phaussman Panel equation regressions ppooled1

Grocer >> Panel equation regressions > ppooled

ppooled

Pooled estimation for panel data

CALLING SEQUENCE

PARAMETERS

Input

• namey = a real (Nx1) vector or a string equal to the name of a time series or a (Nx1) real vector between quotes (this last case is the only one authorized if you are using a 'panel data' tlist, see below)

• first input of varargin:

 - either a 'panel data' tlist (generally imported from a .csv database by function impexc2bd)

 - or an endogenous variable taking the form of a time series, a real (Nx1) vector or a string equal to the name of a time series or a (Nx1) real vector between quotes

• other input of varargin:

 - if first input of varargin was a 'panel data' tlist then other input are optional and can be:

    * either 'x=name1;…;namep' where name1,…,namep are a subset of the names of the variables that are in the database

    * the string 'nameid=name1,…, namen' where name1,… are names of individuals present in the database

 - if first input of varargin was an endegnous variable then

  * either a time series

  * a real (TxN) matrix

  * a (Nx1) string vector of names of time series, vectors or matrices

  * the string 'id=v' where v is the vector of individuals attached to the y and x data (this argument must be present somewhere in the list of variables arguments)

  * or the string 'noprint' if the user doesn't want to print the results of the regression

  - 'hac=ccm' for  "clustered" covariance matrix of Arellano (1987) (detailed references are available in the Grocer manual) recommended when T is fixed and N large

• (but "works" also when T is large and N fixed, see Hansen C. B. [2007]) or only in case of balanced panel 'hac=nw' for a Newey-west type estimator (recommended when T is large and N fixed, see Arellano (2003)).

• When using 'hac' option the string 'id=v' must be given somewhere when calling the function. It can be in the panel tlist or an argument of the function.

Output

• res = a results tlist with:

  - res('meth') ='pooled panel'

  - res('y') = y data vector

  - res('x') = x data matrix

  - res('nobs') = nobs

  - res('nvar') = nvars

  - res('beta') = bhat

  - res('yhat') = yhat

  - res('resid') = residuals

  - res('vcovar') = estimated variance-covariance matrix of beta

  - res('sigu') = sum of squared residuals

  - res('sige') = estimated variance of the residuals

  - res('ser') = standard error of the regression

  - res('tstat') = t-stats

  - res('pvalue') = pvalue of the betas

  - res('condindex') = multicolinearity cond index

  - res('prescte') = boolean indicating the presence or absence of a constant in the regression

  - res('rsqr') = rsquared

  - res('rbar') = rbar-squared

  - res('f') = F-stat for the nullity of coefficients other than the constant

  - res('pvaluef') = its significance level

  - res('gls estimation method') = the gls method used

  - res('fixed effects') = the estimation of the individual effects

  - res('prests') = boolean indicating the presence or absence of a time series in the regression

  - res('namey') = name of the y variable

  - res('namex') = name of the x variables

  - res('hac') = type of robust variance matrix in case of HAC estimation

DESCRIPTION

Performs HAC or standard pooled estimation for panel data (for balanced or unbalanced data).

EXAMPLE

load(GROCERDIR+'\macros\grocer\db\judgepanel.dat') ; 
r = ppooled('y',judgepanel);
 
// Example is taken from function panel_d. Provides fixed panel estimation on Judge et alii example.

AUTHOR

Eric Dubois 2005 and Emmanuel Michaux 2010
phaussman Panel equation regressions ppooled1