plm (version 1.5-12)

pht: Hausman-Taylor Estimator for Panel Data

Description

The Hausman-Taylor estimator is an instrumental variable estimator without external instruments.

Usage

pht(formula, data, subset, na.action, model = c("ht", "am", "bmc"), index = NULL, ...)
"summary"(object, ...)
"print"(x, digits = max(3, getOption("digits") - 2), width = getOption("width"), subset = NULL, ...)

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 for "plm", a character or numeric vector indicaing asubset of the table of coefficient to be printed for "print.summary.plm",

na.action

see lm,

model

one of "ht" for Hausman-Taylor, "am" for Amemiya-MaCurdy and "bms" for Breush-Mizon-Schmidt,

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 panels models using the Hausman-Taylor estimator. The model is specified a two-part formula, the second part containing the exogenous variables.

References

Amemiya, T. and MaCurdy, T.E. (1986) Instrumental-variable estimation of an error components model, Econometrica, 54, pp. 869--881.

Breush, T.S, Mizon, G.E. and Schmidt, P. (1989) Efficient estimation using panel data, Econometrica, 57, pp. 219--257. 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 <- pht(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)