Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

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

Example:
library("panel")
z=read("earnings")
z1 = z[,1:2]~log(z[,3])~z[,4]~(z[,4]^2)
{output,siga,sige}=panfix(z1,2)
output

Result:
[ 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,] "====================================================="



Author: J. Breitung, 20000525 license MD*Tech
(C) MD*TECH Method and Data Technologies, 05.02.2006