| ercomp {plm} | R Documentation |
This function enables the estimation of the variance components of a panel model.
ercomp(object, ...)
## S3 method for class 'formula'
ercomp(object, data, effect = c("individual", "time", "twoways"),
method = c("swar", "walhus", "amemiya", "nerlove"),
index = NULL, ...)
## S3 method for class 'plm'
ercomp(object, ...)
## S3 method for class 'ercomp'
print(x, digits= max(3, getOption("digits") - 3), ...)
object |
a |
data |
a |
method |
method of estimation for the variance components,
see |
effect |
the effects introduced in the model, see
|
index |
the indexes, |
x |
a |
digits |
digits, |
... |
further arguments. |
An object of class "ercomp": a list containing a list called sigma2 which contains the estimates of the variance components, and theta which is the parameters used for the transformation of the variables.
Yves Croissant
Amemiya, T. (1971) The estimation of the variances in a variance–components model, International Economic Review, 12, pp.1–13.
Nerlove, M. (1971) Further evidence on the estimation of dynamic economic relations from a time–series of cross–sections, Econometrica, 39, pp.359–382.
Swamy, P.A.V.B. and Arora, S.S. (1972) The exact finite sample properties of the estimators of coefficients in the error components regression models, Econometrica, 40, pp.261–275.
Wallace, T.D. and Hussain, A. (1969) The use of error components models in combining cross section with time series data, Econometrica, 37(1), pp.55–72.
plm where the estimates of the variance components are used if a random effects model is estimated
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")