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]
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
Ai sensi del D.Lgs. 196/2003 si precisa che le informazi...{{dropped:15}}
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