Hello.
Sorry, as already explained on this list this isn't a problem with the software
but with the data. Negative variance estimates may happen, most likely when the
model is misspecified: see Wooldridge, "Econometric analysis of cross-section
and panel data", p. 261.
Hence, there is no real "solution". In Stata, if I remember correctly, zeros
are (silently?) substituted for the negative values, in R we chose not to do
this, issuing an error instead: in fact, substituting zeros for individual
components amounts exactly to estimating a "pooling" model, which you can
easily do.
Best,
Giovanni
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: 65
Date: Thu, 7 Mar 2013 16:50:43 -0800 (PST)
From: Wei-han Liu <weihanliu2...@yahoo.com>
To: "r-help@r-project.org" <r-help@r-project.org>
Subject: [R] question on package plm
Message-ID:
<1362703843.84094.yahoomail...@web163805.mail.gq1.yahoo.com>
Content-Type: text/plain
Hi R users:
I am using the plm package for linear panel data analysis but encountered the
following message when I try plm function to estimate an random model with
individual effect.
data.re.ind <- plm(X.RETURN. ~ IOB + IOBS,data=E,model="random",effect =
"individual")
Error in swar(object, data, effect) : the estimated variance of the
individual effect is negative
I have tried the other estimation methods ("walhus", "amemiya", "nerlove") in
addition to method "swar" but it does not help.
I have googled for answer but I have not found the solution yet. Actually this
problem encountered by some users but still remains unsolved, I am afraid.
Would some people help in this regard?
Best regards,
Wei-han Liu
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------------- end original message -----------------
Ai sensi del D.Lgs. 196/2003 si precisa che le informazi...{{dropped:12}}
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