Dear Matteo, as I stated in my previous email, if the random effects variance is set to zero then they are identically zero (as mean=0, sd=0) hence you just need to use 'plm(<...> , model="pooling")'. Best, Giovanni
-----Messaggio originale----- Da: matteo ognibene [mailto:ognibenemat...@hotmail.it] Inviato: venerdì 4 gennaio 2013 20.08 A: Millo Giovanni; r-help@r-project.org Oggetto: RE: [R] plm random effect: the estimated variance of the individual effect is negative Thanks Giovanni, but I already tried with the others "random.method" and it doesn't work anyway. Do you think is it possible change the if statement in the plm formula, to set the value to 0 if sigma<0 ? Because if I insert a dummy variabile in the formula R gives me this error: > Error in if (sigma2$id < 0) stop(paste("the estimated variance of > the", : > missing value where TRUE/FALSE needed Thanks Matteo Ognibene ---------------------------------------- > Subject: Re: [R] plm random effect: the estimated variance of the > individual effect is negative > Date: Fri, 4 Jan 2013 16:26:01 +0100 > From: giovanni_mi...@generali.com > To: ognibenemat...@hotmail.it > CC: r-help@r-project.org > > Matteo, > > I fully agree with David: please read the posting guide. > > Anyway, the error message says it all: "the estimated variance of the > individual effect is negative". See e.g. the "basic panel" chapter (10 > or 11) in Wooldridge's "Econometric Analysis of XS and Panel Data" to > understand why this may happen. > > Stata's behaviour is (as far as I remember) to transparently > substitute it with 0; 'plm's is to let the estimation fail, issuing a > warning. You can try a different 'random.method' which may, or might > not, solve the problem, depending on your data. > > Hint: a random effects model with sigma_mu=0 is a pooling model. > > HTH > > Giovanni Millo, PhD > Research Dept., > Assicurazioni Generali SpA > Via Machiavelli 3, > 34132 Trieste (Italy) > tel. +39 040 671184 > fax +39 040 671160 > > ------------ original message ------------------ > > Message: 49 > Date: Thu, 3 Jan 2013 13:23:07 -0800 > From: David Winsemius <dwinsem...@comcast.net> > To: matteo ognibene <ognibenemat...@hotmail.it> > Cc: "r-help@r-project.org" <r-help@r-project.org> > Subject: Re: [R] plm random effect: the estimated variance of the > individual effect is negative > Message-ID: <d32fdc11-38ae-4aaf-9270-30c791232...@comcast.net> > Content-Type: text/plain; charset=US-ASCII; format=flowed; delsp=yes > > > On Jan 3, 2013, at 8:19 AM, matteo ognibene wrote: > > > > > Hi,R 2.15.2 plm() function on Windows 7 I have a problem with the > > variance estimation in a random effect model I used this formula to > > get my result, and it works:reg <- deltaF ~ L1.deltaF + L2.deltaF + > > deltaCDS + L1.deltaCDS + L2.deltaCDS + L3.deltaCDS + deltaUS_Yields > > + deltaZ + L1.deltaZ + L2.deltaZfixed > > <- plm(reg, data=Mody_R, na.action = na.exclude, > > index=c("country_id", "datestata"), model="random") but when i split > > my dataframe into several groups it gives me this error:"Error in > > swar(object, data, effect) : the estimated variance of the > > individual effect is negative" > > The code i used to split the dataframe is:SplitMody <- split(Mody_R, > > Mody_R$period)SplitFixed <- lapply(SplitMody, function(Mody_R) > > plm(reg, data=Mody_R, na.action = na.exclude, index=c("country_id", > > "datestata"), model="random")) I want to point the all the code > > works perfectly in a within model, and I tried using all the > > random.method for the variance estimation.In addition I used the > > same model in Stata and it works... (the results are identical for a > > within model in R and Stata) I'll be really gratefull if someone can > > help me. > > Thanks,Matteo > > > [[alternative HTML version deleted]] > > Head up; matteo: This is pretty much unreadable (due to the failure to > follow the recommended posting procedure.) > > -- > David Winsemius, MD > Alameda, CA, USA > > > > --------------- end original message --------------- > > > Ai sensi del D.Lgs. 196/2003 si precisa che le informazioni contenute in > questo messaggio sono riservate ed a uso esclusivo del destinatario. Qualora > il messaggio in parola Le fosse pervenuto per errore, La invitiamo ad > eliminarlo senza copiarlo e a non inoltrarlo a terzi, dandocene gentilmente > comunicazione. Grazie. > > Pursuant to Legislative Decree No. 196/2003, you are hereby informed that > this message contains confidential information intended only for the use of > the addressee. If you are not the addressee, and have received this message > by mistake, please delete it and immediately notify us. You may not copy or > disseminate this message to anyone. Thank you. ______________________________________________ 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.
