A set of estimators and tests for panel data econometrics.
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plm-package) for sake of completeness.
Changes in version 1.5-15
* punbalancedness: new function for unbalancedness measures for panel data as in Ahrens/Pincus (1981); added doc and testfile for punbalancedness. * DESCRIPTION: added URLs for package on CRAN and package on R-Forge. * model.matrix.pFormula and plm.fit: include 'assign' and 'contrasts' attributes (if any) in model fit * Vignette: summary(lme_mod)$coef$fixed -> summary(lme_mod)$coefficients$fixed to avoid partial matching of 'coef' to 'coefficients' by "$" operator. * r.squared: adjusted R squared fixed (at least for models with intercept). * model.matrix.pFormula and pmodel.response: ensured that 'data' gets reduced to the corresponding model frame if not already a model frame (now mimics stats::model.matrix in this regard); fixes corner cases with specific NA patterns when model.matrix.pFormula or pmodel.response are called directly and 'data' not being a model frame (despite being required so) [see tests/test_model.matrix_pmodel.response_NA.R]. * detect_lin_dep: new function as a little helper function to detect linear dependent columns, esp. in model matrices; incl. doc with two examples about how linear dependent columns can be induced by the within transformation. * doc pFormula.Rd extended (especially examples) and split up in two files to better accommodate different return values and input values in the documentation (new file added: man/model.frame_model.matrix.Rd).
Changes in version 1.5-14
* mylm: added commented (i.e. inactive) warning about dropped coefficients in estimation. * fitted.plm: added commented (i.e. inactive) warning in about dropped coefficients in estimated model compared to specified model.matrix. * added testfile tests/test_fitted.plm.R (some of those test currently do not run (commented, i.e. inactive)). * pmodel.response.pFormula: make sure supplied formula is a pFormula before we continue (coerce to pFormula), fixes "bugs" (rather unexpected, but documented behaviour) like: pmodel.response.pFormula(regular_formula, data = dat, model = "pooling") # Error in names(y) <- namesy : # 'names' attribute  must be the same length as the vector  * some testfiles: fixed wired encodings. * lag.pseries: modified to handle negative lags (=leading values). * lead.pseries: added function as a wrapper for lag.pseries(x, k = -1) for convenience, i.e. lag(x, k = -1) == lead(x, k = 1). * diff.pseries: prevented negative lags as input to avoid confusion. * doc for pseries functions are made available under their name, e.g. ?lag now displays helpfile for lag.pseries in the help overview (besides e.g. stats::lag). * pdim.default: make error message "duplicate couples (time-id)" printed as proper error message (removed cat() around the message in stop(), was printed as regular string on screen before). * plm.data: slight improvement for printed outputs (spelling and spacing). * indexes: fixed return value (was always NULL). * doc updates: ?pdim: added section about possible different return values for pdim(pdata.frame) and pdim(panelmodel_object); others: linkage to base functions enabled, spelling.
Changes in version 1.5-13
* fixed bug in vcovHC(..., method="white") from degenerating diag() if any group has only 1 element. * vcovG framework: reintroduced "white2" method.
Changes in version 1.5-12
* dataset Produc: added variable 'region' as 3rd column and fixed variable descriptions: 'pcap' is public capital (not private) while 'pc' is private capital (not public). * added importFrom as per CRAN check for submission.
Changes in version 1.5-11
* added RiceFarms to datasets to eliminate non-CRAN dependencies, (temporarily) removed 'pder' from suggested, uncommented (fixed) example in pdwtest.Rd.
Changes in version 1.5-9
* fixed bug in vcovG for lagged White terms (make pseudo-diagonal in E(u,v)); affected vcovNW. * documentation updates (mostly text books of Baltagi and Wooldridge to latest editions, references are also more specific now). * pbgtest: fixed/enabled type="F" (F test of lmtest::bgtest) in wrapper pbgtest() and fixed/enabled passing of argument order.by= [additional argument in lmtest::bgtest] [tests/testpbgtest.R added, docs updated and extended]. * phtest( , method="aux") [Hausman regression-based test]: fixed bug when data contains more cases than there are used in model estimation (due to NA values); avoid calc. of RE model a second time; phtest now also works with between model correctly (fixed degrees of freedom) tests/test_phtest_Hausman_regression.R added. * plm(): original row names of inputted data are preserved in plm_object$model, so functions like pmodel.response(), model.frame(), model.matrix(), residuals() return the original row.names (and thus fancy rownames if those were to be computed by pdata.frame); as.data.frame.pdata.frame(): respects row.names argument.
Changes in version 1.5-8
* introduced new phtest (Hausman test) allowing for robust vcov. * fixed bugs in pdwtest.
Changes since version 1.5-6
* pruned 'require' calls to 'lmtest', 'car', 'lattice' and substituted them with proper entries in NAMESPACE. * temporarily commented problematic examples in pbgtest and pdwtest.
Changes since version 1.5-5
* fixed bug affecting vcovG on unbalanced datasets (thx Liviu Andronic) from propagation of NAs in final by-group matrix multiplication.
Changes since version 1.5-4
* fixed testErrors.R with plm.data instead of pdata.frame.
Changes since version 1.5-3
* reintroduced plm.data eliminated by mistake.
Changes since version 1.5-1
* fixed "already a pdata.frame" bug in pcdtest.formula.
Changes since version 1.5-0
* added generic building block and high-level wrappers vcovNW and vcovDC to the namespace. * dataset Parity added to /data.
Changes since version 1.4-0
* substituted vcovHC, vcovSCC with the new framework based on vcovG and wrapper functions.
Changes since version 1.3-1
* a subset argument is added to print.summary.plm and summary.pht so that a subset of coefficients may be selected. * fixed a small problem on the printing of the typology of the variables for pht models. * the "name" of the tests is now the formula truncated so that it prints on only one line. * restrict.matrix argument added to deal with linear restrictions. * a vcov argument is added to summary.plm so that a variance matrix can be supplied. * the deviance method for panelmodel objects is now exported (12/02). * the Hausman-Taylor now supports the Amemiya-MaCurdy and the Breusch-Mizon-Schmidt version. * a small bug is fixed on the var2lev function to deal the case when there are no factors.
Changes since version 1.3-0
* an update method for panelmodel objects is provided. * the Wages example is removed from the pvar man page because it's time consuming.
Changes since version 1.2-10
* for unbalanced Hausman-Taylor model, the printing of the error components was wrong, it is now fixed. * the printing of the removed variables (cst or NA) is improved. * the pgmm function has been improved to deal correctly with holes in the cross-sections ; a collapse argument is added to limit the number of gmm instruments. * the CoefTable element of summary.pgmm objects is renamed coefficients, so that it can easily be extracted using the coef method. * the default value for robust is now TRUE in the summary.pgmm method. * a new argument lost.ts is added in pgmm to select manually the number of lost time series. * almost null columns of instruments are removed (this happens when within/between transformation is performed on between/within series. * plm now accepts three part formulas, the last part being for instruments introduced only in the within form. * the predict method for panelmodel objects is now exported. * plm now estimates systems of equations if a list of formulas is provided as the first argument.
Changes since version 1.2-9
* the pccep function, estimating CCEP models a la Pesaran, has been added together with summary and print.summary methods. The function generates objects of a class of their own ("pccep"), much like 'pggls', together with 'panelmodel'. * the pmg function, estimating MG, DMG and CCEMG models a la Pesaran, has been added together with summary and print.summary methods. The function generates objects of a class of their own ("pmg"), much like 'pggls', together with 'panelmodel'. In the future must consider possible merger with 'pvcm'. * the new cipstest function performs a second-generation CIPS test for unit roots on pseries objects. * the new (non-exported) function pmerge is used internally by cipstest to merge lags and differences of a pseries into the original pdata.frame. Will possibly be added to the user space in the future.
Changes since version 1.2-8
* an index method is added for panelmodel, pdata.frame and pseries. * a bug in the typology of the variables in pht is fixed. * a bug in vcovBK (matrices degenerating into vectors) is fixed (thx to David Hugh-Jones for bug report). * the Between function now returns a pseries object. * the resid and fitted method now return a pseries object. * the pgmm method has been rewritten; the data frame is then first balanced and NAs are then overwritten by 0s.
Changes since version 1.2-7
* a typo is corrected in the man page of plm.data. * package AER is now suggested.
Changes since version 1.2-6
* a bug in mtest for pgmm models with effect="individual" and transformation="ld" *and* for the wald test for time.dummies for model with effect="twoways" and transformation="ld" is fixed by modifying namest in gmm. * there was a bug in pgmm for models with different lags for gmm instruments. The number of time series lost is now the min (and not the max) of the first lags for gmm instruments. * some parts of summary.pgmm only worked correctly for models with time-dummies. It now deals correctly for models with 'individual' effects. * the *.rda files are now compressed. * p-values for the two-tailed versions of plmtest() were wrong and have been fixed. They were divided by 2 instead of multiplied.
Changes since version 1.2-5
* fixed error in pggls, model="within" (FEGLS). Added model="fd" (FDGLS). * changed dependency from kinship to bdsmatrix (as suggested by Terry Therneau after his reorganization of the packages). * fixed DESCRIPTION and NAMESPACE accordingly. * fixed the example in pggls.Rd.
Changes since version 1.2-4
* bug corrected in pgmm: ud <- cbind(ud, td.gmm.level) is relevant only for twoways models. * in fitted.plm, the extraction of the index is updated. * the residuals.plm method now has a model argument. * a new function r.squared. * pmodel.response.plm is modified: no explicit effect and model arguments anymore (like in model.matrix.plm).
Changes since version 1.2-3
* lag.pseries now returns relevant names for the returned factor. * pFormula is modified so that it can handle correctly Formula objects, and not only formula. * pgmm has been completely rewritten with a new 'Formula' interface. Old formula and dynformula interfaces are kept for backward compatibility but won't be maintained in the future. * subset, na.action are added to the list of arguments of pgmm and oldpgmm. * lag.pseries is now able to deal with vector arguments for lags, e.g. lag(x, c(1,3)). * suml(x) is replaced by Reduce("+", x).
Changes since version 1.2-2
* the documentation has been improved. * the pvalue for purtest(..., type = "madwu") was in error (by a factor of 2). * in formula(dynformula), a bug is fixed so that the endog variable doesn't appear on the RHS if there are no lags. * in pgmm, the extract.data has been rewritten and is *much* faster. * two new functions vcovBK and vcovSCC have been added. * a 'model' argument is added to pgmm.sys and pgmm.diff (previously, the model name was extracted from the call). * Kt is fixed to 0 in pgmm when effect="individual".
Changes since version 1.2-1
* a new purtest function to perform panel unit root tests. * [[.pdata.frame is modified so that NULL (and not an error message) is returned if an unknown column is selected.
Changes since version 1.2-0
* the as.matrix and print methods for pserie objects are now exported. * in summary.plm, the p-value is now computed using a Student distribution and not a normal one. * the lag.pserie method is modified so that it deals correctly with factors, and not only with numeric vectors. The diff.pserie method returns an error if its argument is not numeric. * the instruments-"backward compatibility" stuff in plm is simplified thanks to the new features of Formula. * 'pserie' is renamed 'pseries'. * a THANKS file is added. * the `[.pdata.frame` function is modified so that [, j] returns a pseries and not a pdata.frame when j is a single integer, and a backward compatibility feature is added for the "index" attribute.
Change since version 1-1.4
* an args argument is added to plm objects, and the internal function relies now on it (and not on the call as previously). * more attention is paid when one of the estimated components of the variance is negative (warning or error messages result). * pdata.frame objects are re-introduced. They are used to compute model.frames. Extraction from pdata.frames results in 'pserie' objects which have an index attribute. * the print method of ercomp is now exported. * the first argument of pgmm may now be a formula. A lag.form must be provided in this case. * Hausman-Taylor estimation is now performed by the pht function. For backward compatibility reasons, it is still possible to estimate this model with plm.
Changes since version 1-1.3
* a relevant error message is added when a within model is estimated with no time-varying variable. * the formula method for dynformula objects is now exported. * a misleading notation was corrected for plm.ht model. * the definition of sigma2$id for unbalanced ht model is corrected, a harmonic mean of Ti being used. * the definition of tss.default is simplified. * the fitted.values element was missing for plm objects and has been added.
Changes since version 1-1.2
* the /inst directory was missing, it has been added again.
Changes since version 1-1.1
* part of the "details" section of the fixef.plm man page is removed. * a fitted.value method is now available for plm objects. It returns the fitted values of the untransformed response. * in pdiff, a drop=FALSE is added. This omission was responsible for a bug while estimating a model like plm(inv~value-1, data = Grunfeld, model = "fd"). * the lev2var is changed so that it doesn't result in an error when the data.frame contains no factor: this was responsible for a bug in plm.ht.
Changes since version 1-1.0
* in fixef, the effect argument default is now NULL: fixef(model_with_time_effect) now works correctly. * in pFtest, the error message "the arguments should be a within and a pooling model" is removed so that two within models may be provided. * for backward compatibility reasons, the pvcovHC is reintroduced. * for backward compatibility reasons, argument test of pbsytest may be indicated in upper case. * we switched back to old names for two arguments of plm ercomp -> random.methods ivar -> inst.method -> ivar. * amemiya method is not implemented for unbalanced panels: an error message is now returned.
Changes since version 1-0.1
* the plm function has been completely rewritten. * the names of some arguments have changed (random.methods -> ercomp, inst.method -> ivar), the old names are accepted with a warning. * the instruments argument is removed, instrumental variable estimation is performed using extended formula. The instruments argument is still accepted with a warning. * the model argument of plm objects are now ordinary data.frame, and not data.frame with elements y and X. Moreover, this data.frame contains untransformed data. * the data sets which are relevant for panel data estimation that where previously in the Ecdat package are now in the plm package. * in pvcm a bug when the estimation was made on a subset is fixed. * ercomp is a stand alone function which returns the estimation of the components of the variance of the errors. * the estimation of two-ways within model is now implemented for unbalanced panels. * the fixef method is much improved, the fixed effects may be computed in levels, in deviation from the first level or in deviation from the overall mean. * in pbsytest, the arguments test are now in lowercase. * the pvcovHC function is replaced by suitable vcovHC methods for panelmodel and pgmm models.
Changes since version 1-0.0
* lag and diff methods for pseries are now exported and therefore behave correctly. * for two-ways within models with instrumental variables, K is replaced by K+1 for the computation of the overall mean matrix of the instruments. Time fixef are now computed. The error message "impossible ..." is removed. * a bug in the time random effect model is corrected. * a model.matrix method for panelmodel is provided. * models without intercept (-1 in the formula) should now be consistently estimated with plm, pggls and pvcm. * plm depends now on the Formula package which provides useful tools for formula with two parts.
Changes since version 0-3.2
* a lot of typos of the man pages have been fixed. * functions pcdtest, pcdres have been added. * for Hausman-Taylor model, the summary now prints the variables and not the effects. * the estimation of a model with only one explanatory variable using plm with method = "fd" is now working correctly.
Changes since version 0-3.1
* in plm.formula, [int.row.names] is replaced by [as.character(int.row.names)]. * the degrees of freedom for a within time effect model was wrong and has been corrected. * the arguments type and weights in pvcovHC.panelmodel are renamed method and type respectively. The default method (type in previous versions) is arellano and not white1. * honda is now the default option for plmtest.
Changes since version 0-2.2
* the coefficients method for objects of class pgmm is now exported. * a bug in the plm method of plmtest has been fixed. * in plmtest, the argument effect "id" is renamed "individual". * three testing functions are added : pbsytest (Bera, Sosa-Escudero and Yoon test), pARtest (Breusch-Godfrey test) and pDWtest (Durbin-Watson test), pwartest, pBGtest, pwtest pbltest. * plm, pvcm and pggls now have arguments "subset" and "na.action". * phtest, pFtest, plmtest now have a formula method. * a bug is fixed for the vcov of the within model. * the pdata.frame function and class is suppressed. The package now use ordinary data.frames.
Changes since version 0-2.1
* pdata.frame is much faster thanks to a modification of the pvar function. * series with only NA values or with constants values are now removed by pdata.frame. * observations are ordered by id and time by pdata.frame. * a pfix function is added to edit a pdata.frame. * a as.data.frame function is provided to coerce a pdata.frame to a data.frame. * the dependency to the Matrix package has been removed and pgmm is much faster now. * phtest has been fixed to return only positive values of the statistic. * pgmm objects now inherit from panelmodel like other estimators and print correctly. * a bug in summary.pgmm has been fixed.
Changes since version 0-1.2
* Models with only one explanatory variable resulted in a bug. This has been fixed. * Estimation methods are now available with four functions : plm, pvcm, pggls and pgmm instead of one (plm) in the previous version. * pvcm is a new function which estimates variable coefficients models. The "nopool" model is now part of it. * pggls is a new function which enables the estimation of general FGLS. * pgmm is a new function for general method of moments estimator. * for all estimation functions, the first four arguments are now formula, data, effect, model. * robust inference is now provided by the pvcovHC function.