Library: | metrics |
See also: | panrand panhaus pandyn |
Macro: | 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 |
library("metrics") z=read("earnings") z1 = z[,1:2]~log(z[,3])~z[,4]~(z[,4]^2) {output,siga,sige}=panfix(z1,2) output
[ 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 |