Questions tagged [plm]

The `plm` package for R provides functions for linear models for panel data.

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9 views

Likelihood Ratio Test on Ordered Probit Models (Panel Data) in R

I am in desperate need of help. I need to perform a likelihood ratio test on my panel data ordered response models to decide whether it's better to use the standard or the Random Effects Ordered ...
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63 views

Panel dataset with not consistent categorical variables across time - mapping

I am looking for any resources (journals papers, books, ...) which are connected with handling not consistent categorical variables across time in a panel dataset. Might you already hear about this ...
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40 views

Results of CCEMG estimator vs. random-effects estimator in the presence of cross-sectional dependence

I have balanced panel data with 12 individuals (N) and 85 time points (T). There are 6 independent variables and a dependent variable (please find below a sample of my data). ...
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10 views

Can a fixed effect panel regression model still have endogeneity e.g. from time-variant error in the explanatory variable?

When you formulate a fixed effects panel regression model for observed data using the within estimator in R package plm, can there still be endogeneity present if there is error in the explanatory ...
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31 views

Data structure issue with plm: multiple observations with the same year-country pair

I am trying to run fixed effects and random effects regressions on data which is not pure panel data but rather independent cross-sections over several years. In addition, the yearly cross-sections ...
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1answer
56 views

Understanding fixef() output of fixed effects coefficients

I have a panel data set with several ID's and each has a certain number of year observations. When I fit a fixed effects ...
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63 views

Panel Data Regression, ADF Stationarity Test in R

I am conducting a fixed effects regression with balanced quarterly paneldata. plm(MOD.WITHIN, data=pdata, model = "within", effect= "individual")...
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1answer
171 views

Finding intercept term in fixed effects model [closed]

I am using the plm() function in R with a fixed effects model: ...
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1answer
73 views

Fixed effects model with dummy variables [closed]

I have to set up a regression analysis of panel data with a dummy variable (1 or 0) and fixed effects (for example time). Could someone help me how to do this in R? For now, I have set the dataset as ...
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1answer
49 views

Panel regression without predictors in R

I want to run a plm regression model without predictors (i.e. a regression model on the intercept). When I run a fixed effects model (...
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0answers
31 views

Can't seem to replicate the Hausman test statistic without the phtest() function in R

I am trying to replicate the results of a Hausman test (random vs. fixed effects) in R without the function phtest. This works just fine with the help of the ...
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129 views

In R, Fixed effects regression model drops time invariant variables, is random effects model equally good instead?

I have unbalanced panel data and want to fit a regression model with the degree of internationalization of a firm as dependent variable, measured in the ratio to foreign sales to total sales (fsts). ...
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53 views

Retrieve random effects from an instrumented RE model

I am writing my term paper and I feel a demand to retrieve the individual effects from a Random Effects Instrumented Model (due to the usage of lags of regressors as the instruments, the panel is ...
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2answers
145 views

Baltagi Table 8.1 Replication with plm

I saw this previous post from 2017 that talks about the same table but only focuses on OLS. I'm also working on replicating Table 8.1 in Baltagi's Economic Analysis of Panel data book. I can ...
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1answer
201 views

R: difference in interpreting estimates of plm and LSDV model?

What is the difference in the estimates of plm and least squares dummy variable (LSDV) models? And how does the interpretation of the variables differ in general? Imagine the following ...
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36 views

R: Panel unit root test with unbalanced data due to late entry into the sample

I would like to conduct a panel unit root test on the price constituents of the Dow Jones Industrial Index, which is composed of 30 stocks. The index spans 20 years, and stocks drop out of the index ...
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88 views

Interpreting results of panel granger test

I ran the Panel Granger Causality test from the plm package and I'm unsure how to interpret the results. I don't know what "Ztilde" represents, and I'm not sure if the p-value represents the ...
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1answer
159 views

Aliased coefficients in panelgranger with just one variable

I'm running the pgrangertest package from plm, and getting the following error: ...
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1answer
962 views

R question: plm "empty model" error - how to correct panel data?

After days of searching for an answer to my problem, reading guide documents, questions and answers here and elsewhere, I decided to ask this community. I am new to R (and R Studio), coming from ...
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1answer
99 views

plm function in R: Order of input for index changes results when model = within?

I am only slightly familiar with the plm() function in R, and I get this odd phenomenon. When my input is this: ...
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17 views

How to choose the within factor in Fixed effect model

I am doing a fixed effect model to research on support’s effect on reducing number of injured employees. I have a dataset on company level from 2012-2020: year average age total salary total number ...
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51 views

What variables to include in fixed effect model (Panel data)

I am doing a fixed effect model to research on support’s effect on reducing number of injured employees. I have a dataset on company level from 2012-2020: year average age total salary total number ...
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83 views

What are the standard panel data model selections and steps?

I have got a panel data in R ...
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57 views

plm/splm in R - fixed effects panel models with time invariant variables

I amestimating the following model for crime rate: tot_crime <- log_rt_crime ~ ndvi + log_disad_inde + log_density where ndvi ...
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25 views

Which $R^2$ plm outputs?

We have three kinds of $R^2$ when considering panel regression (overall, within and between). Programs like stata return all 3 r-squared whereas plm in R returns only one. My question is : For sure ...
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1answer
923 views

How to interpret pFtest?

Let's consider documentation of pFtest : https://www.rdocumentation.org/packages/plm/versions/2.2-5/topics/pFtest. I don't know where can I find desciption of this test - where can I find $H_0$, $H_1$....
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128 views

Panel Data in R - Can I implement a plm regression with categorical data?

I am working (In R) on a panel modelling of an econometric problem. I have : one dependent variable : Y with values in real positive numbers two explanatory variables : VAR_1 (real positive), VAR_2 (...
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965 views

R plm cluster robust standard errors with multiple imputations

I am looking for a way to implement (country) clustered standard errors on a panel regression with individual fixed effects. That is, in plm() I want to define some ...
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3answers
354 views

When to use instrumental variables in a panel regression R

I'm doing panel regression analysis using plm package. I would like to know if there is a way to understand when it's necessary to use instrumental variables. Are ...
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141 views

Dealing with plm for panel regression models

I'm dealing with panel data to study how macroeconomics indicators influence life insurance market with R-studio, but I'm not very familiar with panel regression, in particular with diagnostic tests ...
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1answer
917 views

Random Effects Results in R (plm) Cannot Replicate Results in Stata

I have been working on migrating a current project from Stata to R, where I have encountered difficulties with differing results of random effects regressions. I have panel data from an experiment ...
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59 views

Robustness checks for fixed effects model

So I'm estimating a fixed effects model using plm that looks at the effects of immigrants on house prices in different districts over several years. And I was ...
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1answer
171 views

Is it possible to extract fixed effects from the general FGLS fixed effects model? [closed]

When I use pggls commmand for general FGLS estimators for panel data from R package plm model, ...
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0answers
199 views

Interpretation of Individual Effects with Inlcusion of Year Dummies in Fixed Effects Regression for Unbalanced Panels

I work on my research in finance and I am running an unbalanced panel fixed effects regression. My dataset consists of 101 units (bonds) for which I have daily observations of their ask yield since ...
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1answer
1k views

Three way fixed effects vs combining two of the effects

I have panel data on employment that varies by year, sector and location and thus would like to run a fixed effects regression considering these 3 dimensions. The issue is that I use R and the ...
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1answer
447 views

3 plm-package (R) questions [closed]

I am currently trying to perform my panel data analysis with R using the package 'plm'. This has resulted in 3 questions for me: (1) Since the panel analysis with 'plm' is still a linear regression, ...
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1answer
28 views

How to obtain a distribution of the unobserved time-invariant fixed effects in a fixed-effects regression?

I am running a fixed-effects unbalanced panel regression using the plm package: ...
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2answers
2k views

plm in fixed effects model doesn't work with id and time

I am writing currently my thesis and I am stuck with a problem. I am trying to figure out how firm level, country level and industry level variables influence corporate social responsibility. I want ...
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1answer
1k views

Replicating results from R pglm (binomial fixed effects model)

Edit: I have updated this question with the solution below: I am trying to understand how pglm estimates fixed effects models for binomial dependent variables by replicating the same model with the ...
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1answer
470 views

Instrumental variable totally changed the endogenous variables's coefficient

I have a set of panel data and I am adding one instrumental variable to the panel regression. The coefficient for the endogenous variable is -3.8% (p<0.0001) with R^2=20% but after adding the IV ...
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184 views

why do lm() and plm() give different Std. errors when combined with vcovHC? And other doubts [closed]

I'm attending an introduction course to econometrics and I have to solve some empirical exercises with r, but I have some doubts. These two formula compute the same coefficients, the same std. Errors ...
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0answers
140 views

Choosing a panel regression model in R

I am trying to work out how to use panel regression in R and am not sure on whether to use FE, RE, pooling or between models Hello, I am new to panel regression and trying to get my head around it. ...
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1answer
47 views

Within panel estimator - how to perform standard error adjustment?

I am fitting a within panel model via glm in R and I am trying to understand standard error adjustment as in plm package (to account for loss of degrees of freedom via demeaning): Consider the ...
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1answer
3k views

r plm time and individual fixed effects - "twoways" vs. factor(index) time

I have an unbalanced panel with weekly data and want to do a panel regression with both, individual and time fixed effects. Following the code in https://www.princeton.edu/~otorres/Panel101R.pdf my ...
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0answers
587 views

Hausman test showing different results between R and Stata

I ran a Hausman test to compare random and fixed effects regression for a panel dataset in both R and Stata and found that the two are showing different results. The troubling thing is that the Stata ...
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0answers
541 views

Why does pglm give different results thans log-plm?

I'm looking to regress a fixed-effects model on count data. My initial approach was to take the log of regressor on R's plm package. Then I found out about the pglm package, which enables general ...
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1answer
325 views

weighted IV estimation by plm

I apply plm package to do fixed effects IV regression but find something which I couldn't understand. Theoretically, if we only have one endogenous variable and one IV, the IV estimator should be ...
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2answers
4k views

R: GMM Estimators in a dynamic panel [closed]

I put up a fixed effects regression using panel data with a time lag of the dependant variable, so somthing like this: ...
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1answer
2k views

Understanding whether to use two-way effects [duplicate]

Using plmtest, I find that individual effects are significant (p: 7.327e-05); time effects are not significant (p: 0.1263); and two-way effects are significant (p: 0.0001197). Based on these results,...