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pbetween

between Estimation for Panel Data

CALLING SEQUENCE

res=pbetween(namey,arg1,...,argn)

PARAMETERS

Input

* namey = a real (n x 1) 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)

* arg1=

  - 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

* arg2,...,argn=

  - 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 endogenous variable then either:

     .  a time series

     .  a real (n x k) matrix

     .  a (k x 1) 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)

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

 

Output

* res = a results tlist with:

  - res('meth') ='panel between'

  - 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('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

DESCRIPTION

Performs Between Estimation for Panel Data (for balanced or unbalanced data). High level function that applies to panel database as well as to to various data types (ts, vectors, matrices,...).

EXAMPLE

load(GROCERDIR+'\data\judgepanel.dat') ; r2 = pbetween('y',judgepanel);
//Provides between panel estimation on Judge et alii example.

AUTHOR

Eric Dubois 2005

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