Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: metrics
See also: panfix panhaus pandyn

Macro: panrand
Description: Estimation of a static Random-Effects-Modell

Usage: output = panrand(Z,siga,sige,m {,T} )
Input:
Z Dataset ordered by Individuals (i) 1st column: Index of Individuals 2nd column: Dependent variable 3rd ... column: Explanatory variables (without const!) (NT x k+2) Matrix
siga variance estimate of individual effects
sige variance estimate of the remaining error
m The first m explanatory variables are treated as corre- lated with the fixed effects, the remaining variables are assumed to be uncorrelated with the individual effects (= mixed specification)
T Number of time periods for a BALANCED Dataset IMPORTANT: No column for the Index of Individuals! (Optional, only for a Dataset with the same T for all Individuals = BALANCED PANEL)
Output:
output String of output table

Example:
library("metrics")
z=read("earnings")
z1 = z[,1:2]~log(z[,3])~z[,4]~(z[,4]^2)
{output,siga,sige}=panfix(z1,2)
panrand(z1,siga,sige,0)                  
Result:

Contents of output
[ 1,] "====================================================="
[ 2,] "Random-Effect Model: y(i,t)=x(i,t)'beta+ a(i) +e(i,t)"
[ 3,] "====================================================="
[ 4,] "PARAMETERS        Estimate        SE          t-value"
[ 5,] "====================================================="
[ 6,] "beta[ 1 ]=        0.070265       0.01067        6.587"
[ 7,] "beta[ 2 ]=     -0.00036881     0.0002076       -1.777"
[ 8,] "constant =          6.7578        0.1515       44.619"
[ 9,] "====================================================="
[10,] "R-square:  0.9973 ,    N =    100 ,   N*T =      500 "
[11,] "====================================================="

Library: metrics
See also: panfix panhaus pandyn

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Joerg Breitung, 990324
(C) MD*TECH Method and Data Technologies, 17.8.2000