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: panrand panhaus pandyn

Quantlet: panfix
Description: Estimation of a static Fixed-Effects-Modell

Usage: {OUTPUT,SIGA,SIGE} = panfix(Z,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
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
SIGA variance estimate of individual effects
SIGE variance estimate of the remaining error

Example:

library("metrics")

z=read("earnings")

z1 = z[,1:2]~log(z[,3])~z[,4]~(z[,4]^2)

{output,siga,sige}=panfix(z1,2)

output

Result:



[ 1,] "====================================================="

[ 2,] "Fixed-Effect Model: y(i,t)=x(i,t)'beta+ a(i) + e(i,t)"

[ 3,] "====================================================="

[ 4,] "PARAMETERS        Estimate     robust SE      t-value"

[ 5,] "====================================================="

[ 6,] "beta[ 1 ]=        0.085408       0.01362        6.271"

[ 7,] "beta[ 2 ]=     -0.00038595      0.000245       -1.575"

[ 8,] "CONSTANT =          6.4021        0.1929       33.185"

[ 9,] "====================================================="

[10,] "Var. of a(i):      0.48222       e(i,t):     0.015594"

[11,] "AR(1)-test   p-val: 0.9967       Autocorr.:    0.1628"

[12,] "F(no eff.)   p-val: 0.0000       R-square:     0.9050"

[13,] "LM(siga=0)   p-val: 0.0000       Log-Like:   1097.879"

[14,] "====================================================="


Library: metrics
See also: panrand 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, 000525
(C) MD*TECH Method and Data Technologies, 21.9.2000