pFtest: F Test for Individual and/or Time Effects

In ycroissant/plm: Linear Models for Panel Data

F Test for Individual and/or Time Effects

Description

Test of individual and/or time effects based on the comparison of the within and the pooling model.

Usage

pFtest(x, ...)

## S3 method for class 'formula'
pFtest(x, data, ...)

## S3 method for class 'plm'
pFtest(x, z, ...)

Arguments

x	an object of class "plm" or of class "formula",
...	further arguments.
data	a data.frame,
z	an object of class "plm",

Details

For the plm method, the argument of this function is two plm objects, the first being a within model, the second a pooling model. The effects tested are either individual, time or twoways, depending on the effects introduced in the within model.

Value

An object of class "htest".

Author(s)

Yves Croissant

See Also

plmtest() for Lagrange multiplier tests of individuals and/or time effects.

Examples

data("Grunfeld", package="plm")
gp <- plm(inv ~ value + capital, data = Grunfeld, model = "pooling")
gi <- plm(inv ~ value + capital, data = Grunfeld,
          effect = "individual", model = "within")
gt <- plm(inv ~ value + capital, data = Grunfeld,
          effect = "time", model = "within")
gd <- plm(inv ~ value + capital, data = Grunfeld,
          effect = "twoways", model = "within")
pFtest(gi, gp)
pFtest(gt, gp)
pFtest(gd, gp)
pFtest(inv ~ value + capital, data = Grunfeld, effect = "twoways")

ycroissant/plm documentation built on July 8, 2024, 3:59 a.m.