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

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

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:



[ 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

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, 21.9.2000