Description Usage Arguments Value Author(s) References See Also Examples
This function enables the estimation of the variance components of a panel model.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 | ercomp(object, ...)
## S3 method for class 'plm'
ercomp(object, ...)
## S3 method for class 'pdata.frame'
ercomp(
object,
effect = c("individual", "time", "twoways", "nested"),
method = NULL,
models = NULL,
dfcor = NULL,
index = NULL,
...
)
## S3 method for class 'formula'
ercomp(
object,
data,
effect = c("individual", "time", "twoways", "nested"),
method = NULL,
models = NULL,
dfcor = NULL,
index = NULL,
...
)
## S3 method for class 'ercomp'
print(x, digits = max(3, getOption("digits") - 3), ...)
|
object |
a |
... |
further arguments. |
effect |
the effects introduced in the model, see |
method |
method of estimation for the variance components, see
|
models |
the models used to estimate the variance components (an alternative to the previous argument), |
dfcor |
a numeric vector of length 2 indicating which degree of freedom should be used, |
index |
the indexes, |
data |
a |
x |
an |
digits |
digits, |
An object of class "ercomp"
: a list containing
sigma2
a named numeric with estimates of the variance
components,
theta
contains the parameter(s) used for
the transformation of the variables: For a one-way model, a
numeric corresponding to the selected effect (individual or
time); for a two-ways model a list of length 3 with the
parameters. In case of a balanced model, the numeric has length
1 while for an unbalanced model, the numerics' length equal the
number of observations.
Yves Croissant
AMEM:71plm
\insertRefNERLO:71plm
\insertRefSWAM:AROR:72plm
\insertRefWALL:HUSS:69plm
plm()
where the estimates of the variance components are
used if a random effects model is estimated
1 2 3 4 5 6 7 8 9 10 11 12 | data("Produc", package = "plm")
# an example of the formula method
ercomp(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc,
method = "walhus", effect = "time")
# same with the plm method
z <- plm(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp,
data = Produc, random.method = "walhus",
effect = "time", model = "random")
ercomp(z)
# a two-ways model
ercomp(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc,
method = "amemiya", effect = "twoways")
|
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