Hi Max. You're welcome.
Re your question below, the input order is not always preserved: observations
are always reordered by (individual, time) internally, so that the output you
get is ordered accordingly. Most of the time, this is also the order you'd
input them, but this is not necessarily so.
Therefore if you do as Achim said, taking both y and residuals from the
'panelmodel' object, you are safe; while if you take residuals from there, y
form the original data then you are exposed to the risk that the original data
be ordered differently.
Here a quick illustration on the venerable Grunfeld data (some output
suppressed, some comments added):
##################################################
> library(plm)
> data(Grunfeld)
> head(Grunfeld) # original data: ordered as stacked time series
firm year inv value capital
1 1 1935 317.6 3078.5 2.8
2 1 1936 391.8 4661.7 52.6
3 1 1937 410.6 5387.1 156.9
4 1 1938 257.7 2792.2 209.2
5 1 1939 330.8 4313.2 203.4
6 1 1940 461.2 4643.9 207.2
>
> fm<-inv~value+capital
> remod<-plm(fm, Grunfeld, model="random")
> head(residuals(remod))
1 2 3 4 5 6
44.97404 -69.97550 -162.94693 -47.09013 -139.18021 -46.25567
> head(remod$model[[1]]) # this is 'y' (='inv')
1 2 3 4 5 6
317.6 391.8 410.6 257.7 330.8 461.2
> head(remod$model[[2]]) # this is 'X[,1]' (='value')
1 2 3 4 5 6
3078.5 4661.7 5387.1 2792.2 4313.2 4643.9
>
> ## reorder as stacked cross-sections
> Grun2<-Grunfeld[order(Grunfeld$year, Grunfeld$firm),]
>
> head(Grun2)
firm year inv value capital
1 1 1935 317.60 3078.5 2.8
21 2 1935 209.90 1362.4 53.8
41 3 1935 33.10 1170.6 97.8
61 4 1935 40.29 417.5 10.5
81 5 1935 39.68 157.7 183.2
101 6 1935 20.36 197.0 6.5
>
> remod<-plm(fm, Grun2, model="random")
> head(residuals(remod))
1 2 3 4 5 6
44.97404 -69.97550 -162.94693 -47.09013 -139.18021 -46.25567
> head(remod$model[[1]])
1 2 3 4 5 6
317.6 391.8 410.6 257.7 330.8 461.2
>
> ## output maintains standard order!
>
> ## reorder as completely random
> Grun3<-Grunfeld[order(runif(dim(Grunfeld)[[1]])),]
>
> head(Grun3)
firm year inv value capital
27 2 1941 472.80 2380.50 261.40
2 1 1936 391.80 4661.70 52.60
184 10 1938 1.99 58.72 4.56
106 6 1940 28.54 298.00 52.50
79 4 1953 174.93 1001.50 346.10
194 10 1948 5.66 68.00 5.38
>
> remod<-plm(fm, Grun3, model="random")
> head(residuals(remod))
1 2 3 4 5 6
44.97404 -69.97550 -162.94693 -47.09013 -139.18021 -46.25567
> head(remod$model[[1]])
1 2 3 4 5 6
317.6 391.8 410.6 257.7 330.8 461.2
>
> ## same as above
#############################################
Take heed, of course, of the 'index' argument to the model (you don't need it
only if data have individual and time indices in the first two cols.,
respectively).
HTH,
Giovanni
PS if you'd prefer us to stack residuals "in a funny way", just ask ;^)
-----Messaggio originale-----
Da: max.e.br...@gmail.com [mailto:max.e.br...@gmail.com]
Inviato: giovedì 21 ottobre 2010 16:22
A: Millo Giovanni
Cc: Achim Zeileis; r-h...@stat.math.ethz.ch
Oggetto: Re: fitted from plm
Thanks Giovanni and Achim.
Just to confirm - the order of observations in residuals(mymodel) is exactly
the same as in the dataframe that I pass to plm, so that I can extract the
fitted values for an individual by calculating
yhat = y - residuals(mymodel)
as you describe, and then pick out individuals by comparing my yhat vector with
my y vector in the dataframe, right? (The residuals aren't stacked in a funny
way?)
Thanks.
Max
Ai sensi del D.Lgs. 196/2003 si precisa che le informazi...{{dropped:13}}
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
