On Nov 27, 2009, at 12:04 PM, Owen Powell wrote:
Hi David,
Thank you for the response.
I forgot to mention that I'd already tried what (I think) you propose
(adding ".form" to the end of the "lag", "log" and "diff") and I still
see the same results (posted below). Specifically, I still see no
lags, logs or diffs in my model.
Any other ideas?
~Owen
R> rm(list = ls())
R> options(prompt= "R> ")
R> library("plm")
R> data("EmplUK", package="plm")
R> EmplUK <- plm.data(EmplUK, index = c("firm", "year"))
R> log(emp)~lag(log(emp),1)+lag(log(emp),2)+lag(log(wage),
2)+lag(log(wage),3)+diff(capital,2)+diff(capital,3)
log(emp) ~ lag(log(emp), 1) + lag(log(emp), 2) + lag(log(wage),
2) + lag(log(wage), 3) + diff(capital, 2) + diff(capital,
3)
R> a = dynformula(emp~wage
+
capital
,log
.form
=
list
(capital
=
FALSE
,TRUE),lag.form=list(emp=2,c(2,3)),diff.form=list(FALSE,capital=TRUE))
R> grun.fe <- plm(formula = a,data=EmplUK,model="within")
[1] 1031 2
If I instead use the results of dynformula in plm as copied as a
string from the output, I get what appears to be more what one might
expect:
> grun.fe <- plm(log(emp) ~ lag(log(emp), 1) + lag(log(emp), 2) +
lag(log(emp),
+ 1) + lag(log(emp), 2) + lag(log(wage), 2) + lag(log(wage),
+ 3) + diff(capital, 2) + diff(capital, 3) ,data=EmplUK)
> grun.fe
Model Formula: log(emp) ~ lag(log(emp), 1) + lag(log(emp), 2) +
lag(log(emp),
1) + lag(log(emp), 2) + lag(log(wage), 2) + lag(log(wage),
3) + diff(capital, 2) + diff(capital, 3)
Coefficients:
lag(log(emp), 1) lag(log(emp), 2) lag(log(wage), 2) lag(log(wage),
3) diff(capital, 2)
0.8678675 -0.1936447 -0.1632724
0.3200785 0.0037612
diff(capital, 3)
0.0137866
It certainly appears that the function plm is not decoding its
arguments as do most regression functions. Perhaps you should take up
your concerns for this non-standard behavior up with the package
authors?
--
David.
R> summary(grun.fe)
Oneway (individual) effect Within Model
Call:
plm(formula = a, data = EmplUK, model = "within")
Unbalanced Panel: n=140, T=7-9, N=1031
Residuals :
Min. 1st Qu. Median 3rd Qu. Max.
-17.1000 -0.3060 0.0137 0.3070 27.3000
Coefficients :
Estimate Std. Error t-value Pr(>|t|)
wage -0.143626 0.032790 -4.3802 1.186e-05 ***
capital 0.801495 0.064088 12.5062 < 2.2e-16 ***
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Total Sum of Squares: 5030.6
Residual Sum of Squares: 4207.8
F-statistic: 86.9179 on 2 and 889 DF, p-value: < 2.22e-16
2009/11/27 David Winsemius <dwinsem...@comcast.net>
On Nov 27, 2009, at 10:25 AM, Owen Powell wrote:
Hello list,
I'm following the paper (http://www.jstatsoft.org/v27/i02/paper) on
how to use "plm" to run panel regressions, and am having trouble
with
what I believe should be something very basic.
When I run the command (p.9 in the paper):
R>
dynformula(emp~wage
+
capital
,log
=
list
(capital
=FALSE,TRUE),lag=list(emp=2,c(2,3)),diff=list(FALSE,capital=TRUE))
Perhaps you could have read the help page for the current version
of the package which says the argument have been modified. Using
the current arguments:
dynformula(emp~wage
+
capital
,log
.form
=
list
(capital
=
FALSE
,TRUE
),lag.form=list(emp=2,c(2,3)),diff.form=list(FALSE,capital=TRUE))
log(emp) ~ lag(log(emp), 1) + lag(log(emp), 2) + lag(log(emp),
1) + lag(log(emp), 2) + lag(log(wage), 2) + lag(log(wage),
3) + diff(capital, 2) + diff(capital, 3)
--
David Winsemius, MD
I see:
emp ~ wage + capital
rather than the complete model that is given in the paper:
log(emp) ~ lag(log(emp), 1) + lag(log(emp), 2) + lag(log(wage), 2) +
lag(log(wage), 3) + diff(capital, 2) + diff(capital, 3)
And indeed, when I try to run a regression using that formula, it
appears to not contain any lags or logs (output below).
Any ideas? Thanks in advance,
~Owen
--
Owen Powell
http://center.uvt.nl/phd_stud/powell
R> library("plm")
R> data("EmplUK", package="plm")
R> a =
dynformula(emp~wage
+
capital
,log
=
list
(capital
=FALSE,TRUE),lag=list(emp=2,c(2,3)),diff=list(FALSE,capital=TRUE))
snipped
David Winsemius, MD
Heritage Laboratories
West Hartford, CT
--
Owen Powell
http://center.uvt.nl/phd_stud/powell
David Winsemius, MD
Heritage Laboratories
West Hartford, CT
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