Common Correlated Effects Mean Groups (CCEMG) and Pooled (CCEP) estimators for panel data with common factors (balanced or unbalanced)
pcce(
formula,
data,
subset,
na.action,
model = c("mg", "p"),
index = NULL,
trend = FALSE,
...
)
# S3 method for class 'pcce'
summary(object, vcov = NULL, ...)
# S3 method for class 'summary.pcce'
print(
x,
digits = max(3, getOption("digits") - 2),
width = getOption("width"),
...
)
# S3 method for class 'pcce'
residuals(object, type = c("defactored", "standard"), ...)
# S3 method for class 'pcce'
model.matrix(object, ...)
# S3 method for class 'pcce'
pmodel.response(object, ...)a symbolic description of the model to be estimated,
a data.frame,
see lm,
see lm,
one of "mg", "p", selects Mean Groups vs. Pooled
CCE model,
the indexes, see pdata.frame(),
logical specifying whether an individual-specific trend has to be included,
further arguments.
an object of class "pcce",
a variance-covariance matrix furnished by the user or a function to calculate one,
digits,
the maximum length of the lines in the print output,
one of "defactored" or "standard",
An object of class c("pcce", "panelmodel") containing:
the vector of coefficients,
the vector of (defactored) residuals,
the vector of (raw) residuals,
the transformed data after projection on H,
the vector of fitted values,
the covariance matrix of the coefficients,
degrees of freedom of the residuals,
a data.frame containing the variables used for the estimation,
the call,
the matrix of individual coefficients from separate time series regressions,
numeric, the R squared.
pcce is a function for the estimation of linear panel models by
the Common Correlated Effects Mean Groups or Pooled estimator,
consistent under the hypothesis of unobserved common factors and
idiosyncratic factor loadings. The CCE estimator works by
augmenting the model by cross-sectional averages of the dependent
variable and regressors in order to account for the common factors,
and adding individual intercepts and possibly trends.
Kapetanios G, Pesaran MH, Yamagata T (2011). “Panels with non-stationary multifactor error structures.” Journal of Econometrics, 160(2), 326–348.
Holly S, Pesaran MH, Yamagata T (2010). “A spatio-temporal model of house prices in the USA.” Journal of Econometrics, 158(1), 160–173.
data("Produc", package = "plm")
ccepmod <- pcce(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc, model="p")
summary(ccepmod)
#> Common Correlated Effects Pooled model
#>
#> Call:
#> pcce(formula = log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp,
#> data = Produc, model = "p")
#>
#> Balanced Panel: n = 48, T = 17, N = 816
#>
#> Residuals:
#> Min. 1st Qu. Median 3rd Qu. Max.
#> -0.0918842485 -0.0060964495 0.0005035279 0.0059795739 0.0682325143
#>
#> Coefficients:
#> Estimate Std. Error z-value Pr(>|z|)
#> log(pcap) 0.0432376 0.1041125 0.4153 0.6779
#> log(pc) 0.0363922 0.0368432 0.9878 0.3233
#> log(emp) 0.8209632 0.1390202 5.9054 3.519e-09 ***
#> unemp -0.0020925 0.0014973 -1.3976 0.1622
#> ---
#> Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
#> Total Sum of Squares: 849.81
#> Residual Sum of Squares: 0.11927
#> HPY R-squared: 0.99077
summary(ccepmod, vcov = vcovHC) # use argument vcov for robust std. errors
#> Common Correlated Effects Pooled model
#>
#> Note: Coefficient variance-covariance matrix supplied: vcovHC
#>
#> Call:
#> pcce(formula = log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp,
#> data = Produc, model = "p")
#>
#> Balanced Panel: n = 48, T = 17, N = 816
#>
#> Residuals:
#> Min. 1st Qu. Median 3rd Qu. Max.
#> -0.0918842485 -0.0060964495 0.0005035279 0.0059795739 0.0682325143
#>
#> Coefficients:
#> Estimate Std. Error z-value Pr(>|z|)
#> log(pcap) 0.0432376 0.0972332 0.4447 0.6566
#> log(pc) 0.0363922 0.0322477 1.1285 0.2591
#> log(emp) 0.8209632 0.1104438 7.4333 1.059e-13 ***
#> unemp -0.0020925 0.0013959 -1.4990 0.1339
#> ---
#> Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
#> Total Sum of Squares: 849.81
#> Residual Sum of Squares: 0.11927
#> HPY R-squared: 0.99077
ccemgmod <- pcce(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc, model="mg")
summary(ccemgmod)
#> Common Correlated Effects Mean Groups model
#>
#> Call:
#> pcce(formula = log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp,
#> data = Produc, model = "mg")
#>
#> Balanced Panel: n = 48, T = 17, N = 816
#>
#> Residuals:
#> Min. 1st Qu. Median 3rd Qu. Max.
#> -0.0806338274 -0.0037117404 0.0003146629 0.0040206767 0.0438957374
#>
#> Coefficients:
#> Estimate Std. Error z-value Pr(>|z|)
#> log(pcap) 0.0899850 0.1176040 0.7652 0.44418
#> log(pc) 0.0335784 0.0423362 0.7931 0.42770
#> log(emp) 0.6258659 0.1071719 5.8398 5.225e-09 ***
#> unemp -0.0031178 0.0014389 -2.1668 0.03025 *
#> ---
#> Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
#> Total Sum of Squares: 849.81
#> Residual Sum of Squares: 0.056978
#> HPY R-squared: 0.99312