Common correlated effects estimators
res=pcce(namey,arg1, ,argn)
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 arg1, ,argn:
- 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 arg1, ,argn:
- if first input of arg1, ,argn was a 'panel data' tlist then: other input are optional and can be:
'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
'yar=namear' the name of the AR endogeneous variable in case of a dynamic panel data model that is in the database
- if first input of arg1, ,argn was an endegnous variable then either:
a time series
a real (nxk) matrix
a (kx1) 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)
'yar=namear' the name of the AR endogeneous variable in case of a dynamic panel data model
- 'cce=xxx' type of common correlated effect estimators (dynamic or static, depending on the presence of an AR part)
'meang' for the mean group (CCEMG)
'pooled' for the pooled one (CCCEP)
- 'jackkn' if the user wants a half-panel jackknife correction for CCEMG estimator with dynamic panel
- 'wvec = xxx' a vector of individual weights for the CCEP estimator (optional, default = 1/#individuals)
- 'mglag = xxx' number of lags to filter residuals case of a CCEMG dynamic panel estimation (default int(T^(1/3)))
- the string 'noprint' if the user doesn't want the to print the results of the regression
res = a tlist with
res('meth')='panel with random effects'
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('sige') = estimated variance of the 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