plm (version 2.6-4)

ercomp: Estimation of the error components

Description

This function enables the estimation of the variance components of a panel model.

Usage

ercomp(object, ...)
# S3 method for plm
ercomp(object, ...)
# S3 method for pdata.frame
ercomp(
  object,
  effect = c("individual", "time", "twoways", "nested"),
  method = NULL,
  models = NULL,
  dfcor = NULL,
  index = NULL,
  ...
)
# S3 method for formula
ercomp(
  object,
  data,
  effect = c("individual", "time", "twoways", "nested"),
  method = NULL,
  models = NULL,
  dfcor = NULL,
  index = NULL,
  ...
)
# S3 method for ercomp
print(x, digits = max(3, getOption("digits") - 3), ...)

Value

An object of class "ercomp": a list containing

• sigma2 a named numeric with estimates of the variance components,

• theta contains the parameter(s) used for the transformation of the variables: For a one-way model, a numeric corresponding to the selected effect (individual or time); for a two-ways model a list of length 3 with the parameters. In case of a balanced model, the numeric has length 1 while for an unbalanced model, the numerics' length equal the number of observations.

Arguments

object

a formula or a plm object,

...

further arguments.

effect

the effects introduced in the model, see plm() for details,

method

method of estimation for the variance components, see plm() for details,

models

the models used to estimate the variance components (an alternative to the previous argument),

dfcor

a numeric vector of length 2 indicating which degree of freedom should be used,

index

the indexes,

data

a data.frame,

x

an ercomp object,

digits

digits,

Author

Yves Croissant

References

AMEM:71plm

NERLO:71plm

SWAM:AROR:72plm

WALL:HUSS:69plm

See Also

plm() where the estimates of the variance components are used if a random effects model is estimated

Examples

data("Produc", package = "plm")
# an example of the formula method
ercomp(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc,
       method = "walhus", effect = "time")
# same with the plm method
z <- plm(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp,
         data = Produc, random.method = "walhus",
         effect = "time", model = "random")
ercomp(z)
# a two-ways model
ercomp(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc,
       method = "amemiya", effect = "twoways")