Hello. The row numbers correspond to the standard Istat codes for Italian
provinces, 103-version of course. I.e., 1=Torino, 2=Vercelli, ...
I am sending you a correspondence table by separate email.
Best,
Giovanni
> Hello,
>
> I'm using the spatial weights matrix of the 103 Italian provinces
> "
Hello Peter. Sorry, I was on vacation. I hope my answer is still of some
use to you.
Strictly speaking, this is not a 'plm' problem. As you guessed, you're
hitting memory limits in R. See
??memory
and more specifically
?Memory
?Memory-limits
to see whether you can increase them.
Re 'plm' f
ownid")
> ## all is well now
I hope hereby to have given you some methodological hint for a critical
overview of your data. PS the pooltest() problem is much the same, as
pooltest() needs to fit separate regressions.
Best,
Giovanni
-Messaggio originale-
Da: Liviu Andronic [mai
sample of what the
useRs may need, so thanks for the feedback. And of course thanks to Achim for
the prompt help.
Cheers
Giovanni
-Original Message-
From: Achim Zeileis [mailto:achim.zeil...@uibk.ac.at]
Sent: Thu 08/04/2010 21.21
To: ECAMF
Cc: r-help@r-project.org; yves.croiss...@univ-r
Dear Jose,
I can't see why it shouldn't, as long as the quarterly index has a natural and
recognizable ordering: this could be the only issue. Do not expect 'plm' to
cope with things like "mar-09, apr-09, ...", at least not out of the box (maybe
there is room for improvement here). All the rest
: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 he
ourse this would imply the assumption of
no individual effects whatsoever (but I am just guessing here...).
Best wishes,
Giovanni
____
Da: sayan dasgupta [mailto:kitt...@gmail.com]
Inviato: mercoledì 9 dicembre 2009 06:59
A: Millo Giovanni; Achim Zeileis; yves.croiss...@let.ish-lyon.c
Hello Cecilia,
nice hearing from you again. I must restate a couple of my old hints,
though ;^)
1) please always put the authors c/c, as we are not guaranteed to browse
through the r-help every day
2) please provide reproducible examples.
As example(pooltest) keeps working fine, as do some other
(Assuming you are on Windows) Some time ago, with R-2.9.1 on WinXP, I
had success adding the --internet2 option to the program call in the
shortcut to R on my desktop, like this:
- open the shortcut
- in the "destination" tab, which should read like: "c:\Program
files\R\R-x.x.x\bin\Rgui.exe", add "
Hello.
This is to get you started with data.frames, next time please
- read the posting guide
- see the documentation, especially the builtin "R data import/export"
manual form the help menu
## begin R examples, paste into console ##
data(mtcars) # builtin database
class(mtcars) # what it is
mtca
Dear Robert,
a different option, just to give you one more choice: you should be able
to keep the standard Xandros and install R if you don't feel like
changing the operating system. You just have to add the standard Debian
repositories. I found it easier to have R, Emacs and LaTeX working on
the s
Dear Anthony:
please please! I didn't say 'nlme' "[does] not produce sensible / accurate
results", nor did I ever mean it.
The sentence you quote is an unfortunate mistake on my part, and like most
unfortunate mistakes it first went unnoticed and then ended up in a most
visible part of the pa
Dear Ivo,
please find below some answers to your pgmm-related questions.
##
Was: Message: 70
Date: Thu, 26 Mar 2009 21:39:19 +
From: ivo...@gmail.com
Subject: [R] pgmm (Blundell-Bond) sample needed
To: r-help
Message-ID: <0016361e8962dfdfd704660c7...@google.com>
C
Dear Ivo, dear list,
(see: Message: 70
Date: Thu, 26 Mar 2009 21:39:19 +
From: ivo...@gmail.com
Subject: [R] pgmm (Blundell-Bond) sample needed)
I think I finally figured out how to replicate your supersimple GMM
example with pgmm() so as to get the very same results as Stata.
Having no other
Dear Cecilia,
just adding some examples to Stefan's post, which says everything
already. I've recently gone mad with reshaping, so I assume it is a
little tricky. Or maybe what I tell you is obvious, then just skip it.
**import**
Your files are spreadsheets, so the best way to import is to save
Dear Helen,
bootstrapped standard errors are currently not supported in 'plm'.
Cheers,
Giovanni
--
Original Message:
Date: Wed, 22 Apr 2009 23:23:26 -0700 (PDT)
From: Helen Chen <96258...@nccu.edu.tw>
Subject: [R] question of plm package
To: r-help@r-project.org
Mes
Dear Matt,
yes you have. 'plm' doesn't support multi-column time indices, but it should
happily make do with any *single* time index whose order can be recognized by
R, such as, e.g., a lexicographic ordering.
So you will probably want to paste your indices along these lines:
> year <- rep(200
ues issue.
Giovanni
-Messaggio originale-
Da: Liviu Andronic [mailto:landronim...@gmail.com]
Inviato: giovedì 4 febbraio 2010 12:32
A: r-help@r-project.org Help
Cc: yves.croiss...@let.ish-lyon.cnrs.fr; Millo Giovanni
Oggetto: plm issues: error for "within" or "random", but not
Dear Otto,
please see ?pvcm and the section on variable coefficient models here
http://www.jstatsoft.org/v27/i02/paper
Should suit your needs; else please let me know.
Best,
Giovanni
- original message -
Message: 29
Date: Wed, 3 Feb 2010 16:27:45 +0200
From: Otto K?
tto.ka...@gmail.com]
Inviato: lunedì 8 febbraio 2010 09:32
A: Millo Giovanni
Cc: r-help@r-project.org; yves.croiss...@let.ish-lyon.cnrs.fr
Oggetto: Re: [R] Package plm & heterogenous slopes
Giovanni,
Thank you for your reply. pvcm is indeed what I was looking for.
I have a follow-up quest
Dear Laura,
as Arun said it is difficult to help w/o a reproducible example. However
this is most likely to be an indexing problem, as he suggests; the
output of traceback() is far from useless here, because it shows that
the problem occurs in the data transformation step. The latter, which is
by
pe.it]
Inviato: lunedì 9 settembre 2013 15.07
A: r-help@r-project.org
Cc: Millo Giovanni
Oggetto: theta parameter - plm package
Hi all,
what indicates the parameter theta in the summary of a random effect panel
model estimated with the plm function?
example:
data("Produc", package = "
Dear Matteo,
a fixed effects (within) model does not have a single intercept: it has
N. I suggest you have another look at FE models' theory.
Some confusion often stems from Stata (misleadingly, IMHO) reporting an
"intercept" which is actually the average of the individual intercepts,
which you
Matteo,
I fully agree with David: please read the posting guide.
Anyway, the error message says it all: "the estimated variance of the
individual effect is negative". See e.g. the "basic panel" chapter (10
or 11) in Wooldridge's "Econometric Analysis of XS and Panel Data" to
understand why this m
nibene [mailto:ognibenemat...@hotmail.it]
Inviato: venerdì 4 gennaio 2013 20.08
A: Millo Giovanni; r-help@r-project.org
Oggetto: RE: [R] plm random effect: the estimated variance of the individual
effect is negative
Thanks Giovanni,
but I already tried with the others "random.method" and it doe
Hello.
Another thing you may want to do depends on whether you are using
model="within" (the default) or model="random".
In the first case, pvcm() estimates separate regressions, so you just
need to loop lm() on individual indices to spot where it fails.
In the second case, what you may want to
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
.
You are welcome to experiment on this yourself! I'll be glad if you keep me
posted.
Cheers,
Giovanni
-Messaggio originale-
Da: Simon Zehnder [mailto:szehn...@uni-bonn.de]
Inviato: giovedì 7 marzo 2013 13.12
A: Millo Giovanni
Cc: r-help@r-project.org help
Oggetto: Re: [R] Count fun
Hello.
Here are my comments: your email would make for such a nice bug report,
if only you would add:
- a reproducible example of the fail in phtest()
- a reproducible example of your code, if it's yours, and also the
source of the code, if on the contrary you found it somewhere; because
as it is,
Dear Guylaine,
this has nothing to do with either 'plm' or logs. The error message says it
all: "fin d'entrée inattendu(e)". Somehow, you're inputting '+' twice in the R
console, so the formula is syntactically invalid. Moreover, you assign the
forula through '<' instead of '<-' so that this b
Hello.
Well said Joshua. May I add that in an "OLS" context (which i take as
also meaning: no panel structure) what you probably want to do is the
so-called Durbin-Wu-Hausman test for endogeneity, as explained e.g.
here:
http://kurt.schmidheiny.name/teaching/iv2up.pdf
see Section 11 for the idea,
Liebe Gloria,
the error says it all: you have a singular covariance matrix (the
vcov(q) term in the Hausman test); this is not invertible and therefore
the test fails.
As for the reasons, this might be either a bug or perhaps an
ill-conditioned problem: it is impossible for me to tell without a
r
Dear Katharina,
if I get it right, you just want to assess the significance of
'lag(numfull_FCRlong,1)'. For this purpose, you can simply look at the relevant
t-statistic in the model summary. BTW, the latter is the square root of the
(F-version of the) Wald test for the restriction you are in
Dear Katie,
the code looks all right. On a standard example, everything works fine, e.g.:
# example(plm)
# coefs<-names(coef(zz))
# lht(zz, coefs)
# lht(zz, coefs, vcov=vcovHC) # "arellano" is the default HC method anyway
As the error message says, your case is somehow ill-conditioned and the vc
Dear Thomas,
I cannot really answer because this is not a reproducible example; but your
traceback() output already gives a hint: try changing the random.method to
something different from default. In fact, as the singular matrix problem
happens during estimation of variance components, using
: r-help@r-project.org
Cc: Millo Giovanni
Oggetto: resdiuals of random model estimated by plm function
Hi all,
I have estimated a random panel model using plm function.
I have a question about the vector of resduals obtained with the object
$residuals.
example:
data("Produc", package = &quo
Dear Chanita,
impossible to tell without a reproducible example. You do not even
include your Stata call.
Assuming you meant 'ivreg2' w/o "t", there are four rows of possible
arguments to it in the help page, but I don't seem to find any switch
for random effects. Are you sure you are not compari
Hello.
Not an easy question at all, and it has little to do with software,
alas!
Veery loosely speaking: if the homogeneity hypothesis is rejected,
then, depending on data availability, you may still be able to treat the
data like a panel by:
a) ignoring the results of the poolability test
b
Dear Danice,
as far as I know, three-way panels are not considered in the
econometrics literature (two dimensions make things complicated enough
already). They are also not implemented in plm.
You might find support for more elaborate nesting structures in the nlme
and lme4 packages. Yet, as the
Dear Salaam,
if I ever get you right (and I'm not sure I do), you are confusing the
residuals with the fixed effects. What you **would** probably be
computing, if you used square brackets like in
>
0.59081533*ADOP[21]+0.04263590*PE[22]-0.03717528*WOR[22]+2.6
6677[22]
(and amended
Dear Felipe,
maybe the data (which I can't see through the digest) do not have
variability, maybe something else.
Try sending me the data.frame, I'll see what happens.
Giovanni
--
Message: 72
Date: Thu, 16 Sep 2010 11:49:19 -0500
From: Luis Felipe Parra
To: r-help@r-
f serial correlation is a dynamic FE panel, as the Nickell bias is of
order 1/T and so might well be negligible in your case.
Anyway, thanks for motivating me: I thought we'd provided robust covariances
all over the place, but there was one direction left ;^)
Giovanni
-Messaggio orig
7;m
wrong.
Best,
Giovanni
-Messaggio originale-
Da: Millo Giovanni
Inviato: mercoledì 13 ottobre 2010 14:16
A: 'Achim Zeileis'; Max Brown
Cc: r-h...@stat.math.ethz.ch; yves.croiss...@univ-reunion.fr
Oggetto: R: [R] robust standard errors for panel data
Hello.
In principle Achim
16
To: max.e.br...@gmail.com
Cc: r-h...@stat.math.ethz.ch; yves.croiss...@univ-reunion.fr; Millo Giovanni
Subject: Re: [R] fitted from plm
On Wed, 20 Oct 2010, max.e.br...@gmail.com wrote:
> Hi,
>
> I am estimating a (fixed-effects) model with plm, for which I would like
> to get the fitted value
have individual and time indices in the first two cols.,
respectively).
HTH,
Giovanni
PS if you'd prefer us to stack residuals "in a funny way", just ask ;^)
-Messaggio originale-
Da: max.e.br...@gmail.com [mailto:max.e.br...@gmail.com]
Inviato: giovedì 21 ottobre 2010 16:22
A:
Hello Jude.
Please find my remarks below, with '##'
Da: Jude Ryan [mailto:jr...@marketsharepartners.com]
Inviato: giovedì 18 novembre 2010 23:52
A: R-help@r-project.org
Cc: yves.croiss...@univ-reunion.fr; Millo Giovanni
Oggetto: how do I build
ial correlation.
This is implemented in 'plm' as vcovSCC(). Please see the function's
documentation for references.
Best,
Giovanni
-Original Message-
From: Achim Zeileis [mailto:achim.zeil...@uibk.ac.at]
Sent: Sat 1/22/2011 4:11 PM
To: Dirk Heine
Cc: r-help@r-project.or
Dear useR,
although I admit that getting the log likelihood is important, you must
concede that obtaining the parameter estimates is not bad either.
Regarding "craze", well there are crazier things in the world than this,
just look at the political situation in Italy.
Anyway, the loglik has alway
Dear Carlos,
please refrain from posting the same question umpteen times. Please
consider that code is hard to read and people might not have the time to
run your simulation etc. etc..
As I told you privately in response to your message on 18/1,
> Re: generating correlated effects, I tried this
plm will be more welcome.
thanks for your all works for useR.
Millo Giovanni wrote:
>
> Dear useR,
>
> although I admit that getting the log likelihood is important, you
must
> concede that obtaining the parameter estimates is not bad either.
> Regarding "craze", well the
Dear Hao-pang,
it is impossible to really tell the problem without a reproducible
example. Just guessing: this looks like you have too many regressors.
In GMM, lags of variables are used as instruments, so you might have
more regressors than observations. Try reducing the 'lag' argument
(which, b
Dear Liviu,
we're still working on measures of fit for panels. If I get you right,
what you mean is the R^2 of the demeaned, or "within", regression. A
quick and dirty function to do this is:
pmodel.response<-plm:::pmodel.response.plm # needs this to make the
method accessible
r2<-function(x, ad
Dear Limin,
might be just about anything. Could you please provide a reproducible
example?
Best,
Giovanni
- Original message --
Message: 51
Date: Mon, 17 May 2010 10:36:03 +0800 (CST)
From: ???
To: r-help@r-project.org
Subject: [R] pgmm function
Message-ID:
Dear Ivo,
thanks a lot for the good words, and sorry for not answering before: I
was in fact looking into a related issue, reported by Liviu.
Summarizing,
- fixed effects estimation in plm is actually done on demeaned data, as
customary in the econometric literature (see any textbook, e.g. Balt
Dear Arne,
the inclusion of weights in the (mainly-GLS-related-) procedures in
'plm' is not obvious: at least, it is not to me. Maybe you might apply
the weights to the data before using them in estimation, which I have
done in the past, although it was then meant to reflect stratification,
not at
Dear David,
short answer: no. Although an MA(4) correlation structure makes perfect
sense in an econometric panel model, the treatment of (relatively) rich
covariance structures in a likelihood framework is done so well in the
'nlme' and 'lme4' packages that we decided not to duplicate
functionali
id Kennedy [mailto:david@ihug.co.nz]
Inviato: lunedì 28 febbraio 2011 03:29
A: Millo Giovanni
Cc: R-help@r-project.org; 'Yves Croissant'
Oggetto: RE: [R] Adjusting for autocorrelation in a panel model
Dear Millo
Thank you for the prompt and honest answer.
Please accept m
Dear list, dear Cecilia and Daniel,
sorry for coming in ten days late, I've been very busy lately so I came
across this email only today.
This is just to make some points clearer re: fixed effects and r2 in
package 'plm', to both you and the list. In particular, to make you
aware of some addition
Hello.
I just installed R 2.14.0 and then did
> install.packages("splm", repos="http://R-Forge.R-project.org";)
in order to replicate your problem.
It worked "almost" fine. The only problem I had was with some missing
packages: being a fresh install, all suggested and required packages had
to b
Hello Manuel.
Yes please, would you send me the data to reproduce the example? Else I
cannot tell, although this error is typical of undefined logs (zero or
negative argument).
Two general observations, for now:
- inserting special characters like '*' in variable names is looking for
trouble
- a
" counterpart is
lme() from 'nlme'.
Best,
Giovanni
-Messaggio originale-
Da: Millo Giovanni
Inviato: martedì 22 novembre 2011 13.14
A: 'steiner-man...@web.de'
Cc: r-help@r-project.org
Oggetto: [R] Problems using log() in a plm() regression.
Hello Manuel.
Yes please
Hello David.
Usually I'd ask for a reproducible example (see the posting guide), but
as I routinely check my results against Stata, this time I think I know
what happens already.
There are two issues here: one is cluster-robust covariance estimation,
which in Stata is done through 'vce(cluster )'
Hello.
Such a procedure is not implemented in 'plm' but you can probably get
around to do what you want. One possible way (my preferred one) is to
demean the data by both dimensions as you would do for a two-way FE
model, and then estimate a random parameters model on the demeaned data.
This would
Dear Ieva,
plm(.., model="within") (which is the default for plm()) estimates a
within model on time-demeaned data, which is "equivalent" to using the
LSDV estimator. Therefore any time-constant dummy variable you add "by
hand" will be discarded because of perfect collinearity.
What kind of dummi
Dear John,
interesting. There must be a bottleneck somewhere, which possibly went
unnoticed because econometricians seldom use so many data points. In
fact 'plm' wasn't designed to handle "only" 700 Megs of data at a time;
but we're happy to investigate in this direction too. E.g., I was aware
of
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 mi
output of Sys.info) although I'd be
surprised if this were system dependent!
You might also update the package to the last version if it isn't yet, although
I can't remember bugs in this function since a very long time.
Thx for feedback
Best,
G.
Dear Philipp,
this is just a tentative answer because debugging is really not possible
without a reproducible example (or, at a very bare minimum, the output
from traceback()).
Anyway, thank you for reporting this interesting numerical issue; I'll
try to replicate some similar behaviour on a simi
Dear all,
I just went through the process of installing R on an eeePC 900 running
Linux. As a Windows useR utterly ignorant about Linux, I'd never have
done it without reading your posts and the R Wiki, so first of all:
thank you!
Next, taking up your thread from some weeks ago, I thought this c
Dear List,
I just installed R 2.6.1 (on Win2K) and I get a strange error in
functions min() and max():
> min(1:3)
Errore in .Internal(min(..., na.rm = na.rm)) :
nessuna funzione interna "min"
which, as you may have guessed, means 'no internal function "min" '. The
same happens for max().
May
areless posting as well :^)
Cheers,
Giovanni
-Messaggio originale-
Da: Prof Brian Ripley [mailto:[EMAIL PROTECTED]
Inviato: martedì 27 novembre 2007 18:54
A: Millo Giovanni
Cc: r-help@r-project.org
Oggetto: Re: [R] max() and min() functions not found
You have a rogue package loaded in
Hello Kerstin,
I had done something like this in the past but can't find it any more,
so I've put up a very raw example you might want to sophisticate upon.
The idea is that of drawing an empty high-level plot and then putting
some low-level elements (mainly bars and connecting lines) into it
ac
Dear Tanveer and Johannes,
it *is* indeed possible to estimate dynamic panels by GMM with plm. As
Johannes observes, ?pgmm is a good start. Please see also the package
vignette or its close cousin, this paper on JSS
http://www.jstatsoft.org/v27/i02, section 5.4.
Johannes, if you had problems (ass
Dear Ajay,
just to deny the implicit statement 'corporate user'='moron' surfacing
here and there in this interesting thread :^). This might be a
statistical regularity but should by no means be considered a theorem,
as there are counter-examples available. You can find people willing to
learn both
Dear Bernd,
I fully subscribe to Jim and Philipp's posts, plus a note on operating
systems, case you're a Windows user. I've got an eeePC 900, standard
Xandros Linux version, happily running R. With LaTeX-Beamer installed,
weighing less than 1 Kg and with WiFi this makes for an excellent
companion
Dear Richard,
although I am co-author of some (other) parts of 'plm', my understanding
of GMM methods is still rudimentary. Yet I have tried a quick exercise
replicating Example 18.5 in Greene's "Econometric Analysis" (5th ed.)
like this
## retrieve data from the book's site here
http://www.stern
Thomas,
may I also suggest, from the Documentation>Contributed section of CRAN,
"Econometrics in R" by Grant Farnsworth
http://cran.at.r-project.org/doc/contrib/Farnsworth-EconometricsInR.pdf
(see the chapter on Time series) and, in case you can read Italian,
"Analisi delle serie storiche con R
Dear Arne and Ott-Siim,
my personal opinion is that one single package is easiest both for the
useR who wants to keep track of the add-ins he might need and for the
maintainer(s) of the relevant Task Views. I'd prefer to have one single
micEcon as long as I know that I've to look there both for mi
Dear Albrecht,
on ESRI's site you should be able to download a shapefile with details
down to NUTS2 for the area you're interested in.
Check http://www.esri.com/data/download/basemap/how_to_download.html
out.
Please also consider posting such questions on the R-sig-Geo mailing
list (submissions t
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