Dear Sir,
Thanks for your reply
But still exists a trick . Basically I want to do Panel Tobit. I am using
the tobit function from the package (AER) on a panel data .
Suppose that Gasoline$lgaspcar is a 0 inflated data and I do
m1<- tobit (as.formula(paste("lgaspcar ~", rhs)), data=Gasoline)
then if I do library(lmtest)
coeftest(m1,vcovHC)
Will it take account of the heteroskedasticity and serial correlation(
within country ) of the data
Regards
Sayan Dasgupta
On Tue, Dec 8, 2009 at 8:29 PM, Millo Giovanni
<giovanni_mi...@generali.com>wrote:
> Dear Sayan,
>
> there is a vcovHC method for panel models doing the White-Arellano
> covariance matrix, which is robust vs. heteroskedasticity *and* serial
> correlation, although in a different way from that of vcovHAC. You can
> supply it to coeftest as well, just as you did. The point is in estimating
> the model as a panel model in the first place.
>
> So this should do what you need:
>
>
> data("Gasoline", package="plm")
> Gasoline$f.year=as.factor(Gasoline$year)
> library(plm)
>
> rhs <- "-1 + f.year + lincomep+lrpmg+lcarpcap"
> pm1<- plm(as.formula(paste("lgaspcar ~", rhs)), data=Gasoline,
> model="pooling")
> library(lmtest)
> coeftest(pm1, vcov=vcovHC)
>
> Please refer to the package vignette for 'plm' to check what it does
> exactly. Let me know if there are any issues.
>
> Best,
> Giovanni
>
>
>
>
> -----Original Message-----
> From: Achim Zeileis
> [mailto:achim.zeil...@wu-wien.ac.at<achim.zeil...@wu-wien.ac.at>
> ]
> Sent: Tue 08/12/2009 13.48
> To: sayan dasgupta
> Cc: r-help@R-project.org; yves.croiss...@let.ish-lyon.cnrs.fr; Millo
> Giovanni
> Subject: Re: Serial Correlation in panel data regression
>
> On Tue, 8 Dec 2009, sayan dasgupta wrote:
>
> > Dear R users,
> > I have a question here
> >
> > library(AER)
> > library(plm)
> > library(sandwich)
> > ## take the following data
> > data("Gasoline", package="plm")
> > Gasoline$f.year=as.factor(Gasoline$year)
> >
> > Now I run the following regression
> >
> > rhs <- "-1 + f.year + lincomep+lrpmg+lcarpcap"
> > m1<- lm(as.formula(paste("lgaspcar ~", rhs)), data=Gasoline)
> > ###Now I want to find the autocorrelation,heteroskedasticity adjusted
> > standard errors as a part of coeftest
> > ### Basically I would like to take care of the within country serial
> > correlaion
> >
> > ###that is I want to do
> > coeftest(m1, vcov=function(x) vcovHAC(x,order.by=...))
> >
> > Please suggest what should be the argument of order.by and whether that
> will
> > give me the desired result
>
> Currently, the default vcovHAC() method just implements the time series
> case. A generalization to panel data is not yet available.
>
> Maybe Yves and Giovanni (authors of "plm") have done something in that
> direction...
>
> sorry,
> Z
>
>
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