ivpanel (version 1.0)

ivpanel-package: Instrumental Panel Data Models

Description

Fit the instrumental panel data models: the fixed effect model, between model and the random effect model.

Details

Package:

ivpanel

Type:

Package

Version:

1.0

Date:

2015-02-08

License:

GPL-3

In this package, we apply the instrumental variables two stage estimation to the fixed effects, random effects and between models.

References

Amemiyia T. (1971), The estimation of the variances in a variance--components model, International Economic Review, 12, pp.1--13. Baltagi B.H. (1981), Simultaneous equations with error components, Journal of econometrics, 17, pp.21--49. Baltagi B.H. (2001), Econometric Analysis of Panel Data. John Wiley and sons. ltd.

Examples

# Create data
pib<-as.matrix(c(12,3,4,0.4,0.7,5,0.7,0.3,0.6,89,7,8,45,7,4,5,0.5,5),nrows=18,ncols=1)
 tir<-as.matrix(c(12,0.3,4,0.4,7,12,3.0,6.0,45,7.0,0.8,44,65,23,4,6,76,9),nrows=18,ncols=1)
 inf<-as.matrix(c(1.2,3.6,44,1.4,0.78,54,0.34,0.66,12,0.7,8.0,12,65,43,5,76,65,8),nrows=18,ncols=1)
 npl<-as.matrix(c(0.2,3.8,14,2.4,1.7,43,0.2,0.5,23,7.8,88,36,65,3,44,65,7,34),nrows=18,ncols=1)
 #create a data frame 
 mdata<-data.frame(p=pib,t=tir,int=inf,np=npl)
 #fit the fixed function  
 fx<-ivpan(t~p+int|p+np,mdata,n=6,t=3,model="fe")
 summary(fx)
 #fit the between function  
 be<-ivpan(t~p+int|p+np,mdata,n=6,t=3,model="be")
 summary(be)
 # fit the random function
 ran<-ivpan(t~p+int|p+np,mdata,n=6,t=3,model="re")
 summary(ran)