Library: | metrics |
See also: | panfix panhaus pandyn |
Quantlet: | panrand | |
Description: | Estimation of a static Random-Effects-Modell |
Usage: | {OUTPUT,SIGA,SIGE} = panrand(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 | |
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 |
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)
[ 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 ]= 0.93394 0.0283 32.998" [ 7,] "beta[ 2 ]= -1.0297 0.03341 -30.824" [ 8,] "constant = 0.071989 0.1086 0.663" [ 9,] "=====================================================" [10,] "R-square: 0.7766 , N = 100 , N*T = 1000 " [11,] "====================================================="
Library: | metrics |
See also: | panfix panhaus pandyn |