Thank you Millo. I was a little confused by the random versus pooling nomenclature used in PLM, thank you for clearing that up. I still have the issue of not receiving the proper coefficient estimates for the example in the paper though. My output is posted below; the estimates are substantially different from the ones posted on page 20. My R version is 2.14.2.
library(plm) > data("EmplUK", package="plm") > zz <- pggls(log(emp)~log(wage)+log(capital),data=EmplUK, model="random") Warning message: 'random' argument to pggls() has been renamed as 'pooling' > summary(zz) Random effects model Call: pggls(formula = log(emp) ~ log(wage) + log(capital), data = EmplUK, model = "random") Unbalanced Panel: n=140, T=7-9, N=1031 Residuals Min. 1st Qu. Median Mean 3rd Qu. Max. -1.80700 -0.36550 0.06181 0.03230 0.44280 1.58700 Coefficients Estimate Std. Error z-value Pr(>|z|) (Intercept) 2.023480 0.158468 12.7690 < 2.2e-16 *** log(wage) -0.232329 0.048001 -4.8401 1.298e-06 *** log(capital) 0.610484 0.017434 35.0174 < 2.2e-16 *** --- Signif. codes: 0 *** 0.001 ** 0.01 * 0.05 . 0.1 1 Total Sum of Squares: 1853.6 Residual Sum of Squares: 402.55 Multiple R-squared: 0.78283 2012/4/27 Millo Giovanni <giovanni_mi...@generali.com> > Hello. No "strange behaviour" here, just a warning. > > There is a difference between an "error" and a "warning", and between an > argument and a model. In this specific case, the warning is just there > to remind you that, as stated, 'the "random" **argument** has been > renamed to "pooling" ' (emphasis mine). > > Both still work, but the former is deprecated. The estimator you get is > the same (a GGLS, or "Parks estimator"), everything works the way it > should and you can trust the numbers that come out, provided the > specification is clear to you and it is what you wanted (which for > instance is not entirely clear from your email). > > The model underlying the General Feasible GLS estimator (GGLS) does not > really have "random effects"; therefore, after having initially named > the model without FEs "random" by contrast to the Fixed Effects GLS a la > Kiefer (1980), we later considered the denomination as inappropriate and > changed it to "pooling" which in effect it is: a pooled model with no > proper individual effects but a general error covariance structure. You > can get a better understanding of the specification if you read the > cited reference carefully (or even better, Wooldridge as referenced > therein). > > Lastly, it is not clear what you mean by "the right estimates": the > numbers I get by using either 'model="pooling"' or ' model="random"' on > the given example are exactly those in the JSS paper. If on your system > you get anything else, I'll be grateful for a reproducible report, as > asked for in the posting guide. > > PS if by chance you are just mistaking "General Feasible GLS" with > "Random Effects by GLS", then you should use 'plm(yourformula, yourdata, > model="random")' instead, and you'll get the standard RE model. > > Best wishes, > Giovanni > > Giovanni Millo, PhD > Research Dept., > Assicurazioni Generali SpA > Via Machiavelli 4, > 34132 Trieste (Italy) > tel. +39 040 671184 > fax +39 040 671160 > > --------------- original message --------------- > > Message: 18 > Date: Thu, 26 Apr 2012 14:07:16 +0200 > From: Ruben de Bliek <rubendebl...@gmail.com> > To: r-help@r-project.org > Subject: [R] PLM package PGGLS strange behavior > Message-ID: > > <CAMjFNLVpiDsSVemYf=ctx2fzljqekhoobnctc8fc2csrgkx...@mail.gmail.com> > Content-Type: text/plain > > When using the PLM package (version 1.2-8), I encounter the probem that > calling the FGLS estimator evokes strange behavior, when choosing the > "random" effects model. After calling the PGGLS function to estimate > FGLS, > PLM gives me a warning, stating that the "random" model has been > replaced > with the "pooling" model. I would, however, really like to estimate the > random model instead. For me, the problem is reproducable using one of > the > examples from the PLM Jstatsoft article "Panel Data Econometrics in R: > The > plm package" (pp.19-20): > > data("EmplUK", package="plm") > zz <- pggls(log(emp)~log(wage)+log(capital),data=EmplUK, model="random") > summary(zz) > > Which for me results in the following warning: > > WARNING: Warning: 'random' argument to pggls() has been renamed as > 'pooling' > > It then proceeds with estimating a pooled model. I've checked if PLM by > any > chance does produce the right coefficient estimates, but the numbers do > not > add up when compared to the estimates in the article. This problem > perists > for any dataset I use. Any thoughts? > > ------------------ 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. > [[alternative HTML version deleted]]
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