plm (version 1.2-0)

pht: Hausman-Taylor Estimator for Panel Data

Description

The Hausman-Taylor estimator is an instrument variable estimator without external instruments

Usage

pht(formula, data, subset, na.action, index = NULL, ...)
## S3 method for class 'pht':
summary(object, ...)
## S3 method for class 'summary.pht':
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 "plm",

data

a data.frame,

subset

see lm,

na.action

see lm,

index

the indexes,

digits

digits,

width

the maximum length of the lines in the print output,

...

further arguments.

Value

• an object of class c("pht", "plm", "panelmodel"). A "pht" object contains the same element as plm, with a further argument called varlist which describes the typology of the variables. It has summary and print.summary methods.

Details

pht estimates the Hausman-Taylor estimator. The model is specified a two-part formula, the second part containing the exogenous variables.

References

Hausman, J.A. and Taylor W.E. (1981) Panel data and unobservable individual effects, Econometrica, 49, pp.1377--1398.

Examples

data("Wages",package="plm")
ht <- plm(lwage~wks+south+smsa+married+exp+I(exp^2)+
          bluecol+ind+union+sex+black+ed | 
          sex+black+bluecol+south+smsa+ind,
          data=Wages,model="ht",index=595)
summary(ht)