plm (version 0.3-1)

pggls: General FGLS Estimators

Description

General FGLS estimators for panel data (balanced or unbalanced)

Usage

pggls(formula, data, subset, na.action, effect = "individual", model = "within",
index = NULL, ...)
## S3 method for class 'pggls':
summary(object, ...)
## S3 method for class 'summary.pggls':
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 pggls,

data

a data.frame,

subset

see lm,

na.action

see lm,

effect

the effects introduced in the model, one of "individual" or "time",

model

one of "within" or "random",

index

the indexes, see plm.data,

digits

digits,

width

the maximum length of the lines in the print output,

...

further arguments.

Value

• an object of class c("pggls","panelmodel") containing :
• coefficients
  the vector 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,
• sigma
  the estimated intragroup (or cross-sectional, if effect="time") covariance of errors,

Details

pggls is a function for the estimation of linear panel models by general feasible generalized least squares, either with or without fixed effects. General FGLS is based on a two-step estimation process: first a model is estimated by OLS (random) or fixed effects (within), then its residuals are used to estimate an error covariance matrix for use in a feasible-GLS analysis. This framework allows the error covariance structure inside every group (if effect="individual", else symmetric) of observations to be fully unrestricted and is therefore robust against any type of intragroup heteroskedasticity and serial correlation. This structure, by converse, is assumed identical across groups and thus general FGLS estimation is inefficient under groupwise heteroskedasticity. Care shall also be taken that this method requires estimation of T(T+1)/2 variance parameters, thus efficiency requires N > >T (if effect="individual", else the opposite).

References

Kiefer, N. M. (1980) Estimation of Fixed Effects Models for Time Series of Cross-Sections with Arbitrary Intertemporal Covariance, Journal of Econometrics, 14, 195--202. Wooldridge J. M. (2003) Econometric Analysis of Cross Section and Panel Data, MIT Press

Examples

data("Produc", package="Ecdat")
zz <- pggls(log(gsp)~log(pcap)+log(pc)+log(emp)+unemp, data=Produc, model="random")
summary(zz)