmidt, P. (1989) Efficient estimation using panel data, Econometrica, 57(3), pp. 695–700.

Hausman, J.A. and Taylor W.E. (1981) Panel data and unobservable individual effects, Econometrica, 49(6), pp. 1377–1398.

Examples

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# replicates Baltagi (2005, 2013), table 7.4
data("Wages", package = "plm")
ht <- pht(lwage ~ wks + south + smsa + married + exp + I(exp^2) +
          bluecol + ind + union + sex + black + ed | 
          sex + black + bluecol + south + smsa + ind,
          data = Wages, model = "ht", index = 595)
summary(ht)

Example output

Loading required package: Formula
Oneway (individual) effect Hausman-Taylor Model
Call:
pht(formula = lwage ~ wks + south + smsa + married + exp + I(exp^2) + 
    bluecol + ind + union + sex + black + ed | sex + black + 
    bluecol + south + smsa + ind, data = Wages, model = "ht", 
    index = 595)

T.V. exo  : bluecol, south, smsa, ind
T.V. endo : wks, married, exp, I(exp^2), union
T.I. exo  : sex, black
T.I. endo : ed

Balanced Panel: n=595, T=7, N=4165

Effects:
                  var std.dev share
idiosyncratic 0.02304 0.15180 0.025
individual    0.88699 0.94180 0.975
theta:  0.9392  

Residuals :
      Min.    1st Qu.     Median    3rd Qu.       Max. 
-1.9193535 -0.0707404  0.0065708  0.0796568  2.0250882 

Coefficients :
               Estimate  Std. Error t-value  Pr(>|t|)    
(Intercept)  2.9127e+00  2.8365e-01 10.2687 < 2.2e-16 ***
wks          8.3740e-04  5.9973e-04  1.3963   0.16263    
southyes     7.4398e-03  3.1955e-02  0.2328   0.81590    
smsayes     -4.1833e-02  1.8958e-02 -2.2066   0.02734 *  
marriedyes  -2.9851e-02  1.8980e-02 -1.5728   0.11578    
exp          1.1313e-01  2.4710e-03 45.7851 < 2.2e-16 ***
I(exp^2)    -4.1886e-04  5.4598e-05 -7.6718 1.696e-14 ***
bluecolyes  -2.0705e-02  1.3781e-02 -1.5024   0.13299    
ind          1.3604e-02  1.5237e-02  0.8928   0.37196    
unionyes     3.2771e-02  1.4908e-02  2.1982   0.02794 *  
sexfemale   -1.3092e-01  1.2666e-01 -1.0337   0.30129    
blackyes    -2.8575e-01  1.5570e-01 -1.8352   0.06647 .  
ed           1.3794e-01  2.1248e-02  6.4919 8.474e-11 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Total Sum of Squares:    886.9
Residual Sum of Squares: 95.947
F-statistic: 2852.33 on 12 and 4152 DF, p-value: < 2.22e-16

plm documentation built on Nov. 17, 2017, 4:18 a.m.