| Library: | panel |
| See also: | panfix panhaus pandyn |
| Quantlet: | panrand | |
| Description: | estimation of a static Random-Effects-Model |
| Usage: | output = panrand(z,siga,sige,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 ... column: explanatory variables (without constant!) | |
| siga | scalar, variance estimate of individual effects | |
| sige | scalar, variance estimate of the remaining error | |
| m | scalar, number of explanatory variables which are treated as correlated with the fixed effects, the remaining variables are assumed to be uncorrelated with the individual effects (= mixed specification) | |
| T | scalar, number of time periods for a BALANCED data set IMPORTANT: There has to be no column for the index of individuals! (for a data set with the same T for all individuals = BALANCED PANEL) | |
| Output: | ||
| output | string with output table | |
library("panel")
z=read("earnings")
z1 = z[,1:2]~log(z[,3])~z[,4]~(z[,4]^2)
{output,siga,sige}=panfix(z1,2)
panrand(z1,siga,sige,0)
Contents of output [ 1,] "=====================================================" [ 2,] "Random-Effect Model: y(i,t)=x(i,t)'beta+ a(i) +e(i,t)" [ 3,] "=====================================================" [ 4,] "PARAMETERS Estimate SE t-value" [ 5,] "=====================================================" [ 6,] "beta[ 1 ]= 0.070265 0.01067 6.587" [ 7,] "beta[ 2 ]= -0.00036881 0.0002076 -1.777" [ 8,] "constant = 6.7578 0.1515 44.619" [ 9,] "=====================================================" [10,] "R-square: 0.9946 , N = 100 , N*T = 500 " [11,] "====================================================="