Library: | panel |
See also: | panrand panhaus pandyn |
Quantlet: | panfix | |
Description: | estimation of a static Fixed-Effects-Model |
Usage: | {output,siga,sige} = panfix(z,m{,T}) | |
Input: | ||
z | NT x (k+2) matrix, data set ordered by individuals (i), 1st column: index of individuals 2nd column: dependent variable 3rd, ..., k-th column: explanatory variables (without constant!) | |
m | scalar, number of explanatory variables which are correlated with the fixed effects, the remaining variables are assumed to be uncorrelated with the individual effects (= mixed specification) | |
T | optional scalar, number of time periods for a BALANCED dataset; IMPORTANT: There is no column for the index of individuals! (for a data set with the same T for all individuals = BALANCED PANEL) | |
Output: | ||
output | string of output table | |
siga | scalar, variance estimate of individual effects | |
sige | scalar, variance estimate of the remaining error |
library("panel") z=read("earnings") z1 = z[,1:2]~log(z[,3])~z[,4]~(z[,4]^2) {output,siga,sige}=panfix(z1,2) output
[ 1,] "=====================================================" [ 2,] "Fixed-Effect Model: y(i,t)=x(i,t)'beta+ a(i) + e(i,t)" [ 3,] "=====================================================" [ 4,] "PARAMETERS Estimate robust SE t-value" [ 5,] "=====================================================" [ 6,] "beta[ 1 ]= 0.085408 0.01362 6.271" [ 7,] "beta[ 2 ]= -0.00038595 0.000245 -1.575" [ 8,] "CONSTANT = 6.4021 0.1929 33.185" [ 9,] "=====================================================" [10,] "Var. of a(i): 0.48222 e(i,t): 0.015594" [11,] "AR(1)-test p-val: 0.0066 R2(without): 0.0037" [12,] "F(no eff.) p-val: 0.0000 R2(with eff): 0.9050" [13,] "LM(siga=0) p-val: 0.0000 Log-Like: -2080.423" [14,] "====================================================="