plm2lm: Transform plm to lm object

In eliascis/clubTamal: Clustered covariance matrix for panel data estimations

Description

plm2lm, converts the a plm object to an lm object. The information saved in a plm object is used to obtain an transformed dataset (e.g. time-demeaned or first differences) in order to restimate an OLS model with lm.

Usage

plm2lm(estimate, reestimate = T)

Arguments

estimate	an object of class "plm".
reestimate	logical, if TRUE the panel data model is reestimated with a linear regression (lm).

Details

estimate - The plm object estimated by one of the methods within, fd. reestimate - If FALSE, an error displays - A conversion without reestimation is currently not implmented.

Value

A matrix containing the covariance matrix estimate

Note

Reestimation of results leads to an increase in processing requairemets.

Author(s)

Elías Cisneros <[e-mail]>

Examples

##packages
library(foreign)
library(clubTamal)
library(lmtest)
library(plm)
library(clubSandwich)
library(spd4testing)
library(multiwayvcov)

##data
d<-spd4testing()
d

##formula
f<- formula(y ~ x + factor(year))

##standard estimation
e<-plm(formula=f,data=d,model="fd")
summary(e)
## Not run: 
  # e<-plm(formula=f,data=d,model="within")
  # summary(e)

## End(Not run)

##clustering
#no clustering
v<-e$vcov
coeftest(e)
#clustering at id level with plm-package
v<-vcovHC(e,type="HC1",cluster="group",tol=1*10^-20 )
coeftest(e,v)

##clustering at group level with clubSandwich-package
##only for Fixed Effects regressions
v<-vcovCR(e,d$gid,type="CR1")
coef_test(e,vcov=v,test="naive-t")
coeftest(e,v)

##clustering at group level with clubTamal
v<-vcovTamal(estimate=e,data=d,groupvar="gid")
coeftest(e,v)

##clustering with clubTamal but without using the multivcov package
## Not run: 
v<-vcovTamal(estimate=e,data=d,groupvar="gid",byhand=T)
coeftest(e,v)

## End(Not run)

##clustering at group level with STATA (TM)
#export data
tdir<-tempdir()
write.csv(d,file.path(tdir,"spd.csv"))
#write stata file
sink(file.path(tdir,"clusterStata.do"))
cat(paste0('insheet using "',file.path("spd.csv"),'", clear'))
cat("\n")
cat('xtset id year')
cat("\n")
cat('xtreg y x i.year, fe')
cat("\n")
cat('xtreg y x i.year, fe vce(cluster gid)')
cat("\n")
cat('reg d.y d.x i.year')
cat("\n")
cat('reg d.y d.x i.year, vce(cluster gid)')
sink()
## RUN Stata file

eliascis/clubTamal documentation built on May 17, 2019, 2:07 p.m.