R: Variable Coefficients Models for Panel Data

pvcm {plm} | R Documentation

## Variable Coefficients Models for Panel Data

### Description

Estimators for random and fixed effects models with variable coefficients.

### Usage

    pvcm(formula, data, subset, na.action, effect = c("individual","time"),
         model = c("within","random"), index = NULL, ...)
    ## S3 method for class 'pvcm'
    summary(object, ...)
    ## S3 method for class 'summary.pvcm'
    print(x, digits = max(3, getOption("digits") -2),
        width = getOption("width"), ...)

### Arguments

`formula` | a symbolic description for the model to be estimated,
`object, x` | an object of class `"pvcm"`,
`data` | a `data.frame`,
`subset` | see `lm`,
`na.action` | see `lm`,
`effect` | the effects introduced in the model: one of `"individual"`, `"time"`,
`model` | one of `"within"`, `"random"`,
`index` | the indexes, see `pdata.frame`,
`digits` | digits,
`width` | the maximum length of the lines in the print output,
`...` | further arguments.

### Details

`pvcm` estimates variable coefficients models. Time or individual effects are introduced, respectively, if `effect="time"` or `effect="individual"` (the default value).

Coefficients are assumed to be fixed if `model="within"` and random if `model="random"`. In the first case, a different model is estimated for each individual (or time period). In the second case, the Swamy (1970) model is estimated. It is a generalized least squares model which uses the results of the previous model.

### Value

An object of class `c("pvcm","panelmodel")`, which has the following elements :

`coefficients` | the vector (or the list for fixed effects) of coefficients,
`residuals` | the vector of residuals,
`fitted.values` | the vector of fitted.values,
`vcov` | the covariance matrix of the coefficients,
`df.residual` | degrees of freedom of the residuals,
`model` | a `data.frame` containing the variables used for the estimation,
`call` | the call,
`Delta` | the estimation of the covariance matrix of the coefficients (random effect models only),
`std.error` | the standard errors for all the coefficients for each individual (within models only),

`pvcm` objects have `print`, `summary` and `print.summary` methods.

### Author(s)

Yves Croissant

### References

Swamy, P.A.V.B. (1970). Efficient Inference in a Random Coefficient Regression Model, Econometrica, 38(2), pp.311–323.

### Examples

    data("Produc", package = "plm")
    zw <- pvcm(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc, model = "within")
    zr <- pvcm(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc, model = "random")

[Package plm version 1.6-5 Index]