Package PLM': October 14, 2022

Package ‘plm’
October 14, 2022

Version 2.6-2
Date 2022-08-15
Title Linear Models for Panel Data
Depends R (>= 3.2.0)
Imports MASS, bdsmatrix, collapse (>= 1.8.0), zoo, nlme, sandwich,
lattice, lmtest, maxLik, Rdpack, Formula, stats
Suggests AER, car, statmod, urca, pder, texreg, knitr, rmarkdown,
fixest, lfe
Description A set of estimators for models and (robust) covariance matrices, and tests for panel data
econometrics, including within/fixed effects, random effects, between, first-difference,
nested random effects as well as instrumental-variable (IV) and Hausman-Taylor-style models,
panel generalized method of moments (GMM) and general FGLS models,
mean groups (MG), demeaned MG, and common correlated ef-
fects (CCEMG) and pooled (CCEP) estimators
with common factors, variable coefficients and limited dependent variables models.
Test functions include model specification, serial correlation, cross-sectional dependence,
panel unit root and panel Granger (non-)causality. Typical references are general econometrics
text books such as Baltagi (2021), Econometric Analysis of Panel Data (<doi:10.1007/978-3-
030-53953-5>),
Hsiao (2014), Analysis of Panel Data (<doi:10.1017/CBO9781139839327>), and Crois-
sant and Millo (2018),
Panel Data Econometrics with R (<doi:10.1002/9781119504641>).
License GPL (>= 2)
VignetteBuilder knitr
URL https://cran.r-project.org/package=plm (CRAN releases),
https://github.com/ycroissant/plm (development repository)
BugReports https://github.com/ycroissant/plm/issues
RoxygenNote 7.2.0
RdMacros Rdpack
Encoding UTF-8
NeedsCompilation no
1
2 R topics documented:
Author Yves Croissant [aut],

Giovanni Millo [aut],
Kevin Tappe [aut, cre],
Ott Toomet [ctb],
Christian Kleiber [ctb],
Achim Zeileis [ctb],
Arne Henningsen [ctb],
Liviu Andronic [ctb],
Nina Schoenfelder [ctb]
Maintainer Kevin Tappe <kevin.tappe@bwi.uni-stuttgart.de>
Repository CRAN
Date/Publication 2022-08-16 13:00:13 UTC
R topics documented:
plm-package . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
aneweytest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
Cigar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
cipstest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
cortab . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
Crime . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
detect.lindep . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
EmplUK . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
ercomp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
fixef.plm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
Gasoline . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
Grunfeld . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
has.intercept . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
Hedonic . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
index.plm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
is.pbalanced . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
is.pconsecutive . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
is.pseries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
LaborSupply . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
lag.plm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
make.dummies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
make.pbalanced . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
make.pconsecutive . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
Males . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
model.frame.pdata.frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
mtest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48
nobs.plm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
Parity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
pbgtest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
pbltest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
pbnftest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
pbsytest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
R topics documented: 3
pcce . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
pcdtest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
pdata.frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
pdim . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68
pdwtest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70
pFtest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72
pggls . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
pgmm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75
pgrangertest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79
phansitest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81
pht . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83
phtest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
piest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88
pldv . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89
plm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91
plm-deprecated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97
plm.fast . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99
plmtest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101
pmg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104
pmodel.response . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106
pooltest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107
predict.plm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108
Produc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 110
pseries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111
pseriesfy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115
punbalancedness . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 116
purtest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119
pvar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 122
pvcm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 124
pwaldtest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126
pwartest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129
pwfdtest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 130
pwtest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 132
r.squared . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134
ranef.plm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135
RiceFarms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 136
sargan . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 137
Snmesp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 138
SumHes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 139
summary.plm.list . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 140
vcovBK . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 142
vcovDC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 144
vcovG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 146
vcovHC.plm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 148
vcovNW . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 151
vcovSCC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153
Wages . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 156
within_intercept . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157
4 plm-package
Index 160
plm-package plm package: linear models for panel data
Description
plm is a package for R which intends to make the estimation of linear panel models straightforward.
plm provides functions to estimate a wide variety of models and to make (robust) inference.
Details
For a gentle and comprehensive introduction to the package, please see the package’s vignette.
The main functions to estimate models are:
• plm: panel data estimators using lm on transformed data,

• pvcm: variable coefficients models
• pgmm: generalized method of moments (GMM) estimation for panel data,
• pggls: estimation of general feasible generalized least squares models,
• pmg: mean groups (MG), demeaned MG and common correlated effects (CCEMG) estimators,
• pcce: estimators for common correlated effects mean groups (CCEMG) and pooled (CCEP)
for panel data with common factors,
• pldv: panel estimators for limited dependent variables.
Next to the model estimation functions, the package offers several functions for statistical tests
related to panel data/models.
Multiple functions for (robust) variance–covariance matrices are at hand as well.
The package also provides data sets to demonstrate functions and to replicate some text book/paper
results. Use data(package="plm") to view a list of available data sets in the package.
Examples
data("Produc", package = "plm")

zz <- plm(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp,
data = Produc, index = c("state","year"))
summary(zz)
# replicates some results from Baltagi (2013), table 3.1

data("Grunfeld", package = "plm")
p <- plm(inv ~ value + capital,
data = Grunfeld, model="pooling")
wi <- plm(inv ~ value + capital,

data = Grunfeld, model="within", effect = "twoways")
swar <- plm(inv ~ value + capital,

aneweytest 5
data = Grunfeld, model="random", effect = "twoways")
amemiya <- plm(inv ~ value + capital,

data = Grunfeld, model = "random", random.method = "amemiya",
effect = "twoways")
walhus <- plm(inv ~ value + capital,

data = Grunfeld, model = "random", random.method = "walhus",
effect = "twoways")
aneweytest Angrist and Newey’s version of Chamberlain test for fixed effects
Description
Angrist and Newey’s version of the Chamberlain test
Usage
aneweytest(formula, data, subset, na.action, index = NULL, ...)
Arguments
formula a symbolic description for the model to be estimated,
data a data.frame,
subset see lm(),
na.action see lm(),
index the indexes,
... further arguments.
Details
Angrist and Newey’s test is based on the results of the artifactual regression of the within residuals
on the covariates for all the periods.
Value
An object of class "htest".
Author(s)
Yves Croissant
References
Angrist JD, Newey WK (1991). “Over-identification tests in earnings functions with fixed effects.”
Journal of Business & Economic Statistics, 9(3), 317–323.
6 Cigar
See Also
piest() for Chamberlain’s test
Examples
data("RiceFarms", package = "plm")

aneweytest(log(goutput) ~ log(seed) + log(totlabor) + log(size), RiceFarms, index = "id")
Cigar Cigarette Consumption
Description
a panel of 46 observations from 1963 to 1992
Format
A data frame containing :
state state abbreviation
year the year
price price per pack of cigarettes
pop population
pop16 population above the age of 16
cpi consumer price index (1983=100)
ndi per capita disposable income
sales cigarette sales in packs per capita
pimin minimum price in adjoining states per pack of cigarettes
Details
total number of observations : 1380
observation : regional
country : United States
Source
Online complements to Baltagi (2001):
https://www.wiley.com/legacy/wileychi/baltagi/
https://bcs.wiley.com/he-bcs/Books?action=resource&bcsId=4338&itemId=1118672321&
resourceId=13452
cipstest 7
References
Baltagi BH (2001). Econometric Analysis of Panel Data, 3rd edition. John Wiley and Sons ltd.
Baltagi BH (2013). Econometric Analysis of Panel Data, 5th edition. John Wiley and Sons ltd.
Baltagi B, Levin D (1992). “Cigarette taxation: Raising revenues and reducing consumption.”
Structural Change and Economic Dynamics, 3(2), 321-335. https://EconPapers.repec.org/
RePEc:eee:streco:v:3:y:1992:i:2:p:321-335.
Baltagi BH, Griffin JM, Xiong W (2000). “To Pool or Not to Pool: Homogeneous Versus Hetero-
geneous Estimators Applied to Cigarette Demand.” The Review of Economics and Statistics, 82(1),
117-126. doi:10.1162/003465300558551, https://doi.org/10.1162/003465300558551.
cipstest Cross-sectionally Augmented IPS Test for Unit Roots in Panel Models
Description
Cross-sectionally augmented Im, Pesaran and Shin (IPS) test for unit roots in panel models.
Usage
cipstest(
x,
lags = 2,
type = c("trend", "drift", "none"),
model = c("cmg", "mg", "dmg"),
truncated = FALSE,
...
)
Arguments
x an object of class "pseries",

lags integer, lag order for Dickey-Fuller augmentation,
type one of "trend" (default), "drift", "none",
model one of "cmg" (default), "mg", "dmg",
truncated logical, specifying whether to calculate the truncated version of the test (default:
FALSE),
... further arguments passed to critvals.cips (non-exported function).
8 cipstest
Details
Pesaran’s (Pesaran 2007) cross-sectionally augmented version of the IPS unit root test (Im et al.
2003) (H0: pseries has a unit root) is a so-called second-generation panel unit root test: it is in
fact robust against cross-sectional dependence, provided that the default model="cmg" is calculated.
Else one can obtain the standard (model="mg") or cross-sectionally demeaned (model="dmg") ver-
sions of the IPS test.
Argument type controls how the test is executed:
• "none": no intercept, no trend (Case I in (Pesaran 2007)),

• "drift": with intercept, no trend (Case II),
• "trend" (default): with intercept, with trend (Case III).
Value
Author(s)
Giovanni Millo
References
Im KS, Pesaran MH, Shin Y (2003). “Testing for unit roots in heterogenous panels.” Journal of
Econometrics, 115(1), 53-74.
Pesaran MH (2007). “A simple panel unit root test in the presence of cross-section dependence.”
Journal of Applied Econometrics, 22(2), 265–312.
See Also
purtest(), phansitest()
Examples

Produc <- pdata.frame(Produc, index=c("state", "year"))
## check whether the gross state product (gsp) is trend-stationary
cipstest(Produc$gsp, type = "trend")
cortab 9
cortab Cross–sectional correlation matrix
Description
Computes the cross–sectional correlation matrix
Usage
cortab(x, grouping, groupnames = NULL, value = "statistic", ...)
Arguments
x an object of class pseries

grouping grouping variable,
groupnames a character vector of group names,
value to complete,
Value
A matrix with average correlation coefficients within a group (diagonal) and between groups (off-
diagonal).
Examples

pGrunfeld <- pdata.frame(Grunfeld)
grp <- c(rep(1, 100), rep(2, 50), rep(3, 50)) # make 3 groups
cortab(pGrunfeld$value, grouping = grp, groupnames = c("A", "B", "C"))
Crime Crime in North Carolina
Description
a panel of 90 observational units (counties) from 1981 to 1987

10 Crime
Format
county county identifier
year year from 1981 to 1987
crmrte crimes committed per person
prbarr ’probability’ of arrest
prbconv ’probability’ of conviction
prbpris ’probability’ of prison sentence
avgsen average sentence, days
polpc police per capita
density people per square mile
taxpc tax revenue per capita
region factor. One of ’other’, ’west’ or ’central’.
smsa factor. (Also called "urban".) Does the individual reside in a SMSA (standard metropolitan
statistical area)?
pctmin percentage minority in 1980
wcon weekly wage in construction
wtuc weekly wage in transportation, utilities, communications
wtrd weekly wage in wholesale and retail trade
wfir weekly wage in finance, insurance and real estate
wser weekly wage in service industry
wmfg weekly wage in manufacturing
wfed weekly wage in federal government
wsta weekly wage in state government
wloc weekly wage in local government
mix offence mix: face-to-face/other
pctymle percentage of young males (between ages 15 to 24)
lcrmrte log of crimes committed per person
lprbarr log of ’probability’ of arrest
lprbconv log of ’probability’ of conviction
lprbpris log of ’probability’ of prison sentence
lavgsen log of average sentence, days
lpolpc log of police per capita
ldensity log of people per square mile
ltaxpc log of tax revenue per capita
lpctmin log of percentage minority in 1980
lwcon log of weekly wage in construction
Crime 11
lwtuc log of weekly wage in transportation, utilities, communications

lwtrd log of weekly wage in wholesale and retail trade
lwfir log of weekly wage in finance, insurance and real estate
lwser log of weekly wage in service industry
lwmfg log of weekly wage in manufacturing
lwfed log of weekly wage in federal government
lwsta log of weekly wage in state government
lwloc log of weekly wage in local government
lmix log of offence mix: face-to-face/other
lpctymle log of percentage of young males (between ages 15 to 24)
Details
The variables l* (lcrmrte, lprbarr, ...) contain the pre-computed logarithms of the base variables as
found in the original data set. Note that these values slightly differ from what R’s log() function
yields for the base variables. In order to reproduce examples from the literature, the pre-computed
logs need to be used, otherwise the results differ slightly.
Source
Journal of Applied Econometrics Data Archive (complements Baltagi (2006)):
http://qed.econ.queensu.ca/jae/2006-v21.4/baltagi/
resourceId=13452
See also Journal of Applied Econometrics data archive entry for Baltagi (2006) at http://qed.
econ.queensu.ca/jae/2006-v21.4/baltagi/.
References
Cornwell C, Trumbull WN (1994). “Estimating the economic model of crime with panel data.”
Review of Economics and Statistics, 76, 360–366.
Baltagi BH (2006). “Estmating an economic model of crime using panel data from North Carolina.”
Journal of Applied Econometrics, 21(4).
12 detect.lindep
detect.lindep Functions to detect linear dependence
Description
Little helper functions to aid users to detect linear dependent columns in a two-dimensional data
structure, especially in a (transformed) model matrix - typically useful in interactive mode during
model building phase.
Usage
detect.lindep(object, ...)
## S3 method for class 'matrix'

detect.lindep(object, suppressPrint = FALSE, ...)
## S3 method for class 'data.frame'

## S3 method for class 'plm'


alias(object, ...)
## S3 method for class 'pdata.frame'

alias(
object,
model = c("pooling", "within", "Between", "between", "mean", "random", "fd"),
effect = c("individual", "time", "twoways"),
...
)
Arguments
object for detect.lindep: an object which should be checked for linear dependence
(of class "matrix", "data.frame", or "plm"); for alias: either an estimated
model of class "plm" or a "pdata.frame". Usually, one wants to input a model
matrix here or check an already estimated plm model,
suppressPrint for detect.lindep only: logical indicating whether a message shall be printed;
defaults to printing the message, i. e., to suppressPrint = FALSE,
model (see plm),
effect (see plm),
detect.lindep 13
Details
Linear dependence of columns/variables is (usually) readily avoided when building one’s model.
However, linear dependence is sometimes not obvious and harder to detect for less experienced
applied statisticians. The so called "dummy variable trap" is a common and probably the best–
known fallacy of this kind (see e. g. Wooldridge (2016), sec. 7-2.). When building linear models
with lm or plm’s pooling model, linear dependence in one’s model is easily detected, at times post
hoc.
However, linear dependence might also occur after some transformations of the data, albeit it is not
present in the untransformed data. The within transformation (also called fixed effect transforma-
tion) used in the "within" model can result in such linear dependence and this is harder to come to
mind when building a model. See Examples for two examples of linear dependent columns after
the within transformation: ex. 1) the transformed variables have the opposite sign of one another;
ex. 2) the transformed variables are identical.
During plm’s model estimation, linear dependent columns and their corresponding coefficients in
the resulting object are silently dropped, while the corresponding model frame and model matrix
still contain the affected columns. The plm object contains an element aliased which indicates
any such aliased coefficients by a named logical.
Both functions, detect.lindep and alias, help to detect linear dependence and accomplish al-
most the same: detect.lindep is a stand alone implementation while alias is a wrapper around
stats::alias.lm(), extending the alias generic to classes "plm" and "pdata.frame". alias
hinges on the availability of the package MASS on the system. Not all arguments of alias.lm are
supported. Output of alias is more informative as it gives the linear combination of dependent
columns (after data transformations, i. e., after (quasi)-demeaning) while detect.lindep only
gives columns involved in the linear dependence in a simple format (thus being more suited for
automatic post–processing of the information).
Value
For detect.lindep: A named numeric vector containing column numbers of the linear dependent
columns in the object after data transformation, if any are present. NULL if no linear dependent
columns are detected.
For alias: return value of stats::alias.lm() run on the (quasi-)demeaned model, i. e., the
information outputted applies to the transformed model matrix, not the original data.
Note
function detect.lindep was called detect_lin_dep initially but renamed for naming consistency
later.
Author(s)
Kevin Tappe
References
Wooldridge JM (2013). Introductory Econometrics: a modern approach, 5th edition. South-
Western (Cengage Learning).
14 detect.lindep
See Also
stats::alias(), stats::model.matrix() and especially plm’s model.matrix() for (transformed)
model matrices, plm’s model.frame().
Examples
### Example 1 ###

# prepare the data
data("Cigar" , package = "plm")
Cigar[ , "fact1"] <- c(0,1)
Cigar[ , "fact2"] <- c(1,0)
Cigar.p <- pdata.frame(Cigar)
# setup a formula and a model frame

form <- price ~ 0 + cpi + fact1 + fact2
mf <- model.frame(Cigar.p, form)
# no linear dependence in the pooling model's model matrix
# (with intercept in the formula, there would be linear depedence)
detect.lindep(model.matrix(mf, model = "pooling"))
# linear dependence present in the FE transformed model matrix
modmat_FE <- model.matrix(mf, model = "within")
detect.lindep(modmat_FE)
mod_FE <- plm(form, data = Cigar.p, model = "within")
detect.lindep(mod_FE)
alias(mod_FE) # => fact1 == -1*fact2
plm(form, data = mf, model = "within")$aliased # "fact2" indicated as aliased
# look at the data: after FE transformation fact1 == -1*fact2

head(modmat_FE)
all.equal(modmat_FE[ , "fact1"], -1*modmat_FE[ , "fact2"])
### Example 2 ###

# Setup the data:
# Assume CEOs stay with the firms of the Grunfeld data
# for the firm's entire lifetime and assume some fictional
# data about CEO tenure and age in year 1935 (first observation
# in the data set) to be at 1 to 10 years and 38 to 55 years, respectively.
# => CEO tenure and CEO age increase by same value (+1 year per year).
set.seed(42)
# add fictional data
Grunfeld$CEOtenure <- c(replicate(10, seq(from=s<-sample(1:10, 1), to=s+19, by=1)))
Grunfeld$CEOage <- c(replicate(10, seq(from=s<-sample(38:65, 1), to=s+19, by=1)))
# look at the data

head(Grunfeld, 50)
form <- inv ~ value + capital + CEOtenure + CEOage

mf <- model.frame(pdata.frame(Grunfeld), form)
# no linear dependent columns in original data/pooling model
modmat_pool <- model.matrix(mf, model="pooling")
EmplUK 15
detect.lindep(modmat_pool)
mod_pool <- plm(form, data = Grunfeld, model = "pooling")
alias(mod_pool)
# CEOtenure and CEOage are linear dependent after FE transformation

# (demeaning per individual)
modmat_FE <- model.matrix(mf, model="within")
detect.lindep(modmat_FE)
mod_FE <- plm(form, data = Grunfeld, model = "within")
detect.lindep(mod_FE)
alias(mod_FE)
# look at the transformed data: after FE transformation CEOtenure == 1*CEOage

head(modmat_FE, 50)
all.equal(modmat_FE[ , "CEOtenure"], modmat_FE[ , "CEOage"])
EmplUK Employment and Wages in the United Kingdom
Description
An unbalanced panel of 140 observations from 1976 to 1984
Format
firm firm index
year year
sector the sector of activity
emp employment
wage wages
capital capital
output output
Details
observation : firms
country : United Kingdom
Source
Arellano M, Bond S (1991). “Some Tests of Specification for Panel Data : Monte Carlo Evidence
and an Application to Employment Equations.” Review of Economic Studies, 58, 277–297.
16 ercomp
ercomp Estimation of the error components
Description
This function enables the estimation of the variance components of a panel model.
Usage
ercomp(object, ...)

ercomp(object, ...)

ercomp(
object,
effect = c("individual", "time", "twoways", "nested"),
method = NULL,
models = NULL,
dfcor = NULL,
index = NULL,
...
)
## S3 method for class 'formula'

ercomp(
object,
data,
method = NULL,
models = NULL,
dfcor = NULL,
index = NULL,
...
)
## S3 method for class 'ercomp'

print(x, digits = max(3, getOption("digits") - 3), ...)
Arguments
object a formula or a plm object,
effect the effects introduced in the model, see plm() for details,
method method of estimation for the variance components, see plm() for details,
ercomp 17
models the models used to estimate the variance components (an alternative to the pre-
vious argument),
dfcor a numeric vector of length 2 indicating which degree of freedom should be used,
index the indexes,
data a data.frame,
x an ercomp object,
digits digits,
Value
An object of class "ercomp": a list containing
• sigma2 a named numeric with estimates of the variance components,
• theta contains the parameter(s) used for the transformation of the variables: For a one-way
model, a numeric corresponding to the selected effect (individual or time); for a two-ways
model a list of length 3 with the parameters. In case of a balanced model, the numeric has
length 1 while for an unbalanced model, the numerics’ length equal the number of observa-
tions.
Author(s)
Yves Croissant
References
Amemiya T (1971). “The Estimation of the Variances in a Variance–Components Model.” Interna-
tional Economic Review, 12, 1–13.
Nerlove M (1971). “Further Evidence on the Estimation of Dynamic Economic Relations from a
Time–Series of Cross–Sections.” Econometrica, 39, 359–382.
Swamy PAVB, Arora SS (1972). “The Exact Finite Sample Properties of the Estimators of Coeffi-
cients in the Error Components Regression Models.” Econometrica, 40, 261–275.
Wallace TD, Hussain A (1969). “The Use of Error Components Models in Combining Cross Section
With Time Series Data.” Econometrica, 37(1), 55–72.
See Also
plm() where the estimates of the variance components are used if a random effects model is esti-
mated
Examples

# an example of the formula method
ercomp(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc,
method = "walhus", effect = "time")
# same with the plm method
z <- plm(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp,
18 fixef.plm
data = Produc, random.method = "walhus",

effect = "time", model = "random")
ercomp(z)
# a two-ways model
ercomp(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc,
method = "amemiya", effect = "twoways")
fixef.plm Extract the Fixed Effects
Description
Function to extract the fixed effects from a plm object and associated summary method.
Usage
fixef(
object,
effect = NULL,
type = c("level", "dfirst", "dmean"),
vcov = NULL,
...
)
## S3 method for class 'fixef'

print(
x,
digits = max(3, getOption("digits") - 2),
width = getOption("width"),
...
)
## S3 method for class 'fixef'

summary(object, ...)
## S3 method for class 'summary.fixef'

print(
x,
...
)
## S3 method for class 'pggls'

fixef(
fixef.plm 19
object,
effect = NULL,
type = c("level", "dfirst", "dmean"),
vcov = NULL,
...
)
Arguments
effect one of "individual", "time", or "twoways", only relevant in case of two–
ways effects models (where it defaults to "individual"),
type one of "level", "dfirst", or "dmean",
vcov a variance–covariance matrix furnished by the user or a function to calculate one
(see Examples),
x, object an object of class "plm", an object of class "fixef" for the print and the
summary method,
digits digits,
width the maximum length of the lines in the print output,
Details
Function fixef calculates the fixed effects and returns an object of class c("fixef", "numeric").
By setting the type argument, the fixed effects may be returned in levels ("level"), as deviations
from the first value of the index ("dfirst"), or as deviations from the overall mean ("dmean"). If
the argument vcov was specified, the standard errors (stored as attribute "se" in the return value) are
the respective robust standard errors. For two-way fixed-effect models, argument effect controls
which of the fixed effects are to be extracted: "individual", "time", or the sum of individual
and time effects ("twoways"). NB: See Examples for how the sum of effects can be split in an
individual and a time component. For one-way models, the effects of the model are extracted and
the argument effect is disrespected.
The associated summary method returns an extended object of class c("summary.fixef", "matrix")
with more information (see sections Value and Examples).
References with formulae (except for the two-ways unbalanced case) are, e.g., Greene (2012), Ch.
11.4.4, p. 364, formulae (11-25); Wooldridge (2010), Ch. 10.5.3, pp. 308-309, formula (10.58).
Value
For function fixef, an object of class c("fixef", "numeric") is returned: It is a numeric vector
containing the fixed effects with attribute se which contains the standard errors. There are two fur-
ther attributes: attribute type contains the chosen type (the value of argument type as a character);
attribute df.residual holds the residual degrees of freedom (integer) from the fixed effects model
(plm object) on which fixef was run. For the two-way unbalanced case, only attribute type is
added.
For function summary.fixef, an object of class c("summary.fixef", "matrix") is returned: It
is a matrix with four columns in this order: the estimated fixed effects, their standard errors and
20 fixef.plm
associated t–values and p–values. For the two-ways unbalanced case, the matrix contains only
the estimates. The type of the fixed effects and the standard errors in the summary.fixef object
correspond to was requested in the fixef function by arguments type and vcov, respectively.
Author(s)
Yves Croissant
References
Greene WH (2012). Econometric Analysis, 7th edition. Prentice Hall.
Wooldridge JM (2010). Econometric Analysis of Cross–Section and Panel Data, 2nd edition. MIT
Press.
See Also
within_intercept() for the overall intercept of fixed effect models along its standard error, plm()
for plm objects and within models (= fixed effects models) in general. See ranef() to extract the
random effects from a random effects model.
Examples

gi <- plm(inv ~ value + capital, data = Grunfeld, model = "within")
fixef(gi)
summary(fixef(gi))
summary(fixef(gi))[ , c("Estimate", "Pr(>|t|)")] # only estimates and p-values
# relationship of type = "dmean" and "level" and overall intercept

fx_level <- fixef(gi, type = "level")
fx_dmean <- fixef(gi, type = "dmean")
overallint <- within_intercept(gi)
all.equal(overallint + fx_dmean, fx_level, check.attributes = FALSE) # TRUE
# extract time effects in a twoways effects model

gi_tw <- plm(inv ~ value + capital, data = Grunfeld,
model = "within", effect = "twoways")
fixef(gi_tw, effect = "time")
# with supplied variance-covariance matrix as matrix, function,

# and function with additional arguments
fx_level_robust1 <- fixef(gi, vcov = vcovHC(gi))
fx_level_robust2 <- fixef(gi, vcov = vcovHC)
fx_level_robust3 <- fixef(gi, vcov = function(x) vcovHC(x, method = "white2"))
summary(fx_level_robust1) # gives fixed effects, robust SEs, t- and p-values
# calc. fitted values of oneway within model:

fixefs <- fixef(gi)[index(gi, which = "id")]
fitted_by_hand <- fixefs + gi$coefficients["value"] * gi$model$value +
gi$coefficients["capital"] * gi$model$capital
Gasoline 21
# calc. fittes values of twoway unbalanced within model via effects:

gtw_u <- plm(inv ~ value + capital, data = Grunfeld[-200, ], effect = "twoways")
yhat <- as.numeric(gtw_u$model[ , 1] - gtw_u$residuals) # reference
pred_beta <- as.numeric(tcrossprod(coef(gtw_u), as.matrix(gtw_u$model[ , -1])))
pred_effs <- as.numeric(fixef(gtw_u, "twoways")) # sum of ind and time effects
all.equal(pred_effs + pred_beta, yhat) # TRUE
# Splits of summed up individual and time effects:

# use one "level" and one "dfirst"
ii <- index(gtw_u)[[1L]]; it <- index(gtw_u)[[2L]]
eff_id_dfirst <- c(0, as.numeric(fixef(gtw_u, "individual", "dfirst")))[ii]
eff_ti_dfirst <- c(0, as.numeric(fixef(gtw_u, "time", "dfirst")))[it]
eff_id_level <- as.numeric(fixef(gtw_u, "individual"))[ii]
eff_ti_level <- as.numeric(fixef(gtw_u, "time"))[it]
all.equal(pred_effs, eff_id_level + eff_ti_dfirst) # TRUE

all.equal(pred_effs, eff_id_dfirst + eff_ti_level) # TRUE
Gasoline Gasoline Consumption
Description
A panel of 18 observations from 1960 to 1978
Format
country a factor with 18 levels

year the year
lgaspcar logarithm of motor gasoline consumption per car
lincomep logarithm of real per-capita income
lrpmg logarithm of real motor gasoline price
lcarpcap logarithm of the stock of cars per capita
Details

observation : country
country : OECD
22 Grunfeld
Source

resourceId=13452
References
Baltagi BH, Griffin JM (1983). “Gasoline demand in the OECD: An application of pooling and
testing procedures.” European Economic Review, 22(2), 117 - 137. ISSN 0014-2921, https:
//www.sciencedirect.com/science/article/pii/0014292183900776.
Grunfeld Grunfeld’s Investment Data
Description
A balanced panel of 10 observational units (firms) from 1935 to 1954
Format
firm observation
year date
inv gross Investment
value value of the firm
capital stock of plant and equipment
Details

observation : production units
Grunfeld 23
Note
The Grunfeld data as provided in package plm is the same data as used in Baltagi (2001), see
Examples below.
NB:
Various versions of the Grunfeld data circulate online. Also, various text books (and also varying
among editions) and papers use different subsets of the original Grunfeld data, some of which
contain errors in a few data points compared to the original data used by Grunfeld (1958) in his
PhD thesis. See Kleiber/Zeileis (2010) and its accompanying website for a comparison of various
Grunfeld data sets in use.
Source
https://www.wiley.com/legacy/wileychi/baltagi/supp/Grunfeld.fil
resourceId=13452
References
Grunfeld Y (1958). The determinants of corporate investment. Ph.D. thesis, Department of Eco-
nomics, University of Chicago.
Kleiber C, Zeileis A (2010). “The Grunfeld Data at 50.” German Economic Review, 11, 404-417.
https://doi.org/10.1111/j.1468-0475.2010.00513.x.
website accompanying the paper with various variants of the Grunfeld data: https://www.zeileis.
org/grunfeld/.
See Also
For the complete Grunfeld data (11 firms), see AER::Grunfeld, in the AER package.
Examples
## Not run:
# Compare plm's Grunfeld data to Baltagi's (2001) Grunfeld data:
data("Grunfeld", package="plm")
Grunfeld_baltagi2001 <- read.csv("http://www.wiley.com/legacy/wileychi/
baltagi/supp/Grunfeld.fil", sep="", header = FALSE)
library(compare)
compare::compare(Grunfeld, Grunfeld_baltagi2001, allowAll = T) # same data set
## End(Not run)
24 has.intercept
has.intercept Check for the presence of an intercept in a formula or in a fitted model
Description
The presence of an intercept is checked using the formula which is either provided as the argument
of the function or extracted from a fitted model.
Usage
has.intercept(object, ...)
## Default S3 method:

## S3 method for class 'Formula'

has.intercept(object, rhs = NULL, ...)
## S3 method for class 'panelmodel'


has.intercept(object, rhs = 1L, ...)
Arguments
object a formula, a Formula or a fitted model (of class plm or panelmodel),

rhs an integer (length > 1 is possible), indicating the parts of right hand sides of the
formula to be evaluated for the presence of an intercept or NULL for all parts of
the right hand side (relevant for the Formula and the plm methods)
Value
a logical
Hedonic 25
Hedonic Hedonic Prices of Census Tracts in the Boston Area
Description
A cross-section
Format
A dataframe containing:
mv median value of owner–occupied homes

crim crime rate
zn proportion of 25,000 square feet residential lots
indus proportion of no–retail business acres
chas is the tract bounds the Charles River?
nox annual average nitrogen oxide concentration in parts per hundred million
rm average number of rooms
age proportion of owner units built prior to 1940
dis weighted distances to five employment centers in the Boston area
rad index of accessibility to radial highways
tax full value property tax rate ($/$10,000)
ptratio pupil/teacher ratio
blacks proportion of blacks in the population
lstat proportion of population that is lower status
townid town identifier
Details
number of observations : 506
Source
resourceId=13452
26 index.plm
References
Besley DA, Kuh E, Welsch RE (1980). Regression diagnostics: identifying influential data and
sources of collinearity. John Wiley and Sons ltd. Wiley series in probability and statistics.
Harrison D, Rubinfeld DL (1978). “Hedonic housing prices and the demand for clean air.” Journal
of Environmental Economics and Management, 5, 81-102.
index.plm Extract the indexes of panel data
Description
This function extracts the information about the structure of the individual and time dimensions
of panel data. Grouping information can also be extracted if the panel data were created with a
grouping variable.
Usage
## S3 method for class 'pindex'
index(x, which = NULL, ...)

## S3 method for class 'pseries'


Arguments
x an object of class "pindex", "pdata.frame", "pseries" or "panelmodel",
which the index(es) to be extracted (see details),
Details
Panel data are stored in a "pdata.frame" which has an "index" attribute. Fitted models in "plm"
have a "model" element which is also a "pdata.frame" and therefore also has an "index" attribute.
Finally, each series, once extracted from a "pdata.frame", becomes of class "pseries", which
also has this "index" attribute. "index" methods are available for all these objects. The argument
"which" indicates which index should be extracted. If which = NULL, all indexes are extracted.
"which" can also be a vector of length 1, 2, or 3 (3 only if the pdata frame was constructed with an
is.pbalanced 27
additional group index) containing either characters (the names of the individual variable and/or of
the time variable and/or the group variable or "id" and "time") and "group" or integers (1 for the
individual index, 2 for the time index, and 3 for the group index (the latter only if the pdata frame
was constructed with such).)
Value
A vector or an object of class c("pindex","data.frame") containing either one index, individual

and time index, or (any combination of) individual, time and group indexes.
Author(s)
Yves Croissant
See Also
pdata.frame(), plm()
Examples

Gr <- pdata.frame(Grunfeld, index = c("firm", "year"))
m <- plm(inv ~ value + capital, data = Gr)
index(Gr, "firm")
index(Gr, "time")
index(Gr$inv, c(2, 1))
index(m, "id")
# with additional group index

pProduc <- pdata.frame(Produc, index = c("state", "year", "region"))
index(pProduc, 3)
index(pProduc, "region")
index(pProduc, "group")
is.pbalanced Check if data are balanced
Description
This function checks if the data are balanced, i.e., if each individual has the same time periods
28 is.pbalanced
Usage
is.pbalanced(x, ...)
is.pbalanced(x, y, ...)

is.pbalanced(x, index = NULL, ...)



## S3 method for class 'pcce'

## S3 method for class 'pmg'

## S3 method for class 'pgmm'


Arguments
x an object of class pdata.frame, data.frame, pseries, panelmodel, or pgmm,

y (only in default method) the time index variable (2nd index variable),
index only relevant for data.frame interface; if NULL, the first two columns of the
data.frame are assumed to be the index variables; if not NULL, both dimensions
(’individual’, ’time’) need to be specified by index as character of length 2 for
data frames, for further details see pdata.frame(),
Details
Balanced data are data for which each individual has the same time periods. The returned values of
the is.pbalanced(object) methods are identical to pdim(object)$balanced. is.pbalanced is
provided as a short cut and is faster than pdim(object)$balanced because it avoids those compu-
tations performed by pdim which are unnecessary to determine the balancedness of the data.
is.pconsecutive 29
Value
A logical indicating whether the data associated with object x are balanced (TRUE) or not (FALSE).
See Also
punbalancedness() for two measures of unbalancedness, make.pbalanced() to make data bal-
anced; is.pconsecutive() to check if data are consecutive; make.pconsecutive() to make data
consecutive (and, optionally, also balanced).
pdim() to check the dimensions of a ’pdata.frame’ (and other objects), pvar() to check for in-
dividual and time variation of a ’pdata.frame’ (and other objects), pseries(), data.frame(),
pdata.frame().
Examples
# take balanced data and make it unbalanced

# by deletion of 2nd row (2nd time period for first individual)
Grunfeld_missing_period <- Grunfeld[-2, ]
is.pbalanced(Grunfeld_missing_period) # check if balanced: FALSE
pdim(Grunfeld_missing_period)$balanced # same
# pdata.frame interface
pGrunfeld_missing_period <- pdata.frame(Grunfeld_missing_period)
is.pbalanced(Grunfeld_missing_period)
# pseries interface
is.pbalanced(pGrunfeld_missing_period$inv)
is.pconsecutive Check if time periods are consecutive
Description
This function checks for each individual if its associated time periods are consecutive (no "gaps" in
time dimension per individual)
Usage
is.pconsecutive(x, ...)
is.pconsecutive(x, id, time, na.rm.tindex = FALSE, ...)

is.pconsecutive(x, index = NULL, na.rm.tindex = FALSE, ...)
30 is.pconsecutive

is.pconsecutive(x, na.rm.tindex = FALSE, ...)


Arguments
x usually, an object of class pdata.frame, data.frame, pseries, or an estimated
panelmodel; for the default method x can also be an arbitrary vector or NULL,
see Details,
id, time only relevant for default method: vectors specifying the id and time dimensions,
i. e., a sequence of individual and time identifiers, each as stacked time series,
na.rm.tindex logical indicating whether any NA values in the time index are removed before
consecutiveness is evaluated (defaults to FALSE),
(’individual’, ’time’) need to be specified by index for is.pconsecutive on
Details
(p)data.frame, pseries and estimated panelmodel objects can be tested if their time periods are con-
secutive per individual. For evaluation of consecutiveness, the time dimension is interpreted to be
numeric, and the data are tested for being a regularly spaced sequence with distance 1 between
the time periods for each individual (for each individual the time dimension can be interpreted as
sequence t, t+1, t+2, . . . where t is an integer). As such, the "numerical content" of the time index
variable is considered for consecutiveness, not the "physical position" of the various observations
for an individuals in the (p)data.frame/pseries (it is not about "neighbouring" rows). If the object to
be evaluated is a pseries or a pdata.frame, the time index is coerced from factor via as.character to
numeric, i.e., the series as.numeric(as.character(index(<pseries/pdata.frame>)[[2]]))]
is evaluated for gaps.
The default method also works for argument x being an arbitrary vector (see Examples), provided
one can supply arguments id and time, which need to ordered as stacked time series. As only id
and time are really necessary for the default method to evaluate the consecutiveness, x = NULL is
also possible. However, if the vector x is also supplied, additional input checking for equality of the
lengths of x, id and time is performed, which is safer.
For the data.frame interface, the data is ordered in the appropriate way (stacked time series) be-
fore the consecutiveness is evaluated. For the pdata.frame and pseries interface, ordering is not
performed because both data types are already ordered in the appropriate way when created.
Note: Only the presence of the time period itself in the object is tested, not if there are any other
variables. NA values in individual index are not examined but silently dropped - In this case, it is
not clear which individual is meant by id value NA, thus no statement about consecutiveness of time
periods for those "NA-individuals" is possible.
is.pconsecutive 31
Value
A named logical vector (names are those of the individuals). The i-th element of the returned
vector corresponds to the i-th individual. The values of the i-th element can be:
TRUE if the i-th individual has consecutive time periods,

FALSE if the i-th individual has non-consecutive time periods,
"NA" if there are any NA values in time index of the i-th the individual; see also
argument na.rm.tindex to remove those.
Author(s)
Kevin Tappe
See Also
make.pconsecutive() to make data consecutive (and, as an option, balanced at the same time) and
make.pbalanced() to make data balanced.
pdim() to check the dimensions of a ’pdata.frame’ (and other objects), pvar() to check for individ-
ual and time variation of a ’pdata.frame’ (and other objects), lag() for lagged (and leading) values
of a ’pseries’ object.
pseries(), data.frame(), pdata.frame(), for class ’panelmodel’ see plm() and pgmm().
Examples

is.pconsecutive(Grunfeld)
is.pconsecutive(Grunfeld, index=c("firm", "year"))
# delete 2nd row (2nd time period for first individual)

# -> non consecutive
is.pconsecutive(Grunfeld_missing_period)
all(is.pconsecutive(Grunfeld_missing_period)) # FALSE
# delete rows 1 and 2 (1st and 2nd time period for first individual)
# -> consecutive
Grunfeld_missing_period_other <- Grunfeld[-c(1,2), ]
is.pconsecutive(Grunfeld_missing_period_other) # all TRUE
# delete year 1937 (3rd period) for _all_ individuals

Grunfeld_wo_1937 <- Grunfeld[Grunfeld$year != 1937, ]
is.pconsecutive(Grunfeld_wo_1937) # all FALSE
is.pconsecutive(pGrunfeld) # all TRUE
is.pconsecutive(pGrunfeld_missing_period) # first FALSE, others TRUE
32 is.pseries
# panelmodel interface (first, estimate some models)

mod_pGrunfeld <- plm(inv ~ value + capital, data = Grunfeld)
mod_pGrunfeld_missing_period <- plm(inv ~ value + capital, data = Grunfeld_missing_period)
is.pconsecutive(mod_pGrunfeld)
is.pconsecutive(mod_pGrunfeld_missing_period)
nobs(mod_pGrunfeld) # 200
nobs(mod_pGrunfeld_missing_period) # 199
# pseries interface
pinv <- pGrunfeld$inv
pinv_missing_period <- pGrunfeld_missing_period$inv
is.pconsecutive(pinv)
is.pconsecutive(pinv_missing_period)
# default method for arbitrary vectors or NULL

inv <- Grunfeld$inv
inv_missing_period <- Grunfeld_missing_period$inv
is.pconsecutive(inv, id = Grunfeld$firm, time = Grunfeld$year)
is.pconsecutive(inv_missing_period, id = Grunfeld_missing_period$firm,
time = Grunfeld_missing_period$year)
# (not run) demonstrate mismatch lengths of x, id, time

# is.pconsecutive(x = inv_missing_period, id = Grunfeld$firm, time = Grunfeld$year)
# only id and time are needed for evaluation

is.pconsecutive(NULL, id = Grunfeld$firm, time = Grunfeld$year)
is.pseries Check if an object is a pseries
Description
This function checks if an object qualifies as a pseries
Usage
is.pseries(object)
Arguments
object object to be checked for pseries features
LaborSupply 33
Details
A "pseries" is a wrapper around a "basic class" (numeric, factor, logical, character, or complex).
To qualify as a pseries, an object needs to have the following features:
• class contains "pseries" and there are at least two classes ("pseries" and the basic class),
• have an appropriate index attribute (defines the panel structure),
• any of is.numeric, is.factor, is.logical, is.character, is.complex is TRUE.
Value
A logical indicating whether the object is a pseries (TRUE) or not (FALSE).
See Also
pseries() for some computations on pseries and some further links.
Examples
# Create a pdata.frame and extract a series, which becomes a pseries

data("EmplUK", package = "plm")
Em <- pdata.frame(EmplUK)
z <- Em$output
class(z) # pseries as indicated by class

is.pseries(z) # and confirmed by check
# destroy index of pseries and re-check

attr(z, "index") <- NA
is.pseries(z) # now FALSE
LaborSupply Wages and Hours Worked
Description
Format
lnhr log of annual hours worked
lnwg log of hourly wage
kids number of children
age age
34 lag.plm
disab bad health

id id
year year
Details
Source
Online complements to Ziliak (1997).

Journal of Business Economics and Statistics web site: https://amstat.tandfonline.com/loi/
ubes20/.
References
Colin Cameron A, K. Trivedi P (2005). Microeconometrics: Methods and Applications. Cambridge

University Press. ISBN 0521848059, doi:10.1017/CBO9780511811241.
Ziliak JP (1997). “Efficient Estimation with Panel Data When Instruments Are Predetermined:
An Empirical Comparison of Moment-Condition Estimators.” Journal of Business & Economic
Statistics, 15(4), 419–431. ISSN 07350015.
lag.plm lag, lead, and diff for panel data
Description
lag, lead, and diff functions for class pseries.
Usage
lead(x, k = 1L, ...)

lag(x, k = 1L, shift = c("time", "row"), ...)

lead(x, k = 1L, shift = c("time", "row"), ...)

diff(x, lag = 1L, shift = c("time", "row"), ...)
lag.plm 35
Arguments
x a pseries object,
k an integer, the number of lags for the lag and lead methods (can also be nega-
tive). For the lag method, a positive (negative) k gives lagged (leading) values.
For the lead method, a positive (negative) k gives leading (lagged) values, thus,
lag(x, k = -1L) yields the same as lead(x, k = 1L). If k is an integer with
length > 1 (k = c(k1, k2, ...)), a matrix with multiple lagged pseries is re-
turned,
... further arguments (currently none evaluated).
shift character, either "time" (default) or "row" determining how the shifting in the
lag/lead/diff functions is performed (see Details and Examples).
lag integer, the number of lags for the diff method, can also be of length > 1 (see
argument k) (only non–negative values in argument lag are allowed for diff),
Details
This set of functions perform lagging, leading (lagging in the opposite direction), and differencing
operations on pseries objects, i. e., they take the panel structure of the data into account by
performing the operations per individual.
Argument shift controls the shifting of observations to be used by methods lag, lead, and diff:
• shift = "time" (default): Methods respect the numerical value in the time dimension of the
index. The time dimension needs to be interpretable as a sequence t, t+1, t+2, . . . where t is an
integer (from a technical viewpoint, as.numeric(as.character(index(your_pdata.frame)[[2]]))
needs to result in a meaningful integer).
• shift = "row": Methods perform the shifting operation based solely on the "physical posi-
tion" of the observations, i.e., neighbouring rows are shifted per individual. The value in the
time index is not relevant in this case.
For consecutive time periods per individual, a switch of shifting behaviour results in no difference.
Different return values will occur for non-consecutive time periods per individual ("holes in time"),
see also Examples.
Value
• An object of class pseries, if the argument specifying the lag has length 1 (argument k in
functions lag and lead, argument lag in function diff).
• A matrix containing the various series in its columns, if the argument specifying the lag has
length > 1.
Note
The sign of k in lag.pseries results in inverse behaviour compared to stats::lag() and zoo::lag.zoo().
Author(s)
Yves Croissant and Kevin Tappe
36 make.dummies
See Also
To check if the time periods are consecutive per individual, see is.pconsecutive().
For further function for ’pseries’ objects: between(), Between(), Within(), summary.pseries(),
print.summary.pseries(), as.matrix.pseries().
Examples
# First, create a pdata.frame

# Then extract a series, which becomes additionally a pseries

z <- Em$output
class(z)
# compute the first and third lag, and the difference lagged twice
lag(z)
lag(z, 3L)
diff(z, 2L)
# compute negative lags (= leading values)

lag(z, -1L)
lead(z, 1L) # same as line above
identical(lead(z, 1L), lag(z, -1L)) # TRUE
# compute more than one lag and diff at once (matrix returned)
lag(z, c(1L,2L))
diff(z, c(1L,2L))
## demonstrate behaviour of shift = "time" vs. shift = "row"

# delete 2nd time period for first individual (1978 is missing (not NA)):
Em_hole <- Em[-2L, ]
is.pconsecutive(Em_hole) # check: non-consecutive for 1st individual now
# original non-consecutive data:

head(Em_hole$emp, 10)
# for shift = "time", 1-1979 contains the value of former 1-1977 (2 periods lagged):
head(lag(Em_hole$emp, k = 2L, shift = "time"), 10L)
# for shift = "row", 1-1979 contains NA (2 rows lagged (and no entry for 1976):
head(lag(Em_hole$emp, k = 2L, shift = "row"), 10L)
make.dummies Create a Dummy Matrix
Description
Contrast-coded dummy matrix created from a factor
make.dummies 37
Usage
make.dummies(x, ...)
make.dummies(x, base = 1L, base.add = TRUE, ...)

make.dummies(x, col, base = 1L, base.add = TRUE, ...)

make.dummies(x, col, base = 1L, base.add = TRUE, ...)
Arguments
x a factor from which the dummies are created (x is coerced to factor if not yet a
factor) for the default method or a data data frame/pdata.frame for the respective
method.
base integer or character, specifies the reference level (base), if integer it refers to
position in levels(x), if character the name of a level,
base.add logical, if TRUE the reference level (base) is added to the return value as first
column, if FALSE the reference level is not included.
col character (only for the data frame and pdata.frame methods), to specify the col-
umn which is used to derive the dummies from,
Details
This function creates a matrix of dummies from the levels of a factor. In model estimations, it is
usually preferable to not create the dummy matrix prior to estimation but to simply specify a factor
in the formula and let the estimation function handle the creation of the dummies.
This function is merely a convenience wrapper around stats::contr.treatment to ease the
dummy matrix creation process shall the dummy matrix be explicitly required. See Examples for a
use case in LSDV (least squares dummy variable) model estimation.
The default method uses a factor as main input (or something coercible to a factor) to derive the
dummy matrix from. Methods for data frame and pdata.frame are available as well and have the
additional argument col to specify the the column from which the dummies are created; both meth-
ods merge the dummy matrix to the data frame/pdata.frame yielding a ready-to-use data set. See
also Examples for use cases.
Value
For the default method, a matrix containing the contrast-coded dummies, dimensions are n x n where
n = length(levels(x)) if argument base.add = TRUE or n = length(levels(x)-1) if base.add
= FALSE; for the data frame and pdata.frame method, a data frame or pdata.frame, respectively, with
the dummies appropriately merged to the input as last columns (column names are derived from the
name of the column used to create the dummies and its levels).
38 make.pbalanced
Author(s)
Kevin Tappe
See Also
stats::contr.treatment(), stats::contrasts()
Examples
library(plm)
Grunfeld <- Grunfeld[1:100, ] # reduce data set (down to 5 firms)
## default method
make.dummies(Grunfeld$firm) # gives 5 x 5 matrix (5 firms, base level incl.)
make.dummies(Grunfeld$firm, base = 2L, base.add = FALSE) # gives 5 x 4 matrix
## data frame method

Grun.dummies <- make.dummies(Grunfeld, col = "firm")
## pdata.frame method
pGrun <- pdata.frame(Grunfeld)
pGrun.dummies <- make.dummies(pGrun, col = "firm")
## Model estimation:
## estimate within model (individual/firm effects) and LSDV models (firm dummies)
# within model:
plm(inv ~ value + capital, data = pGrun, model = "within")
## LSDV with user-created dummies by make.dummies:

form_dummies <- paste0("firm", c(1:5), collapse = "+")
form_dummies <- formula(paste0("inv ~ value + capital + ", form_dummies))
plm(form_dummies, data = pGrun.dummies, model = "pooling") # last dummy is dropped
# LSDV via factor(year) -> let estimation function generate dummies:

plm(inv ~ value + capital + factor(firm), data = pGrun, model = "pooling")
make.pbalanced Make data balanced
Description
This function makes the data balanced, i.e., each individual has the same time periods, by filling in
or dropping observations
make.pbalanced 39
Usage
make.pbalanced(
x,
balance.type = c("fill", "shared.times", "shared.individuals"),
...
)

make.pbalanced(
x,
...
)

make.pbalanced(
x,
...
)

make.pbalanced(
x,
index = NULL,
...
)
Arguments
x an object of class pdata.frame, data.frame, or pseries;
balance.type character, one of "fill", "shared.times", or "shared.individuals", see
Details,
Details
(p)data.frame and pseries objects are made balanced, meaning each individual has the same time
periods. Depending on the value of balance.type, the balancing is done in different ways:
• balance.type = "fill" (default): The union of available time periods over all individuals is
taken (w/o NA values). Missing time periods for an individual are identified and corresponding
40 make.pbalanced
rows (elements for pseries) are inserted and filled with NA for the non–index variables (ele-
ments for a pseries). This means, only time periods present for at least one individual are
inserted, if missing.
• balance.type = "shared.times": The intersect of available time periods over all individuals
is taken (w/o NA values). Thus, time periods not available for all individuals are discarded, i.
e., only time periods shared by all individuals are left in the result).
• balance.type = "shared.individuals": All available time periods are kept and those indi-
viduals are dropped for which not all time periods are available, i. e., only individuals shared
by all time periods are left in the result (symmetric to "shared.times").
The data are not necessarily made consecutive (regular time series with distance 1), because bal-
ancedness does not imply consecutiveness. For making the data consecutive, use make.pconsecutive()
(and, optionally, set argument balanced = TRUE to make consecutive and balanced, see also Exam-
ples for a comparison of the two functions.
Note: Rows of (p)data.frames (elements for pseries) with NA values in individual or time index are
not examined but silently dropped before the data are made balanced. In this case, it cannot be
inferred which individual or time period is meant by the missing value(s) (see also Examples). Es-
pecially, this means: NA values in the first/last position of the original time periods for an individual
are dropped, which are usually meant to depict the beginning and ending of the time series for that
individual. Thus, one might want to check if there are any NA values in the index variables before
applying make.pbalanced, and especially check for NA values in the first and last position for each
individual in original data and, if so, maybe set those to some meaningful begin/end value for the
time series.
Value
An object of the same class as the input x, i.e., a pdata.frame, data.frame or a pseries which is made
balanced based on the index variables. The returned data are sorted as a stacked time series.
Author(s)
Kevin Tappe
See Also
is.pbalanced() to check if data are balanced; is.pconsecutive() to check if data are consecu-
tive; make.pconsecutive() to make data consecutive (and, optionally, also balanced).
punbalancedness() for two measures of unbalancedness, pdim() to check the dimensions of a
’pdata.frame’ (and other objects), pvar() to check for individual and time variation of a ’pdata.frame’
(and other objects), lag() for lagging (and leading) values of a ’pseries’ object.
pseries(), data.frame(), pdata.frame().
Examples
# take data and make it unbalanced

nrow(Grunfeld) # 200 rows
make.pbalanced 41

pdim(Grunfeld_missing_period)$balanced # check if balanced: FALSE
make.pbalanced(Grunfeld_missing_period) # make it balanced (by filling)
make.pbalanced(Grunfeld_missing_period, balance.type = "shared.times") # (shared periods)
nrow(make.pbalanced(Grunfeld_missing_period))
nrow(make.pbalanced(Grunfeld_missing_period, balance.type = "shared.times"))
# more complex data:

# First, make data unbalanced (and non-consecutive)
# by deletion of 2nd time period (year 1936) for all individuals
# and more time periods for first individual only
Grunfeld_unbalanced <- Grunfeld[Grunfeld$year != 1936, ]
Grunfeld_unbalanced <- Grunfeld_unbalanced[-c(1,4), ]
pdim(Grunfeld_unbalanced)$balanced # FALSE
all(is.pconsecutive(Grunfeld_unbalanced)) # FALSE
g_bal <- make.pbalanced(Grunfeld_unbalanced)

pdim(g_bal)$balanced # TRUE
unique(g_bal$year) # all years but 1936
nrow(g_bal) # 190 rows
head(g_bal) # 1st individual: years 1935, 1939 are NA
# NA in 1st, 3rd time period (years 1935, 1937) for first individual
Grunfeld_NA <- Grunfeld
Grunfeld_NA[c(1, 3), "year"] <- NA
g_bal_NA <- make.pbalanced(Grunfeld_NA)
head(g_bal_NA) # years 1935, 1937: NA for non-index vars
nrow(g_bal_NA) # 200
make.pbalanced(Grunfeld_missing_period)
# pseries interface
make.pbalanced(pGrunfeld_missing_period$inv)
# comparison to make.pconsecutive
g_consec <- make.pconsecutive(Grunfeld_unbalanced)
all(is.pconsecutive(g_consec)) # TRUE
pdim(g_consec)$balanced # FALSE
head(g_consec, 22) # 1st individual: no years 1935/6; 1939 is NA;
# other indviduals: years 1935-1954, 1936 is NA
nrow(g_consec) # 198 rows
g_consec_bal <- make.pconsecutive(Grunfeld_unbalanced, balanced = TRUE)

all(is.pconsecutive(g_consec_bal)) # TRUE
pdim(g_consec_bal)$balanced # TRUE
head(g_consec_bal) # year 1936 is NA for all individuals
nrow(g_consec_bal) # 200 rows
head(g_bal) # no year 1936 at all

42 make.pconsecutive
make.pconsecutive Make data consecutive (and, optionally, also balanced)
Description
This function makes the data consecutive for each individual (no "gaps" in time dimension per
individual) and, optionally, also balanced
Usage
make.pconsecutive(x, ...)

make.pconsecutive(x, balanced = FALSE, index = NULL, ...)

make.pconsecutive(x, balanced = FALSE, ...)

make.pconsecutive(x, balanced = FALSE, ...)
Arguments
x an object of class pdata.frame, data.frame, or pseries,
balanced logical, indicating whether the data should additionally be made balanced (de-
fault: FALSE),
Details
(p)data.frame and pseries objects are made consecutive, meaning their time periods are made con-
secutive per individual. For consecutiveness, the time dimension is interpreted to be numeric, and
the data are extended to a regularly spaced sequence with distance 1 between the time periods
for each individual (for each individual the time dimension become a sequence t, t+1, t+2, . . . ,
where t is an integer). Non–index variables are filled with NA for the inserted elements (rows for
(p)data.frames, vector elements for pseries).
With argument balanced = TRUE, additionally to be made consecutive, the data also can be made
a balanced panel/pseries. Note: This means consecutive AND balanced; balancedness does not
imply consecutiveness. In the result, each individual will have the same time periods in their time
dimension by taking the min and max of the time index variable over all individuals (w/o NA values)
and inserting the missing time periods. Looking at the number of rows of the resulting (pdata.frame)
(elements for pseries), this results in nrow(make.pconsecutive(<.>, balanced = FALSE)) <=
make.pconsecutive 43
nrow(make.pconsecutive(<.>, balanced = TRUE)). For making the data only balanced, i.e.,
not demanding consecutiveness at the same time, use make.pbalanced() (see Examples for a
comparison)).
Note: rows of (p)data.frames (elements for pseries) with NA values in individual or time index are
not examined but silently dropped before the data are made consecutive. In this case, it is not clear
which individual or time period is meant by the missing value(s). Especially, this means: If there
are NA values in the first/last position of the original time periods for an individual, which usually
depicts the beginning and ending of the time series for that individual, the beginning/end of the
resulting time series is taken to be the min and max (w/o NA values) of the original time series for
that individual, see also Examples. Thus, one might want to check if there are any NA values in the
index variables before applying make.pconsecutive, and especially check for NA values in the first
and last position for each individual in original data and, if so, maybe set those to some meaningful
begin/end value for the time series.
Value
An object of the same class as the input x, i.e., a pdata.frame, data.frame or a pseries which is made
time–consecutive based on the index variables. The returned data are sorted as a stacked time series.
Author(s)
Kevin Tappe
See Also
is.pconsecutive() to check if data are consecutive; make.pbalanced() to make data only bal-
anced (not consecutive).
punbalancedness() for two measures of unbalancedness, pdim() to check the dimensions of a
’pdata.frame’ (and other objects), pvar() to check for individual and time variation of a ’pdata.frame’
(and other objects), lag() for lagged (and leading) values of a ’pseries’ object.
pseries(), data.frame(), pdata.frame().
Examples
# take data and make it non-consecutive

nrow(Grunfeld) # 200 rows
is.pconsecutive(Grunfeld_missing_period) # check for consecutiveness
make.pconsecutive(Grunfeld_missing_period) # make it consecutiveness
# argument balanced:
# First, make data non-consecutive and unbalanced
# by deletion of 2nd time period (year 1936) for all individuals
# and more time periods for first individual only
Grunfeld_unbalanced <- Grunfeld[Grunfeld$year != 1936, ]
Grunfeld_unbalanced <- Grunfeld_unbalanced[-c(1,4), ]
44 Males
all(is.pconsecutive(Grunfeld_unbalanced)) # FALSE
pdim(Grunfeld_unbalanced)$balanced # FALSE
g_consec_bal <- make.pconsecutive(Grunfeld_unbalanced, balanced = TRUE)

all(is.pconsecutive(g_consec_bal)) # TRUE
pdim(g_consec_bal)$balanced # TRUE
nrow(g_consec_bal) # 200 rows
head(g_consec_bal) # 1st individual: years 1935, 1936, 1939 are NA
g_consec <- make.pconsecutive(Grunfeld_unbalanced) # default: balanced = FALSE

all(is.pconsecutive(g_consec)) # TRUE
pdim(g_consec)$balanced # FALSE
nrow(g_consec) # 198 rows
head(g_consec) # 1st individual: years 1935, 1936 dropped, 1939 is NA
# NA in 1st, 3rd time period (years 1935, 1937) for first individual
Grunfeld_NA <- Grunfeld
Grunfeld_NA[c(1, 3), "year"] <- NA
g_NA <- make.pconsecutive(Grunfeld_NA)
head(g_NA) # 1936 is begin for 1st individual, 1937: NA for non-index vars
nrow(g_NA) # 199, year 1935 from original data is dropped
make.pconsecutive(Grunfeld_missing_period)
# pseries interface
make.pconsecutive(pGrunfeld_missing_period$inv)
# comparison to make.pbalanced (makes the data only balanced, not consecutive)

g_bal <- make.pbalanced(Grunfeld_unbalanced)
all(is.pconsecutive(g_bal)) # FALSE
pdim(g_bal)$balanced # TRUE
Males Wages and Education of Young Males
Description
Format
model.frame.pdata.frame 45
nr identifier
year year
school years of schooling
exper years of experience (computed as age-6-school)
union wage set by collective bargaining?
ethn a factor with levels black, hisp, other
married married?
health health problem?
wage log of hourly wage
industry a factor with 12 levels
occupation a factor with 9 levels
residence a factor with levels rural_area, north_east, northern_central, south
Details

observation : individuals
Source
Journal of Applied Econometrics data archive http://qed.econ.queensu.ca/jae/1998-v13.2/

vella-verbeek/.
References
Vella F, Verbeek M (1998). “Whose wages do unions raise? A dynamic model of unionism and
wage rate determination for young men.” Journal of Applied Econometrics, 13, 163–183.
Verbeek M (2004). A Guide to Modern Econometrics, 2nd edition. Wiley.
model.frame.pdata.frame
model.frame and model.matrix for panel data
Description
Methods to create model frame and model matrix for panel data.
46 model.frame.pdata.frame
Usage
model.frame(
formula,
data = NULL,
...,
lhs = NULL,
rhs = NULL,
dot = "previous"
)

formula(x, ...)

model.matrix(object, ...)

model.matrix(
object,
model = c("pooling", "within", "Between", "Sum", "between", "mean", "random", "fd"),
rhs = 1,
theta = NULL,
cstcovar.rm = NULL,
...
)
Arguments
data a formula, see Details,
lhs inherited from package Formula::Formula() (see there),
rhs inherited from package Formula::Formula() (see there),
dot inherited from package Formula::Formula() (see there),
x a model.frame
object, formula
an object of class "pdata.frame" or an estimated model object of class "plm",
model one of "pooling", "within", "Sum", "Between", "between", "random", "fd"
and "ht",
effect the effects introduced in the model, one of "individual", "time", "twoways"
or "nested",
theta the parameter for the transformation if model = "random",
cstcovar.rm remove the constant columns, one of "none", "intercept", "covariates", "all"),
model.frame.pdata.frame 47
Details
The lhs and rhs arguments are inherited from Formula, see there for more details.
The model.frame methods return a pdata.frame object suitable as an input to plm’s model.matrix.
The model.matrix methods builds a model matrix with transformations performed as specified by
the model and effect arguments (and theta if model = "random" is requested), in this case the
supplied data argument should be a model frame created by plm’s model.frame method. If not,
it is tried to construct the model frame from the data. Constructing the model frame first ensures
proper NA handling, see Examples.
Value
The model.frame methods return a pdata.frame.

The model.matrix methods return a matrix.
Author(s)
Yves Croissant
See Also
pmodel.response() for (transformed) response variable.

Formula::Formula() from package Formula, especially for the lhs and rhs arguments.
Examples
# First, make a pdata.frame

# then make a model frame from a formula and a pdata.frame

form <- inv ~ value
mf <- model.frame(pGrunfeld, form)
# then construct the (transformed) model matrix (design matrix)

# from model frame
modmat <- model.matrix(mf, model = "within")
## retrieve model frame and model matrix from an estimated plm object
fe_model <- plm(form, data = pGrunfeld, model = "within")
model.frame(fe_model)
model.matrix(fe_model)
# same as constructed before

all.equal(mf, model.frame(fe_model), check.attributes = FALSE) # TRUE
all.equal(modmat, model.matrix(fe_model), check.attributes = FALSE) # TRUE
48 mtest
mtest Arellano–Bond Test of Serial Correlation
Description
Test of serial correlation for models estimated by GMM
Usage
mtest(object, ...)

mtest(object, order = 1L, vcov = NULL, ...)
Arguments
object an object of class "pgmm",

... further arguments (currently unused).
order integer: the order of the serial correlation,
vcov a matrix of covariance for the coefficients or a function to compute it,
Details
The Arellano–Bond test is a test of correlation based on the residuals of the estimation. By default,
the computation is done with the standard covariance matrix of the coefficients. A robust estimator
of this covariance matrix can be supplied with the vcov argument.
Value
Author(s)
Yves Croissant
References
(Arellano and Bond 1991)
See Also
pgmm()
nobs.plm 49
Examples

ar <- pgmm(log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) +
lag(log(capital), 0:2) + lag(log(output), 0:2) | lag(log(emp), 2:99),
data = EmplUK, effect = "twoways", model = "twosteps")
mtest(ar, order = 1L)
mtest(ar, order = 2L, vcov = vcovHC)
nobs.plm Extract Total Number of Observations Used in Estimated Panelmodel
Description
This function extracts the total number of ’observations’ from a fitted panel model.
Usage
nobs(object, ...)

nobs(object, ...)
Arguments
object a panelmodel object for which the number of total observations is to be ex-
tracted,
Details
The number of observations is usually the length of the residuals vector. Thus, nobs gives the num-
ber of observations actually used by the estimation procedure. It is not necessarily the number of ob-
servations of the model frame (number of rows in the model frame), because sometimes the model
frame is further reduced by the estimation procedure. This is, e.g., the case for first–difference
models estimated by plm(..., model = "fd") where the model frame does not yet contain the
differences (see also Examples).
Value
A single number, normally an integer.
See Also
pdim()
50 Parity
Examples
# estimate a panelmodel
z <- plm(log(gsp)~log(pcap)+log(pc)+log(emp)+unemp,data=Produc,
model="random", subset = gsp > 5000)
nobs(z) # total observations used in estimation

pdim(z)$nT$N # same information
pdim(z) # more information about the dimensions (no. of individuals and time periods)
# illustrate difference between nobs and pdim for first-difference model

fdmod <- plm(inv ~ value + capital, data = Grunfeld, model = "fd")
nobs(fdmod) # 190
pdim(fdmod)$nT$N # 200
Parity Purchasing Power Parity and other parity relationships
Description
A panel of 104 quarterly observations from 1973Q1 to 1998Q4
Format
country country codes: a factor with 17 levels

time the quarter index, 1973Q1-1998Q4
ls log spot exchange rate vs. USD
lp log price level
is short term interest rate
il long term interest rate
ld log price differential vs. USA
uis U.S. short term interest rate
uil U.S. long term interest rate
Details
country : OECD
pbgtest 51
Source
Coakley J, Fuertes A, Smith R (2006). “Unobserved heterogeneity in panel time series models.”
Computational Statistics & Data Analysis, 50(9), 2361–2380.
References
Coakley J, Fuertes A, Smith R (2006). “Unobserved heterogeneity in panel time series models.”
Computational Statistics & Data Analysis, 50(9), 2361–2380.
Driscoll JC, Kraay AC (1998). “Consistent covariance matrix estimation with spatially dependent
panel data.” Review of economics and statistics, 80(4), 549–560.
pbgtest Breusch–Godfrey Test for Panel Models
Description
Test of serial correlation for (the idiosyncratic component of) the errors in panel models.
Usage
pbgtest(x, ...)

pbgtest(x, order = NULL, type = c("Chisq", "F"), ...)

pbgtest(
x,
order = NULL,
type = c("Chisq", "F"),
data,
model = c("pooling", "random", "within"),
...
)
Arguments
x an object of class "panelmodel" or of class "formula",
... further arguments (see lmtest::bgtest()).
order an integer indicating the order of serial correlation to be tested for. NULL (default)
uses the minimum number of observations over the time dimension (see also
section Details below),
type type of test statistic to be calculated; either "Chisq" (default) for the Chi-
squared test statistic or "F" for the F test statistic,
data only relevant for formula interface: data set for which the respective panel model
(see model) is to be evaluated,
52 pbgtest
model only relevant for formula interface: compute test statistic for model pooling
(default), random, or within. When model is used, the data argument needs to
be passed as well,
Details
This Lagrange multiplier test uses the auxiliary model on (quasi-)demeaned data taken from a model
of class plm which may be a pooling (default for formula interface), random or within model. It
performs a Breusch–Godfrey test (using bgtest from package lmtest on the residuals of the (quasi-
)demeaned model, which should be serially uncorrelated under the null of no serial correlation in
idiosyncratic errors, as illustrated in Wooldridge (2010). The function takes the demeaned data,
estimates the model and calls bgtest.
Unlike most other tests for serial correlation in panels, this one allows to choose the order of corre-
lation to test for.
Value
Note
The argument order defaults to the minimum number of observations over the time dimension,
while for lmtest::bgtest it defaults to 1.
Author(s)
Giovanni Millo
References
Breusch TS (1978). “Testing for autocorrelation in dynamic linear models.” Australian Economic
Papers, 17(31), 334–355.
Godfrey LG (1978). “Testing against general autoregressive and moving average error models when
the regressors include lagged dependent variables.” Econometrica, 46(6), 1293–1301.
Wooldridge JM (2002). Econometric Analysis of Cross–Section and Panel Data. MIT Press.
Press.
Wooldridge JM (2013). Introductory Econometrics: a modern approach, 5th edition. South-
Western (Cengage Learning). Sec. 12.2, pp. 421–422.
See Also
For the original test in package lmtest see lmtest::bgtest(). See pdwtest() for the analogous
panel Durbin–Watson test. See pbltest(), pbsytest(), pwartest() and pwfdtest() for other
serial correlation tests for panel models.
pbltest 53
Examples

g <- plm(inv ~ value + capital, data = Grunfeld, model = "random")
# panelmodel interface
pbgtest(g)
pbgtest(g, order = 4)
# formula interface
pbgtest(inv ~ value + capital, data = Grunfeld, model = "random")
# F test statistic (instead of default type="Chisq")

pbgtest(g, type="F")
pbgtest(inv ~ value + capital, data = Grunfeld, model = "random", type = "F")
pbltest Baltagi and Li Serial Dependence Test For Random Effects Models
Description
Baltagi and Li (1995)’s Lagrange multiplier test for AR(1) or MA(1) idiosyncratic errors in panel
models with random effects.
Usage
pbltest(x, ...)

pbltest(x, data, alternative = c("twosided", "onesided"), index = NULL, ...)

pbltest(x, alternative = c("twosided", "onesided"), ...)
Arguments
x a model formula or an estimated random–effects model of class plm ,

data for the formula interface only: a data.frame,
alternative one of "twosided", "onesided". Selects either HA : ρ 6= 0 or HA : ρ = 0
(i.e., the Normal or the Chi-squared version of the test),
index the index of the data.frame,
54 pbnftest
Details
This is a Lagrange multiplier test for the null of no serial correlation, against the alternative of either
an AR(1) or a MA(1) process, in the idiosyncratic component of the error term in a random effects
panel model (as the analytical expression of the test turns out to be the same under both alternatives,
(see Baltagi and Li 1995 and Baltagi and Li 1997). The alternative argument, defaulting to
twosided, allows testing for positive serial correlation only, if set to onesided.
Value
Author(s)
Giovanni Millo
References
Baltagi B, Li Q (1995). “Testing AR(1) Against MA(1) Disturbances in an Error Component
Model.” Journal of Econometrics, 68, 133–151.
Baltagi B, Li Q (1997). “Monte Carlo Results on Pure and Pretest Estimators of an Error Compo-
nents Model With Autocorrelated Disturbances.” Annales d’Economie et de Statistique, 48, 69–82.
See Also
pdwtest(), pbnftest(), pbgtest(), pbsytest(), pwartest() and pwfdtest() for other serial
correlation tests for panel models.
Examples
# formula interface
pbltest(inv ~ value + capital, data = Grunfeld)
# plm interface
re_mod <- plm(inv ~ value + capital, data = Grunfeld, model = "random")
pbltest(re_mod)
pbltest(re_mod, alternative = "onesided")
pbnftest Modified BNF–Durbin–Watson Test and Baltagi–Wu’s LBI Test for

Panel Models
Description
Tests for AR(1) disturbances in panel models.
pbnftest 55
Usage
pbnftest(x, ...)

pbnftest(x, test = c("bnf", "lbi"), ...)

pbnftest(
x,
data,
test = c("bnf", "lbi"),
model = c("pooling", "within", "random"),
...
)
Arguments
... only relevant for formula interface: further arguments to specify the model to
test (arguments passed on to plm()), e.g., effect.
test a character indicating the test to be performed, either "bnf" or "lbi" for the
(modified) BNF statistic or Baltagi–Wu’s LBI statistic, respectively,
data a data.frame (only relevant for formula interface),
model a character indicating on which type of model the test shall be performed ("pooling",
"within", "random", only relevant for formula interface),
Details
The default, test = "bnf", gives the (modified) BNF statistic, the generalised Durbin-Watson statis-
tic for panels. For balanced and consecutive panels, the reference is Bhargava/Franzini/Narendranathan
(1982). The modified BNF is given for unbalanced and/or non-consecutive panels (d1 in formula
16 of Baltagi and Wu (1999)).
test = "lbi" yields Baltagi–Wu’s LBI statistic (Baltagi and Wu 1999), the locally best invariant
test which is based on the modified BNF statistic.
No specific variants of these tests are available for random effect models. As the within estimator is
consistent also under the random effects assumptions, the test for random effect models is performed
by taking the within residuals.
No p-values are given for the statistics as their distribution is quite difficult. Bhargava et al. (1982)
supply tabulated bounds for p = 0.05 for the balanced case and consecutive case.
For large N, (Bhargava et al. 1982) suggest it is sufficient to check whether the BNF statistic is < 2
to test against positive serial correlation.
Value
56 pbsytest
Author(s)
Kevin Tappe
References
Baltagi BH, Wu PX (1999). “Unequally Spaced Panel Data Regressions with AR(1) Disturbances.”
Econometric Theory, 15(6), 814–823. ISSN 02664666, 14694360.
Bhargava A, Franzini L, Narendranathan W (1982). “Serial Correlation and the Fixed Effects
Model.” The Review of Economic Studies, 49(4), 533–549. ISSN 00346527, 1467937X.
See Also
pdwtest() for the original Durbin–Watson test using (quasi-)demeaned residuals of the panel
model without taking the panel structure into account. pbltest(), pbsytest(), pwartest() and
pwfdtest() for other serial correlation tests for panel models.
Examples
# formula interface, replicate Baltagi/Wu (1999), table 1, test case A:

data_A <- Grunfeld[!Grunfeld[["year"]] %in% c("1943", "1944"), ]
pbnftest(inv ~ value + capital, data = data_A, model = "within")
pbnftest(inv ~ value + capital, data = data_A, test = "lbi", model = "within")
# replicate Baltagi (2013), p. 101, table 5.1:

re <- plm(inv ~ value + capital, data = Grunfeld, model = "random")
pbnftest(re)
pbnftest(re, test = "lbi")
pbsytest Bera, Sosa-Escudero and Yoon Locally–Robust Lagrange Multiplier

Tests for Panel Models and Joint Test by Baltagi and Li
Description
Test for residual serial correlation (or individual random effects) locally robust vs. individual ran-
dom effects (serial correlation) for panel models and joint test of serial correlation and the random
effect specification by Baltagi and Li.
pbsytest 57
Usage
pbsytest(x, ...)

pbsytest(
x,
data,
...,
test = c("ar", "re", "j"),
re.normal = if (test == "re") TRUE else NULL
)

pbsytest(
x,
test = c("ar", "re", "j"),
re.normal = if (test == "re") TRUE else NULL,
...
)
Arguments
x an object of class formula or of class panelmodel,
data a data.frame,
test a character string indicating which test to perform: first–order serial correlation
("ar"), random effects ("re") or joint test for either of them ("j"),
re.normal logical, only relevant for test = "re": TRUE (default) computes the one-sided
"re" test, FALSE the two-sided test (see also Details); not relevant for other
values of test and, thus, should be NULL,
Details
These Lagrange multiplier tests are robust vs. local misspecification of the alternative hypothesis,
i.e., they test the null of serially uncorrelated residuals against AR(1) residuals in a pooling model,
allowing for local departures from the assumption of no random effects; or they test the null of no
random effects allowing for local departures from the assumption of no serial correlation in residu-
als. They use only the residuals of the pooled OLS model and correct for local misspecification as
outlined in Bera et al. (2001).
For test = "re", the default (re.normal = TRUE) is to compute a one-sided test which is expected to
lead to a more powerful test (asymptotically N(0,1) distributed). Setting re.normal = FALSE gives
the two-sided test (asymptotically chi-squared(2) distributed). Argument re.normal is irrelevant
for all other values of test.
The joint test of serial correlation and the random effect specification (test = "j") is due to Baltagi
and Li (1991) (also mentioned in Baltagi and Li (1995), pp. 135–136) and is added for convenience
under this same function.
58 pbsytest
The unbalanced version of all tests are derived in Sosa-Escudero and Bera (2008). The functions
implemented are suitable for balanced as well as unbalanced panel data sets.
A concise treatment of the statistics for only balanced panels is given in Baltagi (2013), p. 108.
Here is an overview of how the various values of the test argument relate to the literature:
• test = "ar":
– RS∗ρ in Bera et al. (2001), p. 9 (balanced)
– LM ∗ρ in Baltagi (2013), p. 108 (balanced)
– RS∗λ in Sosa-Escudero/Bera (2008), p. 73 (unbalanced)
• test = "re", re.normal = TRUE (default) (one-sided test, asymptotically N(0,1) dis-
tributed):
– RSO∗µ in Bera et al. (2001), p. 11 (balanced)
– RSO∗µ in Sosa-Escudero/Bera (2008), p. 75 (unbalanced)
• test = "re", re.normal = FALSE (two-sided test, asymptotically chi-squared(2) dis-
tributed):
– RS∗µ in Bera et al. (2001), p. 7 (balanced)
– LM ∗µ in Baltagi (2013), p. 108 (balanced)
– RS∗µ in Sosa-Escudero/Bera (2008), p. 73 (unbalanced)
• test = "j":
– RSµρ in Bera et al. (2001), p. 10 (balanced)
– LM in Baltagi/Li (2001), p. 279 (balanced)
– LM1 in Baltagi and Li (1995), pp. 135–136 (balanced)
– LM 1 in Baltagi (2013), p. 108 (balanced)
– RSλρ in Sosa-Escudero/Bera (2008), p. 74 (unbalanced)
Value
Author(s)
Giovanni Millo (initial implementation) & Kevin Tappe (extension to unbalanced panels)
References
Bera AK, Sosa–Escudero W, Yoon M (2001). “Tests for the Error Component Model in the Presence
of Local Misspecification.” Journal of Econometrics, 101, 1–23.
Baltagi B, Li Q (1991). “A Joint Test for Serial Correlation and Random Individual Effects.” Statis-
tics and Probability Letters, 11, 277–280.
Baltagi B, Li Q (1995). “Testing AR(1) Against MA(1) Disturbances in an Error Component
Model.” Journal of Econometrics, 68, 133–151.
Sosa-Escudero W, Bera AK (2008). “Tests for Unbalanced Error-Components Models under Local
Misspecification.” The Stata Journal, 8(1), 68-78. doi:10.1177/1536867X0800800105, https://doi.org/10.1177/1536867X080
pcce 59
See Also
plmtest() for individual and/or time random effects tests based on a correctly specified model;
pbltest(), pbgtest() and pdwtest() for serial correlation tests in random effects models.
Examples
## Bera et. al (2001), p. 13, table 1 use

## a subset of the original Grunfeld
## data which contains three errors -> construct this subset:
Grunsubset <- rbind(Grunfeld[1:80, ], Grunfeld[141:160, ])
Grunsubset[Grunsubset$firm == 2 & Grunsubset$year %in% c(1940, 1952), ][["inv"]] <- c(261.6, 645.2)
Grunsubset[Grunsubset$firm == 2 & Grunsubset$year == 1946, ][["capital"]] <- 232.6
## default is AR testing (formula interface)

pbsytest(inv ~ value + capital, data = Grunsubset, index = c("firm", "year"))
pbsytest(inv ~ value + capital, data = Grunsubset, index = c("firm", "year"), test = "re")
pbsytest(inv ~ value + capital, data = Grunsubset, index = c("firm", "year"),
test = "re", re.normal = FALSE)
pbsytest(inv ~ value + capital, data = Grunsubset, index = c("firm", "year"), test = "j")
## plm interface
mod <- plm(inv ~ value + capital, data = Grunsubset, model = "pooling")
pbsytest(mod)
pcce Common Correlated Effects estimators
Description
Common Correlated Effects Mean Groups (CCEMG) and Pooled (CCEP) estimators for panel data
with common factors (balanced or unbalanced)
Usage
pcce(
formula,
data,
subset,
na.action,
model = c("mg", "p"),
index = NULL,
trend = FALSE,
...
)
60 pcce

summary(object, vcov = NULL, ...)
## S3 method for class 'summary.pcce'

print(
x,
...
)

residuals(object, type = c("defactored", "standard"), ...)

model.matrix(object, ...)

pmodel.response(object, ...)
Arguments
formula a symbolic description of the model to be estimated,

data a data.frame,
subset see lm,
na.action see lm,
model one of "mg", "p", selects Mean Groups vs. Pooled CCE model,
index the indexes, see pdata.frame(),
trend logical specifying whether an individual-specific trend has to be included,
object, x an object of class "pcce",
vcov a variance-covariance matrix furnished by the user or a function to calculate one,
digits digits,
type one of "defactored" or "standard",
Details
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.
pcce 61
Value
An object of class c("pcce", "panelmodel") containing:
coefficients the vector of coefficients,

residuals the vector of (defactored) residuals,
stdres the vector of (raw) residuals,
tr.model the transformed data after projection on H,
fitted.values the vector of fitted values,
vcov the covariance matrix of the coefficients,
df.residual degrees of freedom of the residuals,
model a data.frame containing the variables used for the estimation,
call the call,
indcoef the matrix of individual coefficients from separate time series regressions,
r.squared numeric, the R squared.
Author(s)
Giovanni Millo
References
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.
Examples

ccepmod <- pcce(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc, model="p")
summary(ccepmod)
summary(ccepmod, vcov = vcovHC) # use argument vcov for robust std. errors
ccemgmod <- pcce(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc, model="mg")
summary(ccemgmod)
62 pcdtest
pcdtest Tests of cross-section dependence for panel models
Description
Pesaran’s CD or Breusch–Pagan’s LM (local or global) tests for cross sectional dependence in panel
models
Usage
pcdtest(x, ...)

pcdtest(
x,
data,
index = NULL,
model = NULL,
test = c("cd", "sclm", "bcsclm", "lm", "rho", "absrho"),
w = NULL,
...
)

pcdtest(
x,
w = NULL,
...
)

pcdtest(
x,
w = NULL,
...
)
Arguments
x an object of class formula, panelmodel, or pseries (depending on the respec-
tive interface) describing the model to be tested,
... further arguments to be passed on for model estimation to plm, such as effect
or random.method.
data a data.frame,
pcdtest 63
index an optional numerical index, if NULL, the first two columns of the data.frame
provided in argument data are assumed to be the index variables; for further
details see pdata.frame(),
model an optional character string indicating which type of model to estimate; if left to
NULL, the original heterogeneous specification of Pesaran is used,
test the type of test statistic to be returned. One of
• "cd" for Pesaran’s CD statistic,
• "lm" for Breusch and Pagan’s original LM statistic,
• "sclm" for the scaled version of Breusch and Pagan’s LM statistic,
• "bcsclm" for the bias-corrected scaled version of Breusch and Pagan’s LM
statistic,
• "rho" for the average correlation coefficient,
• "absrho" for the average absolute correlation coefficient,
w either NULL (default) for the global tests or – for the local versions of the statis-
tics – a n x n matrix describing proximity between individuals, with wi j = a
where a is any number such that as.logical(a)==TRUE, if i, j are neighbours,
0 or any number b such that as.logical(b)==FALSE elsewhere. Only the lower
triangular part (without diagonal) of w after coercing by as.logical() is eval-
uated for neighbouring information (but w can be symmetric). See also Details
and Examples,
Details
These tests are originally meant to use the residuals of separate estimation of one time–series re-
gression for each cross-sectional unit in order to check for cross–sectional dependence (model =
NULL). If a different model specification (model = "within", "random", . . . ) is assumed consistent,
one can resort to its residuals for testing (which is common, e.g., when the time dimension’s length
is insufficient for estimating the heterogeneous model).
If the time dimension is insufficient and model = NULL, the function defaults to estimation of a
within model and issues a warning. The main argument of this function may be either a model
of class panelmodel or a formula and data frame; in the second case, unless model is set to
NULL, all usual parameters relative to the estimation of a plm model may be passed on. The test is
compatible with any consistent panelmodel for the data at hand, with any specification of effect
(except for test = "bcsclm" which requires a within model with either individual or two-ways
effect). E.g., specifying effect = "time" or effect = "twoways" allows to test for residual cross-
sectional dependence after the introduction of time fixed effects to account for common shocks.
A local version of either test can be computed by supplying a proximity matrix (elements coercible
to logical) with argument w which provides information on whether any pair of individuals are
neighbours or not. If w is supplied, only neighbouring pairs will be used in computing the test; else,
w will default to NULL and all observations will be used. The matrix need not be binary, so commonly
used "row–standardized" matrices can be employed as well. nb objects from spdep must instead be
transformed into matrices by spdep’s function nb2mat before using.
The methods implemented are suitable also for unbalanced panels.
Pesaran’s CD test (test="cd"), Breusch and Pagan’s LM test (test="lm"), and its scaled version
(test="sclm") are all described in Pesaran (2004) (and complemented by Pesaran (2005)). The
64 pcdtest
bias-corrected scaled test (test="bcsclm") is due to (Baltagi et al. 2012) and only valid for within
models including the individual effect (it’s unbalanced version uses max(Tij) for T) in the bias-
correction term). Breusch and Pagan (1980) is the original source for the LM test.
The test on a pseries is the same as a test on a pooled regression model of that variable on a con-
stant, i.e., pcdtest(some_pseries) is equivalent to pcdtest(plm(some_var ~ 1, data = some_pdata.frame, model = "p
and also equivalent to pcdtest(some_var ~ 1, data = some_data), where some_var is the vari-
able name in the data which corresponds to some_pseries.
Value
References
Baltagi BH, Feng Q, Kao C (2012). “A Lagrange Multiplier test for cross-sectional dependence in
a fixed effects panel data model.” Journal of Econometrics, 170(1), 164 - 177. ISSN 0304-4076,
https://www.sciencedirect.com/science/article/pii/S030440761200098X.
Breusch TS, Pagan AR (1980). “The Lagrange Multiplier Test and Its Applications to Model Spec-
ification in Econometrics.” Review of Economic Studies, 47, 239–253.
Pesaran MH (2004). “General Diagnostic Tests for Cross Section Dependence in Panels.” CESifo
Working Paper Series, 1229.
Pesaran MH (2015). “Testing Weak Cross-Sectional Dependence in Large Panels.” Econometric
Reviews, 34(6-10), 1089-1117. doi:10.1080/07474938.2014.956623, https://doi.org/10.1080/07474938.2014.956623.
Examples

## test on heterogeneous model (separate time series regressions)
pcdtest(inv ~ value + capital, data = Grunfeld,
index = c("firm", "year"))
## test on two-way fixed effects homogeneous model

pcdtest(inv ~ value + capital, data = Grunfeld, model = "within",
effect = "twoways", index = c("firm", "year"))
## test on panelmodel object

g <- plm(inv ~ value + capital, data = Grunfeld, index = c("firm", "year"))
pcdtest(g)
## scaled LM test
pcdtest(g, test = "sclm")
## test on pseries
pcdtest(pGrunfeld$value)
## local test
## define neighbours for individual 2: 1, 3, 4, 5 in lower triangular matrix
w <- matrix(0, ncol= 10, nrow=10)
pdata.frame 65
w[2,1] <- w[3,2] <- w[4,2] <- w[5,2] <- 1

pcdtest(g, w = w)
pdata.frame data.frame for panel data
Description
An object of class ’pdata.frame’ is a data.frame with an index attribute that describes its individual
and time dimensions.
Usage
pdata.frame(
x,
index = NULL,
drop.index = FALSE,
row.names = TRUE,
stringsAsFactors = FALSE,
replace.non.finite = FALSE,
drop.NA.series = FALSE,
drop.const.series = FALSE,
drop.unused.levels = FALSE
)
## S3 replacement method for class 'pdata.frame'

x$name <- value

x[i, j, drop]

x[[y]]

x$y

print(x, ...)

as.list(x, keep.attributes = FALSE, ...)

as.data.frame(
x,
66 pdata.frame
row.names = NULL,
optional = FALSE,
keep.attributes = TRUE,
...
)
Arguments
x a data.frame for the pdata.frame function and a pdata.frame for the meth-
ods,
index this argument indicates the individual and time indexes. See Details,
drop.index logical, indicates whether the indexes are to be excluded from the resulting
pdata.frame,
row.names NULL or logical, indicates whether "fancy" row names (combination of individ-
ual index and time index) are to be added to the returned (p)data.frame (NULL and
FALSE have the same meaning for pdata.frame; for as.data.frame.pdata.frame
see Details),
stringsAsFactors
logical, indicating whether character vectors are to be converted to factors,
replace.non.finite
logical, indicating whether values for which is.finite() yields TRUE are to be
replaced by NA values, except for character variables (defaults to FALSE),
drop.NA.series logical, indicating whether all-NA columns are to be removed from the pdata.frame
(defaults to FALSE),
drop.const.series
logical, indicating whether constant columns are to be removed from the pdata.frame
(defaults to FALSE),
drop.unused.levels
logical, indicating whether unused levels of factors are to be dropped (defaults
to FALSE) (unused levels are always dropped from variables serving to construct
the index variables),
name the name of the data.frame,
value the name of the variable to include,
i see Extract(),
j see Extract(),
drop see Extract(),
y one of the columns of the data.frame,
keep.attributes
logical, only for as.list and as.data.frame methods, indicating whether the ele-
ments of the returned list/columns of the data.frame should have the pdata.frame’s
attributes added (default: FALSE for as.list, TRUE for as.data.frame),
optional see as.data.frame(),
pdata.frame 67
Details
The index argument indicates the dimensions of the panel. It can be:
• a vector of two character strings which contains the names of the individual and of the time
indexes,
• a character string which is the name of the individual index variable. In this case, the time
index is created automatically and a new variable called "time" is added, assuming consecutive
and ascending time periods in the order of the original data,
• an integer, the number of individuals. In this case, the data need to be a balanced panel and be
organized as a stacked time series (successive blocks of individuals, each block being a time
series for the respective individual) assuming consecutive and ascending time periods in the
order of the original data. Two new variables are added: "id" and "time" which contain the
individual and the time indexes.
The "[[" and "$" extract a series from the pdata.frame. The "index" attribute is then added to
the series and a class attribute "pseries" is added. The "[" method behaves as for data.frame,
except that the extraction is also applied to the index attribute. A safe way to extract the index
attribute is to use the function index() for ’pdata.frames’ (and other objects).
as.data.frame removes the index attribute from the pdata.frame and adds it to each column.
For its argument row.names set to FALSE row names are an integer series, TRUE gives "fancy" row
names; if a character (with length of the resulting data frame), the row names will be the character’s
elements.
as.list behaves by default identical to base::as.list.data.frame() which means it drops the
attributes specific to a pdata.frame; if a list of pseries is wanted, the attribute keep.attributes can
to be set to TRUE. This also makes lapply work as expected on a pdata.frame (see also Examples).
Value
a pdata.frame object: this is a data.frame with an index attribute which is a data.frame with
two variables, the individual and the time indexes, both being factors. The resulting pdata.frame is
sorted by the individual index, then by the time index.
Author(s)
Yves Croissant
See Also
index() to extract the index variables from a ’pdata.frame’ (and other objects), pdim() to check
the dimensions of a ’pdata.frame’ (and other objects), pvar() to check for each variable if it varies
cross-sectionally and over time. To check if the time periods are consecutive per individual, see
is.pconsecutive().
Examples
# Gasoline contains two variables which are individual and time

# indexes
data("Gasoline", package = "plm")
68 pdim
Gas <- pdata.frame(Gasoline, index = c("country", "year"), drop.index = TRUE)
# Hedonic is an unbalanced panel, townid is the individual index

data("Hedonic", package = "plm")
Hed <- pdata.frame(Hedonic, index = "townid", row.names = FALSE)
# In case of balanced panel, it is sufficient to give number of

# individuals data set 'Wages' is organized as a stacked time
# series
data("Wages", package = "plm")
Wag <- pdata.frame(Wages, 595)
# lapply on a pdata.frame by making it a list of pseries first

lapply(as.list(Wag[ , c("ed", "lwage")], keep.attributes = TRUE), lag)
pdim Check for the Dimensions of the Panel
Description
This function checks the number of individuals and time observations in the panel and whether it is
balanced or not.
Usage
pdim(x, ...)
pdim(x, y, ...)

pdim(x, index = NULL, ...)

pdim(x, ...)

pdim(x, ...)

pdim(x, ...)

pdim(x, ...)

pdim 69
pdim(x, ...)

pdim(x, ...)

pdim(x, ...)
## S3 method for class 'pdim'

print(x, ...)
Arguments
x a data.frame, a pdata.frame, a pseries, a panelmodel, or a pgmm object,
y a vector,
index see pdata.frame(),
Details
pdim is called by the estimation functions and can be also used stand-alone.
Value
An object of class pdim containing the following elements:
nT a list containing n, the number of individuals, T, the number of time observa-

tions, N the total number of observations,
Tint a list containing two vectors (of type integer): Ti gives the number of observa-
tions for each individual and nt gives the number of individuals observed for
each period,
balanced a logical value: TRUE for a balanced panel, FALSE for an unbalanced panel,
panel.names a list of character vectors: id.names contains the names of each individual and
time.names contains the names of each period.
Note
Calling pdim on an estimated panelmodel object and on the corresponding (p)data.frame used for
this estimation does not necessarily yield the same result. When called on an estimated panelmodel,
the number of observations (individual, time) actually used for model estimation are taken into ac-
count. When called on a (p)data.frame, the rows in the (p)data.frame are considered, disre-
garding any NAvalues in the dependent or independent variable(s) which would be dropped during
model estimation.
Author(s)
Yves Croissant
70 pdwtest
See Also
is.pbalanced() to just determine balancedness of data (slightly faster than pdim),

punbalancedness() for measures of unbalancedness,
nobs(), pdata.frame(),
pvar() to check for each variable if it varies cross-sectionally and over time.
Examples
# There are 595 individuals

pdim(Wages, 595)

# indexes and are the first two variables
data("Gasoline", package="plm")
pdim(Gasoline)
# Hedonic is an unbalanced panel, townid is the individual index

pdim(Hedonic, "townid")
# An example of the panelmodel method

z <- plm(log(gsp)~log(pcap)+log(pc)+log(emp)+unemp,data=Produc,
model="random", subset = gsp > 5000)
pdim(z)
pdwtest Durbin–Watson Test for Panel Models
Description
Test of serial correlation for (the idiosyncratic component of) the errors in panel models.
Usage
pdwtest(x, ...)

pdwtest(x, ...)

pdwtest(x, data, ...)
pdwtest 71
Arguments

... further arguments to be passed on to dwtest, e.g., alternative, see lmtest::dwtest()
for further details.
data a data.frame,
Details
This Durbin–Watson test uses the auxiliary model on (quasi-)demeaned data taken from a model of
class plm which may be a pooling (the default), random or within model. It performs a Durbin–
Watson test (using dwtest from package lmtest on the residuals of the (quasi-)demeaned model,
which should be serially uncorrelated under the null of no serial correlation in idiosyncratic errors.
The function takes the demeaned data, estimates the model and calls dwtest. Thus, this test does
not take the panel structure of the residuals into consideration; it shall not be confused with the
generalized Durbin-Watson test for panels in pbnftest.
Value
Author(s)
Giovanni Millo
References
Durbin J, Watson GS (1950). “Testing for Serial Correlation in Least Squares Regression: I.”
Biometrika, 37(3/4), 409–428. ISSN 00063444.
Durbin J, Watson GS (1951). “Testing for serial correlation in least sqares regression. II.” Biometrika,
38(1-2), 159-178. ISSN 0006-3444, doi:10.1093/biomet/38.12.159.
Durbin J, Watson GS (1971). “Testing for Serial Correlation in Least Squares Regression. III.”
Biometrika, 58(1), 1–19. ISSN 00063444.
Press.
See Also
lmtest::dwtest() for the Durbin–Watson test in lmtest, pbgtest() for the analogous Breusch–
Godfrey test for panel models, lmtest::bgtest() for the Breusch–Godfrey test for serial corre-
lation in the linear model. pbltest(), pbsytest(), pwartest() and pwfdtest() for other serial
correlation tests for panel models.
For the Durbin-Watson test generalized to panel data models see pbnftest().
72 pFtest
Examples

g <- plm(inv ~ value + capital, data = Grunfeld, model="random")
pdwtest(g)
pdwtest(g, alternative="two.sided")
## formula interface
pdwtest(inv ~ value + capital, data=Grunfeld, model="random")
pFtest F Test for Individual and/or Time Effects
Description
Test of individual and/or time effects based on the comparison of the within and the pooling
model.
Usage
pFtest(x, ...)

pFtest(x, data, ...)

pFtest(x, z, ...)
Arguments
x an object of class "plm" or of class "formula",
data a data.frame,
z an object of class "plm",
Details
For the plm method, the argument of this function is two plm objects, the first being a within model,
the second a pooling model. The effects tested are either individual, time or twoways, depending
on the effects introduced in the within model.
Value
Author(s)
Yves Croissant
pggls 73
See Also
plmtest() for Lagrange multiplier tests of individuals and/or time effects.
Examples
data("Grunfeld", package="plm")
gp <- plm(inv ~ value + capital, data = Grunfeld, model = "pooling")
gi <- plm(inv ~ value + capital, data = Grunfeld,
effect = "individual", model = "within")
gt <- plm(inv ~ value + capital, data = Grunfeld,
effect = "time", model = "within")
gd <- plm(inv ~ value + capital, data = Grunfeld,
effect = "twoways", model = "within")
pFtest(gi, gp)
pFtest(gt, gp)
pFtest(gd, gp)
pFtest(inv ~ value + capital, data = Grunfeld, effect = "twoways")
pggls General FGLS Estimators
Description
General FGLS estimators for panel data (balanced or unbalanced)
Usage
pggls(
formula,
data,
subset,
na.action,
effect = c("individual", "time"),
model = c("within", "pooling", "fd"),
index = NULL,
...
)

## S3 method for class 'summary.pggls'

print(
x,
74 pggls
...
)

residuals(object, ...)
Arguments
data a data.frame,
subset see lm(),
na.action see lm(),
effect the effects introduced in the model, one of "individual" or "time",
model one of "within", "pooling", "fd",
object, x an object of class pggls,
digits digits,
Details
pggls is a function for the estimation of linear panel models by general feasible generalized least
squares, either with or without fixed effects. General FGLS is based on a two-step estimation pro-
cess: first a model is estimated by OLS (model = "pooling"), fixed effects (model = "within") or
first differences (model = "fd"), then its residuals are used to estimate an error covariance matrix for
use in a feasible-GLS analysis. This framework allows the error covariance structure inside every
group (if effect = "individual", else symmetric) of observations to be fully unrestricted and is
therefore robust against any type of intragroup heteroskedasticity and serial correlation. Conversely,
this structure is assumed identical across groups and thus general FGLS estimation is inefficient un-
der groupwise heteroskedasticity. Note also that this method requires estimation of T (T + 1)/2
variance parameters, thus efficiency requires N » T (if effect = "individual", else the opposite).
If model = "within" (the default) then a FEGLS (fixed effects GLS, see Wooldridge, Ch. 10.5) is
estimated; if model = "fd" a FDGLS (first-difference GLS). Setting model = "pooling" produces
an unrestricted FGLS model (see ibid.) (model = "random" does the same, but using this value is
deprecated and included only for retro–compatibility reasons).
Value
An object of class c("pggls","panelmodel") containing:

residuals the vector of residuals,
pgmm 75

call the call,
sigma the estimated intragroup (or cross-sectional, if effect = "time") covariance of
errors,
Author(s)
Giovanni Millo
References
Im KS, Ahn SC, Schmidt P, Wooldridge JM (1999). “Efficient estimation of panel data models
with strictly exogenous explanatory variables.” Journal of Econometrics, 93(1), 177 - 201. ISSN
0304-4076, https://www.sciencedirect.com/science/article/pii/S0304407699000081.
Kiefer NM (1980). “Estimation of fixed effect models for time series of cross-sections with arbitrary
intertemporal covariance.” Journal of Econometrics, 14(2), 195–202.
Press.
Examples

zz_wi <- pggls(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp,
data = Produc, model = "within")
summary(zz_wi)
zz_pool <- pggls(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp,

data = Produc, model = "pooling")
summary(zz_pool)
zz_fd <- pggls(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp,

data = Produc, model = "fd")
summary(zz_fd)
pgmm Generalized Method of Moments (GMM) Estimation for Panel Data
Description
Generalized method of moments estimation for static or dynamic models with panel data.
76 pgmm
Usage
pgmm(
formula,
data,
subset,
na.action,
effect = c("twoways", "individual"),
model = c("onestep", "twosteps"),
collapse = FALSE,
lost.ts = NULL,
transformation = c("d", "ld"),
fsm = NULL,
index = NULL,
...
)

coef(object, ...)

summary(object, robust = TRUE, time.dummies = FALSE, ...)
## S3 method for class 'summary.pgmm'

print(
x,
...
)
Arguments
formula a symbolic description for the model to be estimated. The preferred interface is
now to indicate a multi–part formula, the first two parts describing the covariates
and the GMM instruments and, if any, the third part the ’normal’ instruments,
data a data.frame (neither factors nor character vectors will be accepted in data.frame),
subset see lm(),
na.action see lm(),
effect the effects introduced in the model, one of "twoways" (the default) or "individual",
model one of "onestep" (the default) or "twosteps",
collapse if TRUE, the GMM instruments are collapsed (default is FALSE),
lost.ts the number of lost time series: if NULL, this is automatically computed. Other-
wise, it can be defined by the user as a numeric vector of length 1 or 2. The first
element is the number of lost time series in the model in difference, the second
one in the model in level. If the second element is missing, it is set to the first
one minus one,
pgmm 77
transformation the kind of transformation to apply to the model: either "d" (the default value)
for the "difference GMM" model or "ld" for the "system GMM" model,
fsm the matrix for the one step estimator: one of "I" (identity matrix) or "G" (=
D0 D where D is the first–difference operator) if transformation="d", one of
"GI" or "full" if transformation="ld",
index the indexes,
object, x an object of class "pgmm",
robust for pgmm’s summary method: if TRUE (default), robust inference is performed
in the summary,
time.dummies for pgmm’s summary method: if TRUE, the estimated coefficients of time dum-
mies are present in the table of coefficients; default is FALSE, thus time dummies
are dropped in summary’s coefficient table (argument is only meaningful if there
are time dummies in the model, i.e., only for effect = "twoways"),
digits digits,
width the maximum length of the lines in the print output.
Details
pgmm estimates a model for panel data with a generalized method of moments (GMM) estimator.
The description of the model to estimate is provided with a multi–part formula which is (or which
is coerced to) a Formula object. The first right–hand side part describes the covariates. The sec-
ond one, which is mandatory, describes the GMM instruments. The third one, which is optional,
describes the ’normal’ instruments. By default, all the variables of the model which are not used as
GMM instruments are used as normal instruments with the same lag structure as the one specified
in the model.
y~lag(y, 1:2)+lag(x1, 0:1)+lag(x2, 0:2) | lag(y, 2:99) is similar to
y~lag(y, 1:2)+lag(x1, 0:1)+lag(x2, 0:2) | lag(y, 2:99) | lag(x1, 0:1)+lag(x2, 0:2)
and indicates that all lags from 2 of y are used as GMM instruments.
transformation indicates how the model should be transformed for the estimation. "d" gives
the "difference GMM" model (see Arellano and Bond 1991), "ld" the "system GMM" model (see
Blundell and Bond 1998).
pgmm is an attempt to adapt GMM estimators available within the DPD library for GAUSS (see
Arellano and Bond 1998) and Ox (see Arellano and Bond 2012) and within the xtabond2 library for
Stata (see Roodman 2009).
Value
An object of class c("pgmm","panelmodel"), which has the following elements:
coefficients the vector (or the list for fixed effects) of coefficients,
residuals the list of residuals for each individual,
78 pgmm

model a list containing the variables used for the estimation for each individual,
W a list containing the instruments for each individual (a matrix per list element)
(two lists in case of system GMM,
A1 the weighting matrix for the one–step estimator,
A2 the weighting matrix for the two–steps estimator,
call the call.
In addition, it has attribute "pdim" which contains the pdim object for model.
It has print, summary and print.summary methods.
Author(s)
Yves Croissant
References
Arellano M, Bond S (1991). “Some Tests of Specification for Panel Data : Monte Carlo Evidence
and an Application to Employment Equations.” Review of Economic Studies, 58, 277–297.
Arellano M, Bond S (1998). “Dynamic panel data estimation using DPD98 for GAUSS: a guide for
users.” unpublished.
Arellano M, Bond S (2012). “Panel data estimation using DPD for Ox.” unpublished, https:
//www.doornik.com/download/oxmetrics7/Ox_Packages/dpd.pdf.
Blundell R, Bond S (1998). “Initital Conditions and Moment Restrictions in Dynamic Panel Data
Models.” Journal of Econometrics, 87, 115–143.
Roodman D (2009). “How to do xtabond2: An introduction to difference and system GMM

in Stata.” The Stata Journal, 9, 86-136. https://www.stata-journal.com/article.html?
article=st0159.
See Also
sargan() for the Hansen–Sargan test and mtest() for Arellano–Bond’s test of serial correlation.
dynformula() for dynamic formulas (deprecated).
Examples
## Arellano and Bond (1991), table 4 col. b

z1 <- pgmm(log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1)
+ log(capital) + lag(log(output), 0:1) | lag(log(emp), 2:99),
summary(z1, robust = FALSE)
pgrangertest 79
## Blundell and Bond (1998) table 4 (cf. DPD for OX p. 12 col. 4)

z2 <- pgmm(log(emp) ~ lag(log(emp), 1)+ lag(log(wage), 0:1) +
lag(log(capital), 0:1) | lag(log(emp), 2:99) +
lag(log(wage), 2:99) + lag(log(capital), 2:99),
data = EmplUK, effect = "twoways", model = "onestep",
transformation = "ld")
summary(z2, robust = TRUE)
## Not run:
## Same with the old formula or dynformula interface
## Arellano and Bond (1991), table 4, col. b
z1 <- pgmm(log(emp) ~ log(wage) + log(capital) + log(output),
lag.form = list(2,1,0,1), data = EmplUK,
effect = "twoways", model = "twosteps",
gmm.inst = ~log(emp), lag.gmm = list(c(2,99)))
summary(z1, robust = FALSE)
## Blundell and Bond (1998) table 4 (cf DPD for OX p. 12 col. 4)

z2 <- pgmm(dynformula(log(emp) ~ log(wage) + log(capital), list(1,1,1)),
data = EmplUK, effect = "twoways", model = "onestep",
gmm.inst = ~log(emp) + log(wage) + log(capital),
lag.gmm = c(2,99), transformation = "ld")
summary(z2, robust = TRUE)
## End(Not run)
pgrangertest Panel Granger (Non-)Causality Test (Dumitrescu/Hurlin (2012))
Description
Test for Granger (non-)causality in panel data.
Usage
pgrangertest(
formula,
data,
test = c("Ztilde", "Zbar", "Wbar"),
order = 1L,
index = NULL
)
Arguments
formula a formula object to describe the direction of the hypothesized Granger causa-
tion,
80 pgrangertest
data a pdata.frame or a data.frame,

test a character to request the statistic to be returned, either "Ztilde" (default),or
"Zbar", alternatively, set to "Wbar" for an intermediate statistic (see Details),
order integer(s) giving the number of lags to include in the test’s auxiliary regressions,
the length of order must be either 1 (same lag order for all individuals) or equal
to the number of individuals (to specify a lag order per individual),
index only relevant if data is data.frame and not a pdata.frame; if NULL, the first
two columns of the data.frame are assumed to be the index variables, for further
details see pdata.frame().
Details
The panel Granger (non-)causality test is a combination of Granger tests (Granger 1969) performed
per individual. The test is developed by Dumitrescu and Hurlin (2012), a shorter exposition is given
in Lopez and Weber (2017).
The formula formula describes the direction of the (panel) Granger causation where y ~ x means
"x (panel) Granger causes y".
By setting argument test to either "Ztilde" (default) or "Zbar", two different statistics can be
requested. "Ztilde" gives the standardised statistic recommended by Dumitrescu/Hurlin (2012)
for fixed T samples. If set to "Wbar", the intermediate Wbar statistic (average of individual Granger
chi-square statistics) is given which is used to derive the other two.
The Zbar statistic is not suitable for unbalanced panels. For the Wbar statistic, no p-value is avail-
able.
The implementation uses lmtest::grangertest() from package lmtest to perform the individual
Granger tests.
Value
An object of class c("pgrangertest", "htest"). Besides the usual elements of a htest object,
it contains the data frame indgranger which carries the Granger test statistics per individual along
the associated p-values, degrees of freedom, and the specified lag order.
Author(s)
Kevin Tappe
References
Dumitrescu E, Hurlin C (2012). “Testing for Granger non-causality in heterogeneous panels.”
Economic Modelling, 29(4), 1450 - 1460. ISSN 0264-9993, https://www.sciencedirect.com/
science/article/pii/S0264999312000491.
Granger CWJ (1969). “Investigating Causal Relations by Econometric Models and Cross-spectral
Methods.” Econometrica, 37(3), 424–438. ISSN 00129682, 14680262.
Lopez L, Weber S (2017). “Testing for Granger causality in panel data.” Stata Journal, 17(4),
972-984. https://www.stata-journal.com/article.html?article=st0507.
phansitest 81
See Also
lmtest::grangertest() for the original (non-panel) Granger causality test in lmtest.
Examples
## not meaningful, just to demonstrate usage

## H0: 'value' does not Granger cause 'inv' for all invididuals

pgrangertest(inv ~ value, data = Grunfeld)
pgrangertest(inv ~ value, data = Grunfeld, order = 2L)
pgrangertest(inv ~ value, data = Grunfeld, order = 2L, test = "Zbar")
# varying lag order (last individual lag order 3, others lag order 2)
(pgrt <- pgrangertest(inv ~ value, data = Grunfeld, order = c(rep(2L, 9), 3L)))
# chisq statistics per individual
pgrt$indgranger
phansitest Simes Test for unit roots in panel data
Description
Simes’ test of intersection of individual hypothesis tests (Simes (1986)) applied to panel unit root
tests as suggested by Hanck (2013).
Usage
phansitest(object, alpha = 0.05)
## S3 method for class 'phansitest'

print(x, cutoff = 10L, ...)
Arguments
object either a numeric containing p-values of individual unit root test results (does not
need to be sorted) or a suitable purtest object (as produced by purtest() for
a test which gives p-values of the individuals (Hadri’s test in purtest is not
suitable)),
alpha numeric, the pre-specified significance level (defaults to 0.05),
x an object of class c("phansitest", "list") as produced by phansitest to
be printed,
cutoff integer, cutoff value for printing of enumeration of individuals with rejected
individual H0, for print method only,
... further arguments (currently not used).
82 phansitest
Details
Simes’ approach to testing is combining p-values from single hypothesis tests with a global (inter-
sected) hypothesis. Hanck (2013) mentions it can be applied to any panel unit root test which yield
a p-value for each individual series. The test is robust versus general patterns of cross-sectional
dependence.
Further, this approach allows to discriminate between individuals for which the individual H0
(unit root present for individual series) is rejected/is not rejected by Hommel’s procedure (Hom-
mel (1988)) for family-wise error rate control (FWER) at pre-specified significance level alpha via
argument alpha (defaulting to 0.05), i.e., it controls for the multiplicity in testing.
The function phansitest takes as main input object either a plain numeric containing p-values of
individual tests or a purtest object which holds a suitable pre-computed panel unit root test (one
that produces p-values per individual series).
The function’s return value (see section Value) is a list with detailed evaluation of the applied Simes
test.
The associated print method prints a verbal evaluation.
Value
For phansitest, an object of class c("phansitest", "list") which i s a list with the elements:
• id: integer, the identifier of the individual (integer sequence referring to position in input),
• name: character, name of the input’s individual (if it has a name, otherwise "1", "2", "3", ...),
• p: numeric, p-values as input (either the numeric or extracted from the purtest object),
• p.hommel: numeric, p-values after Hommel’s transformation,
• rejected: logical, indicating for which individual the individual null hypothesis is rejected
(TRUE)/non-rejected (FALSE) (after controlling for multiplicity),
• rejected.no: integer, giving the total number of rejected individual series,
• alpha: numeric, the input alpha.
Author(s)
Kevin Tappe
References
Hanck C (2013). “An Intersection Test for Panel Unit Roots.” Econometric Reviews, 32, 183-203.
Hommel G (1988). “A stage wise rejective multiple test procedure based on a modified Bonfer-
roni test.” Biometrika, 75, 383-386.
Simes RJ (1986). “An improved Bonferroni procedure for multiple tests of significance.” Biometrika,
73, 751-754.
See Also
purtest(), cipstest()
pht 83
Examples
### input is numeric (p-values)

#### example from Hanck (2013), Table 11 (left side)
pvals <- c(0.0001,0.0001,0.0001,0.0001,0.0001,0.0001,0.0050,0.0050,0.0050,
0.0050,0.0175,0.0175,0.0200,0.0250,0.0400,0.0500,0.0575,0.2375,0.2475)
countries <- c("Argentina","Sweden","Norway","Mexico","Italy","Finland","France",

"Germany","Belgium","U.K.","Brazil","Australia","Netherlands",
"Portugal","Canada", "Spain","Denmark","Switzerland","Japan")
names(pvals) <- countries
h <- phansitest(pvals)
print(h) # (explicitly) prints test's evaluation
print(h, cutoff = 3L) # print only first 3 rejected ids
h$rejected # logical indicating the individuals with rejected individual H0
### input is a (suitable) purtest object

y <- data.frame(split(Grunfeld$inv, Grunfeld$firm))
obj <- purtest(y, pmax = 4, exo = "intercept", test = "madwu")
phansitest(obj)
pht Hausman–Taylor Estimator for Panel Data
Description
The Hausman–Taylor estimator is an instrumental variable estimator without external instruments
(function deprecated).
Usage
pht(
formula,
data,
subset,
na.action,
model = c("ht", "am", "bms"),
index = NULL,
...
)
## S3 method for class 'pht'

84 pht
## S3 method for class 'summary.pht'

print(
x,
subset = NULL,
...
)
Arguments
data a data.frame,
subset see lm() for "plm", a character or numeric vector indicating a subset of the table
of coefficient to be printed for "print.summary.plm",
na.action see lm(),
model one of "ht" for Hausman–Taylor, "am" for Amemiya–MaCurdy and "bms" for
Breusch–Mizon–Schmidt,
index the indexes,
object, x an object of class "plm",
digits digits,
Details
pht estimates panels models using the Hausman–Taylor estimator, Amemiya–MaCurdy estimator,
or Breusch–Mizon–Schmidt estimator, depending on the argument model. The model is specified
as a two–part formula, the second part containing the exogenous variables.
Value
An object of class c("pht", "plm", "panelmodel").
A "pht" object contains the same elements as plm object, with a further argument called varlist
which describes the typology of the variables. It has summary and print.summary methods.
Note
The function pht is deprecated. Please use function plm to estimate Taylor–Hausman models like
this with a three-part formula as shown in the example:
plm(<formula>, random.method = "ht", model = "random", inst.method = "baltagi").
The Amemiya–MaCurdy estimator and the Breusch–Mizon–Schmidt estimator is computed like-
wise with plm.
pht 85
Author(s)
Yves Croissant
References
(Amemiya and MaCurdy 1986)

(Baltagi 2013)
(Breusch et al. 1989)
(Hausman and Taylor 1981)
Examples
## replicates Baltagi (2005, 2013), table 7.4; Baltagi (2021), table 7.5
## preferred way with plm()
ht <- plm(lwage ~ wks + south + smsa + married + exp + I(exp ^ 2) +
bluecol + ind + union + sex + black + ed |
bluecol + south + smsa + ind + sex + black |
wks + married + union + exp + I(exp ^ 2),
data = Wages, index = 595,
random.method = "ht", model = "random", inst.method = "baltagi")
summary(ht)
am <- plm(lwage ~ wks + south + smsa + married + exp + I(exp ^ 2) +

random.method = "ht", model = "random", inst.method = "am")
summary(am)
## deprecated way with pht() for HT

#ht <- pht(lwage ~ wks + south + smsa + married + exp + I(exp^2) +
# bluecol + ind + union + sex + black + ed |
# sex + black + bluecol + south + smsa + ind,
# data = Wages, model = "ht", index = 595)
#summary(ht)
# deprecated way with pht() for AM
#am <- pht(lwage ~ wks + south + smsa + married + exp + I(exp^2) +
# bluecol + ind + union + sex + black + ed |
# sex + black + bluecol + south + smsa + ind,
# data = Wages, model = "am", index = 595)
#summary(am)
86 phtest
phtest Hausman Test for Panel Models
Description
Specification test for panel models.
Usage
phtest(x, ...)

phtest(
x,
data,
model = c("within", "random"),
method = c("chisq", "aux"),
index = NULL,
vcov = NULL,
...
)

phtest(x, x2, ...)
Arguments
x an object of class "panelmodel" or "formula",
... further arguments to be passed on (currently none).
data a data.frame,
model a character vector containing the names of two models (length(model) must be
2),
effect a character specifying the effect to be introduced to both models, one of "individual",
"time", or "twoways" (only for formula method),
method one of "chisq" or "aux",
index an optional vector of index variables,
vcov an optional covariance function,
x2 an object of class "panelmodel" (only for panelmodel method/interface),
Details
The Hausman test (sometimes also called Durbin–Wu–Hausman test) is based on the difference of
the vectors of coefficients of two different models. The panelmodel method computes the original
version of the test based on a quadratic form (Hausman 1978). The formula method, if method =
phtest 87
"chisq" (default), computes the original version of the test based on a quadratic form; if method
="aux" then the auxiliary-regression-based version as in Wooldridge (2010), Sec.10.7.3. Only
the latter can be robustified by specifying a robust covariance estimator as a function through the
argument vcov (see Examples).
The effect argument is only relevant for the formula method/interface and is then applied to both
models. For the panelmodel method/interface, the test is run with the effects of the already estimated
models.
The equivalent tests in the one-way case using a between model (either "within vs. between"
or "random vs. between") (see Hausman and Taylor 1981 or Baltagi 2013 Sec.4.3) can also be
performed by phtest, but only for test = "chisq", not for the regression-based test. NB: These
equivalent tests using the between model do not extend to the two-ways case. There are, however,
some other equivalent tests, (see Kang 1985 or Baltagi 2013 Sec.4.3.7), but those are unsupported
by phtest.
Value
Author(s)
Yves Croissant, Giovanni Millo
References
Hausman JA (1978). “Specification Tests in Econometrics.” Econometrica, 46, 1251–1271.
Hausman JA, Taylor WE (1981). “Panel Data and Unobservable Individual Effects.” Econometrica,
49, 1377–1398.
Kang S (1985). “A note on the equivalence of specification tests in the two-factor multivariate
variance components model.” Journal of Econometrics, 28(2), 193 - 203. ISSN 0304-4076, https:
//www.sciencedirect.com/science/article/pii/0304407685901198.
Press.
Examples

form <- lgaspcar ~ lincomep + lrpmg + lcarpcap
wi <- plm(form, data = Gasoline, model = "within")
re <- plm(form, data = Gasoline, model = "random")
phtest(wi, re)
phtest(form, data = Gasoline)
phtest(form, data = Gasoline, effect = "time")
# Regression-based Hausman test

phtest(form, data = Gasoline, method = "aux")
# robust Hausman test with vcov supplied as a function and

88 piest
# with additional parameters

phtest(form, data = Gasoline, method = "aux", vcov = vcovHC)
phtest(form, data = Gasoline, method = "aux",
vcov = function(x) vcovHC(x, method="white2", type="HC3"))
piest Chamberlain estimator and test for fixed effects
Description
General estimator useful for testing the within specification
Usage
piest(formula, data, subset, na.action, index = NULL, robust = TRUE, ...)
## S3 method for class 'piest'

print(x, ...)
## S3 method for class 'piest'

## S3 method for class 'summary.piest'

print(
x,
subset = NULL,
...
)
Arguments
data a data.frame,
subset see lm(),
na.action see lm(),
index the indexes,
robust logical, if FALSE, the error is assumed to be spherical, if TRUE, a robust estima-
tion of the covariance matrix is computed,
object, x an object of class "piest" and of class "summary.piest" for the print method
of summary for piest objects,
digits number of digits for printed output,
width the maximum length of the lines in the printed output,
pldv 89
Details
The Chamberlain method consists in using the covariates of all the periods as regressors. It allows
to test the within specification.
Value
An object of class "piest".
Author(s)
Yves Croissant
References
Chamberlain G (1982). “Multivariate regression models for panel data.” Journal of Econometrics,
18, 5–46.
See Also
aneweytest()
Examples
data("RiceFarms", package = "plm")

pirice <- piest(log(goutput) ~ log(seed) + log(totlabor) + log(size), RiceFarms, index = "id")
summary(pirice)
pldv Panel estimators for limited dependent variables
Description
Fixed and random effects estimators for truncated or censored limited dependent variable
Usage
pldv(
formula,
data,
subset,
weights,
na.action,
model = c("fd", "random", "pooling"),
index = NULL,
R = 20,
start = NULL,
90 pldv
lower = 0,
upper = +Inf,
objfun = c("lsq", "lad"),
sample = c("cens", "trunc"),
...
)
Arguments
data a data.frame,
subset see lm,
weights see lm,
na.action see lm,
model one of "fd", "random", or "pooling",
R the number of points for the gaussian quadrature,
start a vector of starting values,
lower the lower bound for the censored/truncated dependent variable,
upper the upper bound for the censored/truncated dependent variable,
objfun the objective function for the fixed effect model (model = "fd", irrelevant for
other values of the model argument ): one of "lsq" for least squares (minimise
sum of squares of the residuals) and "lad" for least absolute deviations (min-
imise sum of absolute values of the residuals),
sample "cens" for a censored (tobit-like) sample, "trunc" for a truncated sample,
Details
pldv computes two kinds of models: a LSQ/LAD estimator for the first-difference model (model =
"fd") and a maximum likelihood estimator with an assumed normal distribution for the individual
effects (model = "random" or "pooling").
For maximum-likelihood estimations, pldv uses internally function maxLik::maxLik() (from pack-
age maxLik).
Value
For model = "fd", an object of class c("plm", "panelmodel"), for model = "random" and model
= "pooling" an object of class c("maxLik", "maxim").
Author(s)
Yves Croissant
plm 91
References
Honoré BE (1992). “Trimmed LAD and least squares estimation of truncated and censored regres-
sion models with fixed effects.” Econometrica, 60(3).
Examples
## as these examples take a bit of time, do not run them automatically
## Not run:
data("Donors", package = "pder")
library("plm")
pDonors <- pdata.frame(Donors, index = "id")
# replicate Landry/Lange/List/Price/Rupp (2010), online appendix, table 5a, models A and B

modA <- pldv(donation ~ treatment + prcontr, data = pDonors,
model = "random", method = "bfgs")
summary(modA)
modB <- pldv(donation ~ treatment * prcontr - prcontr, data = pDonors,
model = "random", method = "bfgs")
summary(modB)
## End(Not run)
plm Panel Data Estimators
Description
Linear models for panel data estimated using the lm function on transformed data.
Usage
plm(
formula,
data,
subset,
weights,
na.action,
model = c("within", "random", "ht", "between", "pooling", "fd"),
random.method = NULL,
random.models = NULL,
random.dfcor = NULL,
inst.method = c("bvk", "baltagi", "am", "bms"),
restrict.matrix = NULL,
restrict.rhs = NULL,
index = NULL,
...
92 plm
## S3 method for class 'plm.list'

print(
x,
...
)

terms(x, ...)

vcov(object, ...)

fitted(object, ...)


df.residual(object, ...)

coef(object, ...)

print(
x,
...
)

update(object, formula., ..., evaluate = TRUE)

deviance(object, model = NULL, ...)

formula(x, ...)

plot(
x,
plm 93
dx = 0.2,
N = NULL,
seed = 1,
within = TRUE,
pooling = TRUE,
between = FALSE,
random = FALSE,
...
)

residuals(object, model = NULL, effect = NULL, ...)

fitted(object, model = NULL, effect = NULL, ...)
Arguments
data a data.frame,
subset see stats::lm(),
weights see stats::lm(),
na.action see stats::lm(); currently, not fully supported,
effect the effects introduced in the model, one of "individual", "time", "twoways",
or "nested",
model one of "pooling", "within", "between", "random" "fd", or "ht",
random.method method of estimation for the variance components in the random effects model,
one of "swar" (default), "amemiya", "walhus", "nerlove"; for Hausman-Taylor
estimation set to "ht" (see Details and Examples),
random.models an alternative to the previous argument, the models used to compute the variance
components estimations are indicated,
random.dfcor a numeric vector of length 2 indicating which degree of freedom should be used,
inst.method the instrumental variable transformation: one of "bvk", "baltagi", "am", or
"bms" (see also Details),
restrict.matrix
a matrix which defines linear restrictions on the coefficients,
restrict.rhs the right hand side vector of the linear restrictions on the coefficients,
index the indexes,
x, object an object of class "plm",
formula. a new formula for the update method,
94 plm
evaluate a boolean for the update method, if TRUE the updated model is returned, if FALSE
the call is returned,
dx the half–length of the individual lines for the plot method (relative to x range),
N the number of individual to plot,
seed the seed which will lead to individual selection,
within if TRUE, the within model is plotted,
pooling if TRUE, the pooling model is plotted,
between if TRUE, the between model is plotted,
random if TRUE, the random effect model is plotted,
Details
plm is a general function for the estimation of linear panel models. It supports the following es-
timation methods: pooled OLS (model = "pooling"), fixed effects ("within"), random effects
("random"), first–differences ("fd"), and between ("between"). It supports unbalanced panels and
two–way effects (although not with all methods).
For random effects models, four estimators of the transformation parameter are available by setting
random.method to one of "swar" (Swamy and Arora 1972) (default), "amemiya" (Amemiya 1971),
"walhus" (Wallace and Hussain 1969), or "nerlove" (Nerlove 1971) (see below for Hausman-
Taylor instrumental variable case).
For first–difference models, the intercept is maintained (which from a specification viewpoint amounts
to allowing for a trend in the levels model). The user can exclude it from the estimated specification
the usual way by adding "-1" to the model formula.
Instrumental variables estimation is obtained using two–part formulas, the second part indicating
the instrumental variables used. This can be a complete list of instrumental variables or an update
of the first part. If, for example, the model is y ~ x1 + x2 + x3, with x1 and x2 endogenous and z1
and z2 external instruments, the model can be estimated with:
• formula = y~x1+x2+x3 | x3+z1+z2,

• formula = y~x1+x2+x3 | . -x1-x2+z1+z2.
If an instrument variable estimation is requested, argument inst.method selects the instrument

variable transformation method:
• "bvk" (default) for Balestra and Varadharajan–Krishnakumar (1987),

• "baltagi" for Baltagi (1981),
• "am" for Amemiya and MaCurdy (1986),
• "bms" for Breusch et al. (1989).
The Hausman–Taylor estimator (Hausman and Taylor 1981) is computed with arguments random.method
= "ht", model = "random", inst.method = "baltagi" (the other way with only model = "ht" is
deprecated).
See also the vignettes for introductions to model estimations (and more) with examples.
plm 95
Value
An object of class "plm".
A "plm" object has the following elements :

vcov the variance–covariance matrix of the coefficients,
residuals the vector of residuals (these are the residuals of the (quasi-)demeaned model),
weights (only for weighted estimations) weights as specified,
formula an object of class "Formula" describing the model,
model the model frame as a "pdata.frame" containing the variables used for estima-
tion: the response is in first column followed by the other variables, the individ-
ual and time indexes are in the ’index’ attribute of model,
ercomp an object of class "ercomp" providing the estimation of the components of the
errors (for random effects models only),
aliased named logical vector indicating any aliased coefficients which are silently dropped
by plm due to linearly dependent terms (see also detect.lindep()),
call the call.
It has print, summary and print.summary methods. The summary method creates an object of
class "summary.plm" that extends the object it is run on with information about (inter alia) F statis-
tic and (adjusted) R-squared of model, standard errors, t–values, and p–values of coefficients, (if
supplied) the furnished vcov, see summary.plm() for further details.
Author(s)
Yves Croissant
References
Amemiya T (1971). “The Estimation of the Variances in a Variance–Components Model.” Interna-
tional Economic Review, 12, 1–13.
Amemiya T, MaCurdy TE (1986). “Instrumental-Variable Estimation of an Error-Components
Model.” Econometrica, 54(4), 869-80.
Balestra P, Varadharajan–Krishnakumar J (1987). “Full Information Estimations of a System of
Simultaneous Equations With Error Components.” Econometric Theory, 3, 223–246.
Baltagi BH (1981). “Simultaneous Equations With Error Components.” Journal of Econometrics,
17, 21–49.
Baltagi BH, Song SH, Jung BC (2001). “The unbalanced nested error component regression
model.” Journal of Econometrics, 101, 357-381.
Breusch TS, Mizon GE, Schmidt P (1989). “Efficient Estimation Using Panel Data.” Econometrica,
57(3), 695-700.
96 plm
Hausman JA, Taylor WE (1981). “Panel Data and Unobservable Individual Effects.” Econometrica,
49, 1377–1398.
Nerlove M (1971). “Further Evidence on the Estimation of Dynamic Economic Relations from a
Time–Series of Cross–Sections.” Econometrica, 39, 359–382.
Swamy PAVB, Arora SS (1972). “The Exact Finite Sample Properties of the Estimators of Coeffi-
cients in the Error Components Regression Models.” Econometrica, 40, 261–275.
Wallace TD, Hussain A (1969). “The Use of Error Components Models in Combining Cross Section
With Time Series Data.” Econometrica, 37(1), 55–72.
See Also
summary.plm() for further details about the associated summary method and the "summary.plm"
object both of which provide some model tests and tests of coefficients. fixef() to compute the
fixed effects for "within" models (=fixed effects models). predict.plm() for predicted values.
Examples

summary(zz)
# replicates some results from Baltagi (2013), table 3.1

p <- plm(inv ~ value + capital,
data = Grunfeld, model = "pooling")

data = Grunfeld, model = "within", effect = "twoways")
swar <- plm(inv ~ value + capital,

data = Grunfeld, model = "random", effect = "twoways")
amemiya <- plm(inv ~ value + capital,

data = Grunfeld, model = "random", random.method = "amemiya",
effect = "twoways")
walhus <- plm(inv ~ value + capital,

data = Grunfeld, model = "random", random.method = "walhus",
effect = "twoways")
# summary and summary with a furnished vcov (passed as matrix,

# as function, and as function with additional argument)
summary(wi)
summary(wi, vcov = vcovHC(wi))
summary(wi, vcov = vcovHC)
summary(wi, vcov = function(x) vcovHC(x, method = "white2"))
## nested random effect model

plm-deprecated 97
# replicate Baltagi/Song/Jung (2001), p. 378 (table 6), columns SA, WH

# == Baltagi (2013), pp. 204-205
pProduc <- pdata.frame(Produc, index = c("state", "year", "region"))
form <- log(gsp) ~ log(pc) + log(emp) + log(hwy) + log(water) + log(util) + unemp
summary(plm(form, data = pProduc, model = "random", effect = "nested"))
summary(plm(form, data = pProduc, model = "random", effect = "nested",
random.method = "walhus"))
## Instrumental variable estimations

# replicate Baltagi (2013/2021), p. 133/162, table 7.1
data("Crime", package = "plm")
FE2SLS <- plm(lcrmrte ~ lprbarr + lpolpc + lprbconv + lprbpris + lavgsen +
ldensity + lwcon + lwtuc + lwtrd + lwfir + lwser + lwmfg + lwfed +
lwsta + lwloc + lpctymle + lpctmin + region + smsa + factor(year)
| . - lprbarr - lpolpc + ltaxpc + lmix,
data = Crime, model = "within")
G2SLS <- update(FE2SLS, model = "random", inst.method = "bvk")
EC2SLS <- update(G2SLS, model = "random", inst.method = "baltagi")
## Hausman-Taylor estimator and Amemiya-MaCurdy estimator

# replicate Baltagi (2005, 2013), table 7.4; Baltagi (2021), table 7.5
ht <- plm(lwage ~ wks + south + smsa + married + exp + I(exp ^ 2) +
random.method = "ht", model = "random", inst.method = "baltagi")
summary(ht)
am <- plm(lwage ~ wks + south + smsa + married + exp + I(exp ^ 2) +

random.method = "ht", model = "random", inst.method = "am")
summary(am)
plm-deprecated Deprecated functions of plm
Description
dynformula, pht, plm.data, and pvcovHC are deprecated functions which could be removed from
plm in a near future.
98 plm-deprecated
Usage
pvcovHC(x, ...)
plm.data(x, indexes = NULL)
dynformula(formula, lag.form = NULL, diff.form = NULL, log.form = NULL)
## S3 method for class 'dynformula'

formula(x, ...)
## S3 method for class 'dynformula'

print(x, ...)
pFormula(object)
## S3 method for class 'pFormula'

as.Formula(x, ...)

as.Formula(x, ...)

model.frame(formula, data, ..., lhs = NULL, rhs = NULL)

model.matrix(
object,
data,
model = c("pooling", "within", "Between", "Sum", "between", "mean", "random", "fd"),
rhs = 1,
theta = NULL,
cstcovar.rm = NULL,
...
)
Arguments
indexes a vector (of length one or two) indicating the (individual and time) indexes (see
Details);
formula a formula,
lag.form a list containing the lag structure of each variable in the formula,
diff.form a vector (or a list) of logical values indicating whether variables should be dif-
ferenced,
log.form a vector (or a list) of logical values indicating whether variables should be in
logarithms.
plm.fast 99
object, x an object of class "plm",

data a data.frame,
lhs see Formula
rhs see Formula
model see plm
effect see plm
theta the parameter of transformation for the random effect model
cstcovar.rm remove the constant columns or not
Details
dynformula was used to construct a dynamic formula which was the first argument of pgmm. pgmm
uses now multi-part formulas.
pht estimates the Hausman-Taylor model, which can now be estimated using the more general plm
function.
plm.data is replaced by pdata.frame.
pvcovHC is replaced by vcovHC.
detect_lin_dep was renamed to detect.lindep.
plm.fast Option to Switch On/Off Fast Data Transformations
Description
A significant speed up can be gained by using fast (panel) data transformation functions from pack-
age collapse. An additional significant speed up for the two-way fixed effects case can be achieved
if package fixest or lfe is installed (package collapse needs to be installed for the fast mode in
any case).
Details
By default, this speed up is enabled. Option plm.fast can be used to enable/disable the speed up.
The option is evaluated prior to execution of supported transformations (see below), so option("plm.fast"
= TRUE) enables the speed up while option("plm.fast" = FALSE) disables the speed up.
To have it always switched off, put options("plm.fast" = FALSE) in your .Rprofile file.
See Examples for how to use the option and for a benchmarking example.
For long, package plm used base R implementations and R-based code. The package collapse
provides fast data transformation functions written in C/C++, among them some especially suitable
for panel data. Having package collapse installed is a requirement for the speed up, so this package
is a hard dependency for package plm.
Availability of packages fixest and lfe is checked for once when package plm is attached and
the additional speed up for the two-way fixed effect case is enabled automatically (fixest wins
100 plm.fast
over lfe), given one of the packages is detected and options("plm.fast" = TRUE) (default) is
set. If so, the packages’ fast algorithms to partial out fixed effects are used (fixest::demean (via
collapse::fhdwithin), lfe::demeanlist). Both packages are ’Suggests’ dependencies.
Users might experience neglectable numerical differences between enabled and disabled fast mode
and base R implementation, depending on the platform and the additional packages installed.
Currently, these basic functions benefit from the speed-up, used as building blocks in most model
estimation functions, e.g., in plm (more functions are under investigation):
• between,
• Between,
• Sum,
• Within,
• pseriesfy.
Examples
## Not run:
### A benchmark of plm without and with speed-up
library("plm")
library("collapse")
library("microbenchmark")
rm(list = ls())
data("wlddev", package = "collapse")
form <- LIFEEX ~ PCGDP + GINI
# produce big data set (taken from collapse's vignette)

wlddevsmall <- get_vars(wlddev, c("iso3c","year","OECD","PCGDP","LIFEEX","GINI","ODA"))
wlddevsmall$iso3c <- as.character(wlddevsmall$iso3c)
data <- replicate(100, wlddevsmall, simplify = FALSE)
rm(wlddevsmall)
uniquify <- function(x, i) {
x$iso3c <- paste0(x$iso3c, i)
x
}
data <- unlist2d(Map(uniquify, data, as.list(1:100)), idcols = FALSE)
data <- pdata.frame(data, index = c("iso3c", "year"))
pdim(data) # Balanced Panel: n = 21600, T = 59, N = 1274400 // but many NAs
# data <- na.omit(data)
# pdim(data) # Unbalanced Panel: n = 13300, T = 1-31, N = 93900
times <- 1 # no. of repetitions for benchmark - this takes quite long!
onewayFE <- microbenchmark(

{options("plm.fast" = FALSE); plm(form, data = data, model = "within")},
{options("plm.fast" = TRUE); plm(form, data = data, model = "within")},
times = times)
summary(onewayFE, unit = "relative")
## two-ways FE benchmark requires pkg fixest and lfe

plmtest 101
## (End-users shall only set option plm.fast. Option plm.fast.pkg.FE.tw shall

## _not_ be set by the end-user, it is determined automatically when pkg plm
## is attached; however, it needs to be set explicitly in this example for the
## benchmark.)
if(requireNamespace("fixest", quietly = TRUE) &&
requireNamespace("lfe", quietly = TRUE)) {
twowayFE <- microbenchmark(

{options("plm.fast" = FALSE);
plm(form, data = data, model = "within", effect = "twoways")},
{options("plm.fast" = TRUE, "plm.fast.pkg.FE.tw" = "collapse");
{options("plm.fast" = TRUE, "plm.fast.pkg.FE.tw" = "fixest");
{options("plm.fast" = TRUE, "plm.fast.pkg.FE.tw" = "lfe");
times = times)
summary(twowayFE, unit = "relative")

}
onewayRE <- microbenchmark(

{options("plm.fast" = FALSE); plm(form, data = data, model = "random")},
{options("plm.fast" = TRUE); plm(form, data = data, model = "random")},
times = times)
summary(onewayRE, unit = "relative")
twowayRE <- microbenchmark(

{options("plm.fast" = FALSE); plm(form, data = data, model = "random", effect = "twoways")},
{options("plm.fast" = TRUE); plm(form, data = data, model = "random", effect = "twoways")},
times = times)
summary(twowayRE, unit = "relative")
## End(Not run)
plmtest Lagrange FF Multiplier Tests for Panel Models
Description
Test of individual and/or time effects for panel models.
Usage
plmtest(x, ...)

plmtest(
102 plmtest
x,
type = c("honda", "bp", "ghm", "kw"),
...
)

plmtest(
x,
data,
...,
type = c("honda", "bp", "ghm", "kw")
)
Arguments
x an object of class "plm" or a formula of class "formula",

... further arguments passed to plmtest.
effect a character string indicating which effects are tested: individual effects ("individual"),
time effects ("time") or both ("twoways"),
type a character string indicating the test to be performed:
• "honda" (default) for Honda (1985),
• "bp" for Breusch and Pagan (1980),
• "kw" for King and Wu (1997), or
• "ghm" for Gourieroux et al. (1982) for unbalanced panel data sets, the
respective unbalanced version of the tests are computed,
data a data.frame,
Details
These Lagrange multiplier tests use only the residuals of the pooling model. The first argument of
this function may be either a pooling model of class plm or an object of class formula describing
the model. For input within (fixed effects) or random effects models, the corresponding pooling
model is calculated internally first as the tests are based on the residuals of the pooling model.
The "bp" test for unbalanced panels was derived in Baltagi and Li (1990) (1990), the "kw" test for
unbalanced panels in Baltagi et al. (1998).
The "ghm" test and the "kw" test were extended to two-way effects in Baltagi et al. (1992).
For a concise overview of all these statistics see Baltagi (2003), Sec. 4.2, pp. 68–76 (for balanced
panels) and Sec. 9.5, pp. 200–203 (for unbalanced panels).
Value

plmtest 103
Note
For the King-Wu statistics ("kw"), the oneway statistics ("individual" and "time") coincide with
the respective Honda statistics ("honda"); twoway statistics of "kw" and "honda" differ.
Author(s)
Yves Croissant (initial implementation), Kevin Tappe (generalization to unbalanced panels)
References
Baltagi BH, Li Q (1990). “A Lagrange multiplier test for the error components model with incom-
plete panels.” Econometric Reviews, 9, 103–107.
Baltagi BH, Chang YJ, Li Q (1992). “Monte Carlo results on several new and existing tests for the
error components model.” Journal of Econometrics, 54, 95–120.
Baltagi B, Chang YA, Li Q (1998). “Testing for random individual and time effects using unbal-
anced panel data.” Advances in econometrics, 13, 1-20.
Breusch TS, Pagan AR (1980). “The Lagrange Multiplier Test and Its Applications to Model Spec-
ification in Econometrics.” Review of Economic Studies, 47, 239–253.
Gourieroux C, Holly A, Monfort A (1982). “Likelihood Ratio Test, Wald Test, and Kuhn–Tucker
Test in Linear Models With Inequality Constraints on the Regression Parameters.” Econometrica,
50, 63–80.
Honda Y (1985). “Testing the Error Components Model With Non–Normal Disturbances.” Review
of Economic Studies, 52, 681–690.
King ML, Wu PX (1997). “Locally Optimal One–Sided Tests for Multiparameter Hypothese.”
Econometric Reviews, 33, 523–529.
See Also
pFtest() for individual and/or time effects tests based on the within model.
Examples

g <- plm(inv ~ value + capital, data = Grunfeld, model = "pooling")
plmtest(g)
plmtest(g, effect="time")
plmtest(inv ~ value + capital, data = Grunfeld, type = "honda")
plmtest(inv ~ value + capital, data = Grunfeld, type = "bp")
plmtest(inv ~ value + capital, data = Grunfeld, type = "bp", effect = "twoways")
plmtest(inv ~ value + capital, data = Grunfeld, type = "ghm", effect = "twoways")
plmtest(inv ~ value + capital, data = Grunfeld, type = "kw", effect = "twoways")
Grunfeld_unbal <- Grunfeld[1:(nrow(Grunfeld)-1), ] # create an unbalanced panel data set

g_unbal <- plm(inv ~ value + capital, data = Grunfeld_unbal, model = "pooling")
plmtest(g_unbal) # unbalanced version of test is indicated in output
104 pmg
pmg Mean Groups (MG), Demeaned MG and CCE MG estimators
Description
Mean Groups (MG), Demeaned MG (DMG) and Common Correlated Effects MG (CCEMG) esti-
mators for heterogeneous panel models, possibly with common factors (CCEMG)
Usage
pmg(
formula,
data,
subset,
na.action,
model = c("mg", "cmg", "dmg"),
index = NULL,
trend = FALSE,
...
)

## S3 method for class 'summary.pmg'

print(
x,
...
)

Arguments
data a data.frame,
subset see lm(),
na.action see lm(),
model one of "mg", "cmg", or "dmg",
trend logical specifying whether an individual-specific trend has to be included,
pmg 105
object, x an object of class pmg,

digits digits,
Details
pmg is a function for the estimation of linear panel models with heterogeneous coefficients by vari-
ous Mean Groups estimators. Setting argument model = "mg" specifies the standard Mean Groups
estimator, based on the average of individual time series regressions. If model = "dmg" the data
are demeaned cross-sectionally, which is believed to reduce the influence of common factors (and
is akin to what is done in homogeneous panels when model = "within" and effect = "time").
Lastly, if model = "cmg" the CCEMG estimator is employed which is consistent under the hypoth-
esis of unobserved common factors and idiosyncratic factor loadings; it 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.
Value
An object of class c("pmg", "panelmodel") containing:

r.squared numeric, the R squared,
call the call,
indcoef the matrix of individual coefficients from separate time series regressions.
Author(s)
Giovanni Millo
References
Pesaran MH (2006). “Estimation and inference in large heterogeneous panels with a multifactor
error structure.” Econometrica, 74(4), 967–1012.
Examples
## Mean Groups estimator
mgmod <- pmg(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc)
summary(mgmod)
## demeaned Mean Groups

106 pmodel.response
dmgmod <- pmg(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp,

data = Produc, model = "dmg")
summary(dmgmod)
## Common Correlated Effects Mean Groups

ccemgmod <- pmg(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp,
data = Produc, model = "cmg")
summary(ccemgmod)
pmodel.response A function to extract the model.response
Description
pmodel.response has several methods to conveniently extract the response of several objects.
Usage



pmodel.response(object, data, ...)
Arguments
object an object of class "plm", or a formula of class "Formula",
data a data.frame
Details
The model response is extracted from a pdata.frame (where the response must reside in the first
column; this is the case for a model frame), a pFormula + data or a plm object, and the transfor-
mation specified by effect and model is applied to it.
Constructing the model frame first ensures proper NA handling and the response being placed in the
first column, see also Examples for usage.
Value
A pseries except if model responses’ of a "between" or "fd" model as these models "compress"
the data (the number of observations used in estimation is smaller than the original data due to the
specific transformation). A numeric is returned for the "between" and "fd" model.
pooltest 107
Author(s)
Yves Croissant
See Also
plm’s model.matrix() for (transformed) model matrix and the corresponding model.frame()
method to construct a model frame.
Examples
# First, make a pdata.frame

# then make a model frame from a pFormula and a pdata.frame

form <- inv ~ value + capital
mf <- model.frame(pGrunfeld, form)
# retrieve (transformed) response directly from model frame

resp_mf <- pmodel.response(mf, model = "within", effect = "individual")
# retrieve (transformed) response from a plm object, i.e., an estimated model

fe_model <- plm(form, data = pGrunfeld, model = "within")
pmodel.response(fe_model)
# same as constructed before

all.equal(resp_mf, pmodel.response(fe_model), check.attributes = FALSE) # TRUE
pooltest Test of Poolability
Description
A Chow test for the poolability of the data.
Usage
pooltest(x, ...)

pooltest(x, z, ...)

pooltest(x, data, ...)
108 predict.plm
Arguments
x an object of class "plm" for the plm method; an object of class "formula" for
the formula interface,
... further arguments passed to plm.
z an object of class "pvcm" obtained with model="within",
data a data.frame,
Details
pooltest is a F test of stability (or Chow test) for the coefficients of a panel model. For argument
x, the estimated plm object should be a "pooling" model or a "within" model (the default);
intercepts are assumed to be identical in the first case and different in the second case.
Value
Author(s)
Yves Croissant
Examples

form <- lgaspcar ~ lincomep + lrpmg + lcarpcap
gasw <- plm(form, data = Gasoline, model = "within")
gasp <- plm(form, data = Gasoline, model = "pooling")
gasnp <- pvcm(form, data = Gasoline, model = "within")
pooltest(gasw, gasnp)
pooltest(gasp, gasnp)
pooltest(form, data = Gasoline, effect = "individual", model = "within")

pooltest(form, data = Gasoline, effect = "individual", model = "pooling")
predict.plm Model Prediction for plm Objects
Description
Predicted values of response based on plm models.

predict.plm 109
Usage

predict(
object,
newdata = NULL,
na.fill = !inherits(newdata, "pdata.frame"),
...
)
Arguments
object An object of class "plm",

newdata An optional pdata.frame in which to look for variables to be used for prediction.
If NULL, the fitted values are returned. For fixed effects models, supplying a
pdata.frame is recommended.
na.fill A logical, only relevant if object is a pdata.frame, indicating whether for any
supplied out-of-sample indexes (individual, time, combination of both), the miss-
ing fixed effect estimate is filled with the weighted mean of the model’s present
fixed effect estimates or not.
Details
predictcalculates predicted values by evaluating the regression function of a plm model for newdata
or, if newdata = NULL, it returns the fitted values the plm model.
The fixed effects (within) model is somewhat special in prediction as it has fixed effects estimated
per individual, time period (one-way) or both (two-ways model) which should to be respected when
predicting values relating to these fixed effects in the model: To do so, it is recommended to supply
a pdata.frame (and not a plain data.frame) in newdata as it describes the relationship between the
data supplied to the individual. and/or time periods. In case the newdata´’s pdata.frame has out-of-
sample data (data contains individuals and/or time periods not contained in the original model), it is
not clear how values are to be predicted and the result will contain NA values for these out-of-sample
data. Argument na.fill can be set to TRUE to apply the original model’s weighted mean of fixed
effects for the out-of-sample data to derive a prediction.
If a plain data.frame is given in newdata for a fixed effects model, the weighted mean is used for
all fixed effects as newdata for prediction as a plain data.frame cannot describe any relation to
individuals/time periods (na.fill is automatically set to TRUE and the function warns).
See also Examples.
Value
A numeric (or a pseries if newdata is a pdata.frame) carrying the predicted values with length equal
to the number of rows as the data supplied in newdata and with names the row names of newdata
or, if newdata = NULL, the fitted values the original model given in object.
110 Produc
Examples
library(plm)
# fit a fixed effect model

fit.fe <- plm(inv ~ value + capital, data = Grunfeld, model = "within")
# generate 55 new observations of three firms used for prediction:

# * firm 1 with years 1935:1964 (has out-of-sample years 1955:1964),
# * firm 2 with years 1935:1949 (all in sample),
# * firm 11 with years 1935:1944 (firm 11 is out-of-sample)
set.seed(42L)
new.value2 <- runif(55, min = min(Grunfeld$value), max = max(Grunfeld$value))

new.capital2 <- runif(55, min = min(Grunfeld$capital), max = max(Grunfeld$capital))
newdata <- data.frame(firm = c(rep(1, 30), rep(2, 15), rep(11, 10)),

year = c(1935:(1935+29), 1935:(1935+14), 1935:(1935+9)),
value = new.value2, capital = new.capital2)
# make pdata.frame
newdata.p <- pdata.frame(newdata, index = c("firm", "year"))
## predict from fixed effect model with new data as pdata.frame

predict(fit.fe, newdata = newdata.p)
## set na.fill = TRUE to have the weighted mean used to for fixed effects -> no NA values
predict(fit.fe, newdata = newdata.p, na.fill = TRUE)
## predict with plain data.frame from fixed effect model: uses mean fixed effects
## for prediction and, thus, yields different result with a warning
predict(fit.fe, newdata = newdata)
Produc US States Production
Description
Format
state the state

year the year
region the region
pcap public capital stock
pseries 111
hwy highway and streets

water water and sewer facilities
util other public buildings and structures
pc private capital stock
gsp gross state product
emp labor input measured by the employment in non–agricultural payrolls
unemp state unemployment rate
Details

Source

resourceId=13452
References
Baltagi BH, Pinnoi N (1995). “Public capital stock and state productivity growth: further evidence
from an error components model.” Empirical Economics, 20, 351-359.
Munnell A (1990). “Why Has Productivity Growth Declined? Productivity and Public Investment.”
New England Economic Review, 3–22.
pseries panel series
Description
A class for panel series for which several useful computations and data transformations are avail-
able.
112 pseries
Usage

print(x, ...)

as.matrix(x, idbyrow = TRUE, ...)

plot(
x,
plot = c("lattice", "superposed"),
scale = FALSE,
transparency = TRUE,
col = "blue",
lwd = 1,
...
)

## S3 method for class 'summary.pseries'

plot(x, ...)
## S3 method for class 'summary.pseries'

print(x, ...)
Sum(x, ...)
Sum(x, effect, ...)

Sum(x, effect = c("individual", "time", "group"), ...)

Sum(x, effect, ...)
Between(x, ...)
Between(x, effect, ...)

Between(x, effect = c("individual", "time", "group"), ...)

Between(x, effect, ...)
pseries 113
between(x, ...)
between(x, effect, ...)

between(x, effect = c("individual", "time", "group"), ...)

between(x, effect, ...)
Within(x, ...)
Within(x, effect, ...)

Within(x, effect = c("individual", "time", "group", "twoways"), ...)

Within(x, effect, ...)
Arguments
x, object a pseries or a matrix; or a summary.pseries object,
... further arguments, e. g., na.rm = TRUE for transformation functions like beetween,
see Details and Examples.
idbyrow if TRUE in the as.matrix method, the lines of the matrix are the individuals,
plot, scale, transparency, col, lwd
plot arguments,
effect for the pseries methods: character string indicating the "individual", "time",
or "group" effect, for Within "twoways" additionally; for non-pseries methods,
effect is a factor specifying the dimension ("twoways" is not possible),
Details
The functions between, Between, Within, and Sum perform specific data transformations, i. e., the
between, within, and sum transformation, respectively.
between returns a vector/matrix containing the individual means (over time) with the length of
the vector equal to the number of individuals (if effect = "individual" (default); if effect
= "time", it returns the time means (over individuals)). Between duplicates the values and re-
turns a vector/matrix which length/number of rows is the number of total observations. Within
returns a vector/matrix containing the values in deviation from the individual means (if effect =
"individual", from time means if effect = "time"), the so called demeaned data. Sum returns
a vector/matrix with sum per individual (over time) or the sum per time period (over individuals)
with effect = "individual" or effect = "time", respectively, and has length/ number of rows of
the total observations (like Between).
114 pseries
For between, Between, Within, and Sum in presence of NA values it can be useful to supply na.rm
= TRUE as an additional argument to keep as many observations as possible in the resulting transfor-
mation. na.rm is passed on to the mean()/sum() function used by these transformations (i.e., it does
not remove NAs prior to any processing!), see also Examples.
Value
All these functions return an object of class pseries or a matrix, except:
between, which returns a numeric vector or a matrix; as.matrix, which returns a matrix.
Author(s)
Yves Croissant
See Also
is.pseries() to check if an object is a pseries. For more functions on class ’pseries’ see lag(),
lead(), diff() for lagging values, leading values (negative lags) and differencing.
Examples
# First, create a pdata.frame

# Then extract a series, which becomes additionally a pseries

z <- Em$output
class(z)
# obtain the matrix representation

as.matrix(z)
# compute the between and within transformations

between(z)
Within(z)
# Between and Sum replicate the values for each time observation
Between(z)
Sum(z)
# between, Between, Within, and Sum transformations on other dimension

between(z, effect = "time")
Between(z, effect = "time")
Within(z, effect = "time")
Sum(z, effect = "time")
# NA treatment for between, Between, Within, and Sum

z2 <- z
z2[length(z2)] <- NA # set last value to NA
between(z2, na.rm = TRUE) # non-NA value for last individual
Between(z2, na.rm = TRUE) # only the NA observation is lost
pseriesfy 115
Within(z2, na.rm = TRUE) # only the NA observation is lost

Sum(z2, na.rm = TRUE) # only the NA observation is lost
sum(is.na(Between(z2))) # 9 observations lost due to one NA value

sum(is.na(Between(z2, na.rm = TRUE))) # only the NA observation is lost
sum(is.na(Within(z2))) # 9 observations lost due to one NA value
sum(is.na(Within(z2, na.rm = TRUE))) # only the NA observation is lost
sum(is.na(Sum(z2))) # 9 observations lost due to one NA value
sum(is.na(Sum(z2, na.rm = TRUE))) # only the NA observation is lost
pseriesfy Turn all columns of a pdata.frame into class pseries.
Description
This function takes a pdata.frame and turns all of its columns into objects of class pseries.
Usage
pseriesfy(x, ...)
Arguments
x an object of class "pdata.frame",

Details
Background: Initially created pdata.frames have as columns the pure/basic class (e.g., numeric,
factor, character). When extracting a column from such a pdata.frame, the extracted column is
turned into a pseries.
At times, it can be convenient to apply data transformation operations on such a pseriesfy-ed
pdata.frame, see Examples.
Value
A pdata.frame like the input pdata.frame but with all columns turned into pseries.
See Also
pdata.frame(), as.list()
116 punbalancedness
Examples
library("plm")
pGrun <- pdata.frame(Grunfeld[ , 1:4], drop.index = TRUE)
pGrun2 <- pseriesfy(pGrun) # pseriesfy-ed pdata.frame
# compare classes of columns

lapply(pGrun, class)
lapply(pGrun2, class)
# When using with()

with(pGrun, lag(value)) # dispatches to base R's lag()
with(pGrun2, lag(value)) # dispatches to plm's lag() respect. panel structure
# When lapply()-ing
lapply(pGrun, lag) # dispatches to base R's lag()
lapply(pGrun2, lag) # dispatches to plm's lag() respect. panel structure
# as.list(., keep.attributes = TRUE) on a non-pseriesfy-ed

# pdata.frame is similar and dispatches to plm's lag
lapply(as.list(pGrun, keep.attributes = TRUE), lag)
punbalancedness Measures for Unbalancedness of Panel Data
Description
This function reports unbalancedness measures for panel data as defined in Ahrens and Pincus
(1981) and Baltagi et al. (2001).
Usage
punbalancedness(x, ...)


punbalancedness(x, index = NULL, ...)

Arguments
x a panelmodel, a data.frame, or a pdata.frame object,
index only relevant for data.frame interface, for details see pdata.frame(),
punbalancedness 117
Details
punbalancedness returns measures for the unbalancedness of a panel data set.
• For two-dimensional data:

The two measures of Ahrens and Pincus (1981) are calculated, called "gamma" (γ) and "nu"
(ν).
If the panel data are balanced, both measures equal 1. The more "unbalanced" the panel data, the
lower the measures (but > 0). The upper and lower bounds as given in Ahrens and Pincus (1981)
are:
0 < γ, ν ≤ 1, and for ν more precisely n1 < ν ≤ 1, with n being the number of individuals (as in
pdim(x)$nT$n).
• For nested panel data (meaning including a grouping variable):

The extension of the above measures by Baltagi et al. (2001), p. 368, are calculated:
– c1: measure of subgroup (individual) unbalancedness,

– c2: measure of time unbalancedness,
– c3: measure of group unbalancedness due to each group size.
Values are 1 if the data are balanced and become smaller as the data become more unbalanced.
An application of the measure "gamma" is found in e. g. Baltagi et al. (2001), pp. 488-491, and
Baltagi and Chang (1994), pp. 78–87, where it is used to measure the unbalancedness of various
unbalanced data sets used for Monte Carlo simulation studies. Measures c1, c2, c3 are used for
similar purposes in Baltagi et al. (2001).
In the two-dimensional case, punbalancedness uses output of pdim() to calculate the two unbal-
ancedness measures, so inputs to punbalancedness can be whatever pdim works on. pdim returns
detailed information about the number of individuals and time observations (see pdim()).
Value
A named numeric containing either two or three entries, depending on the panel structure inputted:
• For the two-dimensional panel structure, the entries are called gamma and nu,
• For a nested panel structure, the entries are called c1, c2, c3.
Note
Calling punbalancedness on an estimated panelmodel object and on the corresponding (p)data.frame
used for this estimation does not necessarily yield the same result (true also for pdim). When
called on an estimated panelmodel, the number of observations (individual, time) actually used
for model estimation are taken into account. When called on a (p)data.frame, the rows in the
(p)data.frame are considered, disregarding any NA values in the dependent or independent vari-
able(s) which would be dropped during model estimation.
Author(s)
Kevin Tappe
118 punbalancedness
References
Ahrens H, Pincus R (1981). “On Two Measures of Unbalancedness in a One-Way Model and Their
Relation to Efficiency.” Biometrical Journal, 23(3), 227-235. doi:10.1002/bimj.4710230302.
Baltagi BH, Chang YJ (1994). “Incomplete panels: a comparative study of alternative estimators for
the unbalanced one-way error component regression model.” Journal of Econometrics, 62, 67-89.
Baltagi BH, Song SH, Jung BC (2001). “The unbalanced nested error component regression
model.” Journal of Econometrics, 101, 357-381.
Baltagi BH, Song SH, Jung BC (2002). “A comparative study of alternative estimators for the
unbalanced two-way error component regression model.” The Econometrics Journal, 5(2), 480–
493. ISSN 13684221, 1368423X.
See Also
nobs(), pdim(), pdata.frame()
Examples
# Grunfeld is a balanced panel, Hedonic is an unbalanced panel

data(list=c("Grunfeld", "Hedonic"), package="plm")
# Grunfeld has individual and time index in first two columns

punbalancedness(Grunfeld) # c(1,1) indicates balanced panel
pdim(Grunfeld)$balanced # TRUE
# Hedonic has individual index in column "townid" (in last column)

punbalancedness(Hedonic, index="townid") # c(0.472, 0.519)
pdim(Hedonic, index="townid")$balanced # FALSE
# punbalancedness on estimated models

plm_mod_pool <- plm(inv ~ value + capital, data = Grunfeld)
punbalancedness(plm_mod_pool)
plm_mod_fe <- plm(inv ~ value + capital, data = Grunfeld[1:99, ], model = "within")

punbalancedness(plm_mod_fe)
# replicate results for panel data design no. 1 in Ahrens/Pincus (1981), p. 234
ind_d1 <- c(1,1,1,2,2,2,3,3,3,3,3,4,4,4,4,4,4,4,5,5,5,5,5,5,5)
time_d1 <- c(1,2,3,1,2,3,1,2,3,4,5,1,2,3,4,5,6,7,1,2,3,4,5,6,7)
df_d1 <- data.frame(individual = ind_d1, time = time_d1)
punbalancedness(df_d1) # c(0.868, 0.887)
# example for a nested panel structure with a third index variable

# specifying a group (states are grouped by region) and without grouping
punbalancedness(Produc, index = c("state", "year", "region"))
punbalancedness(Produc, index = c("state", "year"))
purtest 119
purtest Unit root tests for panel data
Description
purtest implements several testing procedures that have been proposed to test unit root hypotheses
with panel data.
Usage
purtest(
object,
data = NULL,
index = NULL,
test = c("levinlin", "ips", "madwu", "Pm", "invnormal", "logit", "hadri"),
exo = c("none", "intercept", "trend"),
lags = c("SIC", "AIC", "Hall"),
pmax = 10,
Hcons = TRUE,
q = NULL,
dfcor = FALSE,
fixedT = TRUE,
ips.stat = NULL,
...
)
## S3 method for class 'purtest'

print(x, ...)
## S3 method for class 'purtest'

## S3 method for class 'summary.purtest'

print(x, ...)
Arguments
object, x Either a "data.frame" or a matrix containing the time series (individuals as
columns), a "pseries" object, a formula; a "purtest" object for the print and
summary methods,
data a "data.frame" or a "pdata.frame" object (required for formula interface, see
Details and Examples),
index the indexes,
test the test to be computed: one of "levinlin" for Levin et al. (2002), "ips" for
Im et al. (2003), "madwu" for Maddala and Wu (1999), "Pm" , "invnormal", or
"logit" for various tests as in Choi (2001), or "hadri" for Hadri (2000), see
Details,
120 purtest
exo the exogenous variables to introduce in the augmented Dickey–Fuller (ADF)

regressions, one of: no exogenous variables ("none"), individual intercepts
("intercept"), or individual intercepts and trends ("trend"), but see Details,
lags the number of lags to be used for the augmented Dickey-Fuller regressions:
either a single value integer (the number of lags for all time series), a vector
of integers (one for each time series), or a character string for an automatic
computation of the number of lags, based on the AIC ("AIC"), the SIC ("SIC"),
or on the method by Hall (1994) ("Hall"); argument is irrelevant for test =
"hadri",
pmax maximum number of lags (irrelevant for test = "hadri"),
Hcons logical, only relevant for test = "hadri", indicating whether the heteroskedasticity-
consistent test of Hadri (2000) should be computed,
q the bandwidth for the estimation of the long-run variance (only relevant for test
= "levinlin", the default (q = NULL) gives the value as suggested by the authors
as round(3.21 * T^(1/3))),
dfcor logical, indicating whether the standard deviation of the regressions is to be
computed using a degrees-of-freedom correction,
fixedT logical, indicating whether the individual ADF regressions are to be computed
using the same number of observations (irrelevant for test = "hadri"),
ips.stat NULL or character of length 1 to request a specific IPS statistic, one of "Wtbar"
(also default if ips.stat = NULL), "Ztbar", "tbar",
... further arguments (can set argument p.approx to be passed on to non-exported
function padf to either "MacKinnon1994" or "MacKinnon1996" to force a spe-
cific method for p-value approximation, the latter only being possible if package
’urca’ is installed).
Details
All these tests except "hadri" are based on the estimation of augmented Dickey-Fuller (ADF)
regressions for each time series. A statistic is then computed using the t-statistics associated with
the lagged variable. The Hadri residual-based LM statistic is the cross-sectional average of the
individual KPSS statistics Kwiatkowski et al. (1992), standardized by their asymptotic mean and
standard deviation.
Several Fisher-type tests that combine p-values from tests based on ADF regressions per individual
are available:
• "madwu" is the inverse chi-squared test Maddala and Wu (1999), also called P test by Choi
(2001).
• "Pm" is the modified P test proposed by Choi (2001) for large N,
• "invnormal" is the inverse normal test by Choi (2001), and
• "logit" is the logit test by Choi (2001).
The individual p-values for the Fisher-type tests are approximated as described in MacKinnon
(1996) if the package urca (Pfaff (2008)) is available, otherwise as described in MacKinnon (1994).
purtest 121
For the test statistic tbar of the test of Im/Pesaran/Shin (2003) (ips.stat = "tbar"), no p-value is
given but 1%, 5%, and 10% critical values are interpolated from paper’s tabulated values via inverse
distance weighting (printed and contained in the returned value’s element statistic$ips.tbar.crit).
Hadri’s test, the test of Levin/Lin/Chu, and the tbar statistic of Im/Pesaran/Shin are not applicable
to unbalanced panels; the tbar statistic is not applicable when lags > 0 is given.
The exogenous instruments of the tests (where applicable) can be specified in several ways, depend-
ing on how the data is handed over to the function:
• For the formula/data interface (if data is a data.frame, an additional index argument
should be specified); the formula should be of the form: y ~ 0, y ~ 1, or y ~ trend for a test
with no exogenous variables, with an intercept, or with individual intercepts and time trend,
respectively. The exo argument is ignored in this case.
• For the data.frame, matrix, and pseries interfaces: in these cases, the exogenous variables
are specified using the exo argument.
With the associated summary and print methods, additional information can be extracted/displayed
(see also Value).
Value
For purtest: An object of class "purtest": a list with the elements named:
• "statistic" (a "htest" object),
• "call",
• "args",
• "idres" (containing results from the individual regressions),
• "adjval" (containing the simulated means and variances needed to compute the statistic, for
test = "levinlin" and "ips", otherwise NULL),
• "sigma2" (short-run and long-run variance for test = "levinlin", otherwise NULL).
Author(s)
Yves Croissant and for "Pm", "invnormal", and "logit" Kevin Tappe
References
Choi I (2001). “Unit root tests for panel data.” Journal of International Money and Finance,
20(2), 249 - 272. ISSN 0261-5606, https://www.sciencedirect.com/science/article/pii/
S0261560600000486.
Hadri K (2000). “Testing for stationarity in heterogeneous panel data.” The Econometrics Jour-
nal, 3(2), 148–161. ISSN 13684221, 1368423X.
Hall A (1994). “Testing for a unit root in time series with pretest data-based model selection.”
Journal of Business & Economic Statistics, 12(4), 461–470.
Im KS, Pesaran MH, Shin Y (2003). “Testing for unit roots in heterogenous panels.” Journal
of Econometrics, 115(1), 53-74.
122 pvar
Kwiatkowski D, Phillips PC, Schmidt P, Shin Y (1992). “Testing the null hypothesis of stationarity
against the alternative of a unit root: How sure are we that economic time series have a unit root?”
Journal of Econometrics, 54(1), 159 - 178. ISSN 0304-4076, https://www.sciencedirect.com/
science/article/pii/030440769290104Y.
Levin A, Lin CF, Chu CSJ (2002). “Unit root tests in panel data : asymptotic and finite-sample
properties.” Journal of Econometrics, 108, 1-24.
MacKinnon JG (1994). “Approximate Asymptotic Distribution Functions for Unit-Root and Coin-
tegration Tests.” Journal of Business & Economic Statistics, 12(2), 167–176. ISSN 07350015.
MacKinnon JG (1996). “Numerical Distribution Functions for Unit Root and Cointegration Tests.”
Journal of Applied Econometrics, 11(6), 601–618. ISSN 08837252.
Maddala GS, Wu S (1999). “A comparative study of unit root tests with panel data and a new
simple test.” Oxford Bulletin of Economics and Statistics, 61, 631-52.
Pfaff B (2008). Analysis of Integrated and Cointegrated Time Series with R, Second edition.
Springer, New York. ISBN 0-387-27960-1, https://CRAN.r-project.org/package=urca.
See Also
cipstest(), phansitest()
Examples

y <- data.frame(split(Grunfeld$inv, Grunfeld$firm)) # individuals in columns
purtest(y, pmax = 4, exo = "intercept", test = "madwu")
## same via pseries interface

pGrunfeld <- pdata.frame(Grunfeld, index = c("firm", "year"))
purtest(pGrunfeld$inv, pmax = 4, exo = "intercept", test = "madwu")
## same via formula interface

purtest(inv ~ 1, data = Grunfeld, index = c("firm", "year"), pmax = 4, test = "madwu")
pvar Check for Cross-Sectional and Time Variation
Description
This function checks for each variable of a panel if it varies cross-sectionally and over time.
pvar 123
Usage
pvar(x, ...)

pvar(x, index = NULL, ...)

pvar(x, index = NULL, ...)

pvar(x, ...)

pvar(x, ...)
## S3 method for class 'pvar'

print(x, ...)
Arguments
x a (p)data.frame or a matrix,
index see pdata.frame(),
Details
For (p)data.frame and matrix interface: All-NA columns are removed prior to calculation of variation
due to coercing to pdata.frame first.
Value
An object of class pvar containing the following elements:
id.variation a logical vector with TRUE values if the variable has individual variation, FALSE
if not,
time.variation a logical vector with TRUE values if the variable has time variation, FALSE if not,
id.variation_anyNA
a logical vector with TRUE values if the variable has at least one individual-time
combination with all NA values in the individual dimension for at least one time
period, FALSE if not,
time.variation_anyNA
a logical vector with TRUE values if the variable has at least one individual-time
combination with all NA values in the time dimension for at least one individual,
FALSE if not.
Note
pvar can be time consuming for “big” panels. As a fast alternative collapse::varying() from
package collapse could be used.
124 pvcm
Author(s)
Yves Croissant
See Also
pdim() to check the dimensions of a ’pdata.frame’ (and other objects),
Examples

# indexes and are the first two variables
pvar(Gasoline)
# Hedonic is an unbalanced panel, townid is the individual index;

# the drop.index argument is passed to pdata.frame
pvar(Hedonic, "townid", drop.index = TRUE)
# same using pdata.frame

Hed <- pdata.frame(Hedonic, "townid", drop.index = TRUE)
pvar(Hed)
# Gasoline with pvar's matrix interface

Gasoline_mat <- as.matrix(Gasoline)
pvar(Gasoline_mat)
pvar(Gasoline_mat, index=c("country", "year"))
pvcm Variable Coefficients Models for Panel Data
Description
Estimators for random and fixed effects models with variable coefficients.
Usage
pvcm(
formula,
data,
subset,
na.action,
effect = c("individual", "time"),
model = c("within", "random"),
index = NULL,
...
pvcm 125
## S3 method for class 'pvcm'

## S3 method for class 'summary.pvcm'

print(
x,
...
)
Arguments
data a data.frame,
subset see lm,
na.action see lm,
effect the effects introduced in the model: one of "individual", "time",
model one of "within", "random",
object, x an object of class "pvcm",
digits digits,
Details
pvcm estimates variable coefficients models. Individual or time effects are introduced, respectively,
if effect = "individual" (default) or effect = "time".
Coefficients are assumed to be fixed if model = "within", i.e., separate pooled OLS models are
estimated per individual (effect = "individual") or per time period (effect = "time"). Coeffi-
cients are assumed to be random if model = "random" and the model by Swamy (1970) is estimated.
It is a generalized least squares model which uses the results of the previous model.
Value
An object of class c("pvcm", "panelmodel"), which has the following elements:
coefficients the vector (or the data frame for fixed effects) of coefficients,
vcov the covariance matrix of the coefficients (a list for fixed effects model (model =
"within")),
126 pwaldtest

model a data frame containing the variables used for the estimation,
call the call,
Delta the estimation of the covariance matrix of the coefficients (random effect models
only),
std.error a data frame containing standard errors for all coefficients for each individual
(within models only).
pvcm objects have print, summary and print.summary methods.
Author(s)
Yves Croissant
References
Swamy PAVB (1970). “Efficient Inference in a Random Coefficient Regression Model.” Econo-
metrica, 38, 311–323.
Examples

zw <- pvcm(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc, model = "within")
zr <- pvcm(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc, model = "random")
## replicate Greene (2012), p. 419, table 11.14

summary(pvcm(log(gsp) ~ log(pc) + log(hwy) + log(water) + log(util) + log(emp) + unemp,
data = Produc, model = "random"))
## Not run:
# replicate Swamy (1970), p. 166, table 5.2
data(Grunfeld, package = "AER") # 11 firm Grunfeld data needed from package AER
gw <- pvcm(invest ~ value + capital, data = Grunfeld, index = c("firm", "year"))
## End(Not run)
pwaldtest Wald-style Chi-square Test and F Test
Description
Wald-style Chi-square test and F test of slope coefficients being zero jointly, including robust ver-
sions of the tests.
pwaldtest 127
Usage
pwaldtest(x, ...)

pwaldtest(
x,
test = c("Chisq", "F"),
vcov = NULL,
df2adj = (test == "F" && !is.null(vcov) && missing(.df2)),
.df1,
.df2,
...
)
## S3 method for class 'pvcm'

pwaldtest(x, ...)

pwaldtest(x, param = c("coef", "time", "all"), vcov = NULL, ...)
Arguments
x an estimated model of which the coefficients should be tested (usually of class
"plm"/"pvcm"/"pgmm")‘,
... further arguments (currently none).
test a character, indicating the test to be performed, may be either "Chisq" or "F"
for the Wald-style Chi-square test or F test, respectively,
vcov NULL by default; a matrix giving a variance–covariance matrix or a function
which computes such; if supplied (non NULL), the test is carried out using the
variance–covariance matrix indicated resulting in a robust test,
df2adj logical, only relevant for test = "F", indicating whether the adjustment for clus-
tered standard errors for the second degrees of freedom parameter should be
performed (see Details, also for further requirements regarding the variance–
covariance matrix in vcov for the adjustment to be performed),
.df1 a numeric, used if one wants to overwrite the first degrees of freedom parameter
in the performed test (usually not used),
.df2 a numeric, used if one wants to overwrite the second degrees of freedom param-
eter for the F test (usually not used),
param (for pgmm method only): select the parameters to be tested: "coef", "time",
or ‘"all"“.
Details
pwaldtest can be used stand–alone with a plm object, a pvcm object, and a pgmm object (for
pvcm objects only the ’random’ type is valid and no further arguments are processed; for pgmm
objects only arguments param and vcov are valid). It is also used in summary.plm() to produce the
F statistic and the Chi-square statistic for the joint test of coefficients and in summary.pgmm().
128 pwaldtest
pwaldtest performs the test if the slope coefficients of a panel regression are jointly zero. It does
not perform general purpose Wald-style tests (for those, see lmtest::waldtest() (from package
lmtest) or car::linearHypothesis() (from package car)).
If a user specified variance-covariance matrix/function is given in argument vcov, the robust version
of the tests are carried out. In that case, if the F test is requested (test = "F") and no overwriting of
the second degrees of freedom parameter is given (by supplying argument (.df2)), the adjustment of
the second degrees of freedom parameter is performed by default. The second degrees of freedom
parameter is adjusted to be the number of unique elements of the cluster variable - 1, e. g., the
number of individuals minus 1. For the degrees of freedom adjustment of the F test in general, see
e. g. Cameron and Miller (2015), section VII; (Andreß et al. 2013), pp. 126, footnote 4.
The degrees of freedom adjustment requires the vcov object supplied or created by a supplied func-
tion to carry an attribute called "cluster" with a known clustering described as a character (for now
this could be either "group" or "time"). The vcovXX functions of the package plm provide such
an attribute for their returned variance–covariance matrices. No adjustment is done for unknown
descriptions given in the attribute "cluster" or when the attribute "cluster" is not present. Robust
vcov objects/functions from package clubSandwich work as inputs to pwaldtest’s F test because
a they are translated internally to match the needs described above.
Value
An object of class "htest", except for pvcm’s within model for which a data.frame with results of
the Wald chi-square tests and F tests per regression is returned.
Author(s)
Yves Croissant (initial implementation) and Kevin Tappe (extensions: vcov argument and F test’s
df2 adjustment)
References
Press.
Andreß H, Golsch K, Schmidt-Catran A (2013). Applied Panel Data Analysis for Economic and
Social Surveys. Springer. doi:10.1007/9783642329142.
Cameron AC, Miller DL (2015). “A Practitioner’s Guide to Cluster-Robust Inference.” Journal of
Human Resources, 50(2), 317-372. https://ideas.repec.org/a/uwp/jhriss/v50y2015i2p317-372.
html.
See Also
vcovHC() for an example of the vcovXX functions, a robust estimation for the variance–covariance
matrix; summary.plm()
Examples

mod_fe <- plm(inv ~ value + capital, data = Grunfeld, model = "within")
mod_re <- plm(inv ~ value + capital, data = Grunfeld, model = "random")
pwartest 129
pwaldtest(mod_fe, test = "F")

pwaldtest(mod_re, test = "Chisq")
# with robust vcov (matrix, function)

pwaldtest(mod_fe, vcov = vcovHC(mod_fe))
pwaldtest(mod_fe, vcov = function(x) vcovHC(x, type = "HC3"))
pwaldtest(mod_fe, vcov = vcovHC(mod_fe), df2adj = FALSE) # w/o df2 adjustment
# example without attribute "cluster" in the vcov

vcov_mat <- vcovHC(mod_fe)
attr(vcov_mat, "cluster") <- NULL # remove attribute
pwaldtest(mod_fe, vcov = vcov_mat) # no df2 adjustment performed
pwartest Wooldridge Test for AR(1) Errors in FE Panel Models
Description
Test of serial correlation for (the idiosyncratic component of) the errors in fixed–effects panel mod-
els.
Usage
pwartest(x, ...)

pwartest(x, data, ...)

pwartest(x, ...)
Arguments
x an object of class formula or of class panelmodel,
... further arguments to be passed on to vcovHC (see Details and Examples).
data a data.frame,
Details
As Wooldridge (2010), Sec. 10.5.4 observes, under the null of no serial correlation in the errors, the
residuals of a FE model must be negatively serially correlated, with cor(ûit , ûis ) = −1/(T − 1) for
each t, s. He suggests basing a test for this null hypothesis on a pooled regression of FE residuals
on their first lag: ûi,t = α + δ ûi,t−1 + ηi,t . Rejecting the restriction δ = −1/(T − 1) makes us
conclude against the original null of no serial correlation.
130 pwfdtest
pwartest estimates the within model and retrieves residuals, then estimates an AR(1) pooling
model on them. The test statistic is obtained by applying a F test to the latter model to test the
above restriction on δ, setting the covariance matrix to vcovHC with the option method="arellano"
to control for serial correlation.
Unlike the pbgtest() and pdwtest(), this test does not rely on large–T asymptotics and has there-
fore good properties in “short” panels. Furthermore, it is robust to general heteroskedasticity.
Value
Author(s)
Giovanni Millo
References
Press.
See Also
pwfdtest(), pdwtest(), pbgtest(), pbltest(), pbsytest().
Examples

pwartest(log(emp) ~ log(wage) + log(capital), data = EmplUK)
# pass argument 'type' to vcovHC used in test

pwartest(log(emp) ~ log(wage) + log(capital), data = EmplUK, type = "HC3")
pwfdtest Wooldridge first–difference–based test for AR(1) errors in levels or

first–differenced panel models
Description
First–differencing–based test of serial correlation for (the idiosyncratic component of) the errors in
either levels or first–differenced panel models.
pwfdtest 131
Usage
pwfdtest(x, ...)

pwfdtest(x, data, ..., h0 = c("fd", "fe"))

pwfdtest(x, ..., h0 = c("fd", "fe"))
Arguments
x an object of class formula or a "fd"-model (plm object),
... further arguments to be passed on to vcovHC (see Details and Examples).
data a data.frame,
h0 the null hypothesis: one of "fd", "fe",
Details
As Wooldridge (2010), Sec. 10.6.3 observes, if the idiosyncratic errors in the model in levels are
uncorrelated (which we label hypothesis "fe"), then the errors of the model in first differences
(FD) must be serially correlated with cor(êit , êis ) = −0.5 for each t, s. If on the contrary the
levels model’s errors are a random walk, then there must be no serial correlation in the FD errors
(hypothesis "fd"). Both the fixed effects (FE) and the first–differenced (FD) estimators remain
consistent under either assumption, but the relative efficiency changes: FE is more efficient under
"fe", FD under "fd".
Wooldridge (ibid.) suggests basing a test for either hypothesis on a pooled regression of FD residu-
als on their first lag: êi,t = α+ρêi,t−1 +ηi,t . Rejecting the restriction ρ = −0.5 makes us conclude
against the null of no serial correlation in errors of the levels equation ("fe"). The null hypothesis
of no serial correlation in differenced errors ("fd") is tested in a similar way, but based on the zero
restriction on ρ (ρ = 0). Rejecting "fe" favours the use of the first–differences estimator and the
contrary, although it is possible that both be rejected.
pwfdtest estimates the fd model (or takes an fd model as input for the panelmodel interface) and
retrieves its residuals, then estimates an AR(1) pooling model on them. The test statistic is obtained
by applying a F test to the latter model to test the relevant restriction on ρ, setting the covariance
matrix to vcovHC with the option method="arellano" to control for serial correlation.
Unlike the pbgtest and pdwtest, this test does not rely on large–T asymptotics and has therefore
good properties in ”short” panels. Furthermore, it is robust to general heteroskedasticity. The
"fe" version can be used to test for error autocorrelation regardless of whether the maintained
specification has fixed or random effects (see Drukker 2003).
Value
Author(s)
Giovanni Millo
132 pwtest
References
Drukker DM (2003). “Testing for Serial Correlation in Linear Panel–Data Models.” The Stata
Journal, 3(2), 168-177.
Wooldridge JM (2002). Econometric Analysis of Cross–Section and Panel Data. MIT Press. Sec.
10.6.3, pp. 282–283.
Press. Sec. 10.6.3, pp. 319–320
See Also
pdwtest, pbgtest, pwartest,
Examples
data("EmplUK" , package = "plm")

pwfdtest(log(emp) ~ log(wage) + log(capital), data = EmplUK)
pwfdtest(log(emp) ~ log(wage) + log(capital), data = EmplUK, h0 = "fe")
# pass argument 'type' to vcovHC used in test

pwfdtest(log(emp) ~ log(wage) + log(capital), data = EmplUK, type = "HC3", h0 = "fe")
# same with panelmodel interface

mod <- plm(log(emp) ~ log(wage) + log(capital), data = EmplUK, model = "fd")
pwfdtest(mod)
pwfdtest(mod, h0 = "fe")
pwfdtest(mod, type = "HC3", h0 = "fe")
pwtest Wooldridge’s Test for Unobserved Effects in Panel Models
Description
Semi-parametric test for the presence of (individual or time) unobserved effects in panel models.
Usage
pwtest(x, ...)

pwtest(x, data, effect = c("individual", "time"), ...)

pwtest(x, effect = c("individual", "time"), ...)
pwtest 133
Arguments
x an object of class "formula", or an estimated model of class panelmodel,
... further arguments passed to plm.
data a data.frame,
effect the effect to be tested for, one of "individual" (default) or "time",
Details
This semi-parametric test checks the null hypothesis of zero correlation between errors of the same
group. Therefore, it has power both against individual effects and, more generally, any kind of serial
correlation.
The test relies on large-N asymptotics. It is valid under error heteroskedasticity and departures from
normality.
The above is valid if effect="individual", which is the most likely usage. If effect="time",
symmetrically, the test relies on large-T asymptotics and has power against time effects and, more
generally, against cross-sectional correlation.
If the panelmodel interface is used, the inputted model must be a pooling model.
Value
Author(s)
Giovanni Millo
References
Press.
See Also
pbltest(), pbgtest(), pdwtest(), pbsytest(), pwartest(), pwfdtest() for tests for serial
correlation in panel models. plmtest() for tests for random effects.
Examples

## formula interface
pwtest(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc)
pwtest(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc, effect = "time")
## panelmodel interface
# first, estimate a pooling model, than compute test statistics
form <- formula(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp)
134 r.squared
pool_prodc <- plm(form, data = Produc, model = "pooling")

pwtest(pool_prodc) # == effect="individual"
pwtest(pool_prodc, effect="time")
r.squared R squared and adjusted R squared for panel models
Description
This function computes R squared or adjusted R squared for plm objects. It allows to define on
which transformation of the data the (adjusted) R squared is to be computed and which method for
calculation is used.
Usage
r.squared(object, model = NULL, type = c("cor", "rss", "ess"), dfcor = FALSE)
Arguments
object an object of class "plm",
model on which transformation of the data the R-squared is to be computed. If NULL,
the transformation used to estimate the model is also used for the computation
of R squared,
type indicates method which is used to compute R squared. One of
"rss" (residual sum of squares),
"ess" (explained sum of squares), or
"cor" (coefficient of correlation between the fitted values and the response),
dfcor if TRUE, the adjusted R squared is computed.
Value
A numerical value. The R squared or adjusted R squared of the model estimated on the transformed
data, e. g., for the within model the so called "within R squared".
See Also
plm() for estimation of various models; summary.plm() which makes use of r.squared.
Examples

p <- plm(inv ~ value + capital, data = Grunfeld, model = "pooling")
r.squared(p)
r.squared(p, dfcor = TRUE)
ranef.plm 135
ranef.plm Extract the Random Effects
Description
Function to calculate the random effects from a plm object (random effects model).
Usage
ranef(object, effect = NULL, ...)
Arguments
object an object of class "plm", needs to be a fitted random effects model,
effect NULL, "individual", or "time", the effects to be extracted, see Details,
Details
Function ranef calculates the random effects of a fitted random effects model. For one-way models,
the effects of the estimated model are extracted (either individual or time effects). For two-way
models, extracting the individual effects is the default (both, argument effect = NULL and effect
= "individual" will give individual effects). Time effects can be extracted by setting effect =
"time".
Not all random effect model types are supported (yet?).
Value
A named numeric with the random effects per dimension (individual or time).
Author(s)
Kevin Tappe
See Also
fixef() to extract the fixed effects from a fixed effects model (within model).
Examples

m1 <- plm(inv ~ value + capital, data = Grunfeld, model = "random")
ranef(m1) # individual random effects
# compare to random effects by ML estimation via lme from package nlme

library(nlme)
136 RiceFarms
m2 <- lme(inv ~ value + capital, random = ~1|firm, data = Grunfeld)

cbind("plm" = ranef(m1), "lme" = unname(ranef(m2)))
# two-ways RE model, calculate individual and time random effects

data("Cigar", package = "plm")
tw <- plm(sales ~ pop + price, data = Cigar, model = "random", effect = "twoways")
ranef(tw) # individual random effects
ranef(tw, effect = "time") # time random effects
RiceFarms Production of Rice in Indonesia
Description
a panel of 171 observations
Format
A dataframe containing :
id the farm identifier
size the total area cultivated with rice, measured in hectares
status land status, on of 'owner' (non sharecroppers, owner operators or leaseholders or both),
'share' (sharecroppers), 'mixed' (mixed of the two previous status)
varieties one of 'trad' (traditional varieties), 'high' (high yielding varieties) and 'mixed' (mixed
varieties)
bimas bIMAS is an intensification program; one of 'no' (non-bimas farmer), 'yes' (bimas farmer)
or 'mixed' (part but not all of farmer’s land was registered to be in the bimas program)
seed seed in kilogram
urea urea in kilogram
phosphate phosphate in kilogram
pesticide pesticide cost in Rupiah
pseed price of seed in Rupiah per kg
purea price of urea in Rupiah per kg
pphosph price of phosphate in Rupiah per kg
hiredlabor hired labor in hours
famlabor family labor in hours
totlabor total labor (excluding harvest labor)
wage labor wage in Rupiah per hour
goutput gross output of rice in kg
noutput net output, gross output minus harvesting cost (paid in terms of rice)
price price of rough rice in Rupiah per kg
region one of 'wargabinangun', 'langan', 'gunungwangi', 'malausma', 'sukaambit', 'ciwangi'
sargan 137
Details
observation : farms
country : Indonesia
Source
Feng Q, Horrace WC (2012). “Alternative technical efficiency measures: Skew, bias and scale.”
Journal of Applied Econometrics, 27(2), 253-268. doi:10.1002/jae.1190.
sargan Hansen–Sargan Test of Overidentifying Restrictions
Description
A test of overidentifying restrictions for models estimated by GMM.
Usage
sargan(object, weights = c("twosteps", "onestep"))
Arguments
object an object of class "pgmm",
weights the weighting matrix to be used for the computation of the test.
Details
The Hansen–Sargan test ("J test") calculates the quadratic form of the moment restrictions that is
minimized while computing the GMM estimator. It follows asymptotically a chi-square distribu-
tion with number of degrees of freedom equal to the difference between the number of moment
conditions and the number of coefficients.
Value
Author(s)
Yves Croissant
References
(Hansen 1982)
(Sargan 1958)
138 Snmesp
See Also
pgmm()
Examples

ar <- pgmm(log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) +
lag(log(capital), 0:2) + lag(log(output), 0:2) | lag(log(emp), 2:99),
sargan(ar)
Snmesp Employment and Wages in Spain
Description
Format
A data frame containing:
firm firm index

year year
n log of employment
w log of wages
y log of real output
i log of intermediate inputs
k log of real capital stock
f real cash flow
Details
total number of observations: 5904
observation: firms
country: Spain
Source
Journal of Business Economics and Statistics data archive:
https://amstat.tandfonline.com/loi/ubes20/.
SumHes 139
References
Alonso-Borrego C, Arellano M (1999). “Symmetrically Normalized Instrumental-Variable Estima-
tion Using Panel Data.” Journal of Business and Economic Statistics, 17(1), 36-49.
SumHes The Penn World Table, v. 5
Description
Format
year the year

country the country name (factor)
opec OPEC member?
com communist regime?
pop country’s population (in thousands)
gdp real GDP per capita (in 1985 US dollars)
sr saving rate (in percent)
Details
country : World
Source
Online supplements to Hayashi (2000).
http://fhayashi.fc2web.com/datasets.htm
References
Hayashi F (2000). Econometrics. Princeton University Press.
Summers R, Heston A (1991). “The Penn World Table (Mark 5): An Expanded Set of Interna-
tional Comparisons, 1950–1988.” The Quarterly Journal of Economics, 106, 327-68. doi:10.2307/
2937941.
140 summary.plm.list
summary.plm.list Summary for plm objects
Description
The summary method for plm objects generates some more information about estimated plm mod-
els.
Usage
## S3 method for class 'plm.list'
## S3 method for class 'summary.plm.list'

coef(object, eq = NULL, ...)
## S3 method for class 'summary.plm.list'

print(
x,
...
)

summary(object, vcov = NULL, ...)
## S3 method for class 'summary.plm'

print(
x,
subset = NULL,
...
)
Arguments
object an object of class "plm",
eq the selected equation for list objects
x an object of class "summary.plm",
vcov a variance–covariance matrix furnished by the user or a function to calculate one
(see Examples),
summary.plm.list 141
subset a character or numeric vector indicating a subset of the table of coefficients to

be printed for "print.summary.plm",
Details
The summary method for plm objects (summary.plm) creates an object of class c("summary.plm",
"plm", "panelmodel") that extends the plm object it is run on with various information about
the estimated model like (inferential) statistics, see Value. It has an associated print method
(print.summary.plm).
Value
An object of class c("summary.plm", "plm", "panelmodel"). Some of its elements are carried
over from the associated plm object and described there (plm()). The following elements are new
or changed relative to the elements of a plm object:
fstatistic ’htest’ object: joint test of significance of coefficients (F or Chi-square test) (ro-
bust statistic in case of supplied argument vcov, see pwaldtest() for details),
coefficients a matrix with the estimated coefficients, standard errors, t–values, and p–values,
if argument vcov was set to non-NULL the standard errors (and t– and p–values)
in their respective robust variant,
vcov the "regular" variance–covariance matrix of the coefficients (class "matrix"),
rvcov only present if argument vcov was set to non-NULL: the furnished variance–
covariance matrix of the coefficients (class "matrix"),
r.squared a named numeric containing the R-squared ("rsq") and the adjusted R-squared
("adjrsq") of the model,
df an integer vector with 3 components, (p, n-p, p*), where p is the number of
estimated (non-aliased) coefficients of the model, n-p are the residual degrees
of freedom (n being number of observations), and p* is the total number of
coefficients (incl. any aliased ones).
Author(s)
Yves Croissant
See Also
plm() for estimation of various models; vcovHC() for an example of a robust estimation of variance–
covariance matrix; r.squared() for the function to calculate R-squared; stats::print.power.htest()
for some information about class "htest"; fixef() to compute the fixed effects for "within" (=fixed
effects) models and within_intercept() for an "overall intercept" for such models; pwaldtest()
Examples

summary(zz)
142 vcovBK
# summary with a furnished vcov, passed as matrix, as function, and

# as function with additional argument
data = Grunfeld, model="within", effect = "individual")
summary(wi, vcov = vcovHC(wi))
summary(wi, vcov = vcovHC)
summary(wi, vcov = function(x) vcovHC(x, method = "white2"))
# extract F statistic
wi_summary <- summary(wi)
Fstat <- wi_summary[["fstatistic"]]
# extract estimates and p-values

est <- wi_summary[["coefficients"]][ , "Estimate"]
pval <- wi_summary[["coefficients"]][ , "Pr(>|t|)"]
# print summary only for coefficient "value"

print(wi_summary, subset = "value")
vcovBK Beck and Katz Robust Covariance Matrix Estimators
Description
Unconditional Robust covariance matrix estimators a la Beck and Katz for panel models (a.k.a.
Panel Corrected Standard Errors (PCSE)).
Usage
vcovBK(x, ...)

vcovBK(
x,
type = c("HC0", "HC1", "HC2", "HC3", "HC4"),
cluster = c("group", "time"),
diagonal = FALSE,
...
)
Arguments
x an object of class "plm",
type the weighting scheme used, one of "HC0", "HC1", "HC2", "HC3", "HC4", see
Details,
vcovBK 143
cluster one of "group", "time",

diagonal a logical value specifying whether to force non-diagonal elements to zero,
Details
vcovBK is a function for estimating a robust covariance matrix of parameters for a panel model
according to the Beck and Katz (1995) method, a.k.a. Panel Corrected Standard Errors (PCSE),
which uses an unconditional estimate of the error covariance across time periods (groups) inside
the standard formula for coefficient covariance. Observations may be clustered either by "group"
to account for timewise heteroskedasticity and serial correlation or by "time" to account for cross-
sectional heteroskedasticity and correlation. It must be borne in mind that the Beck and Katz for-
mula is based on N- (T-) asymptotics and will not be appropriate elsewhere.
The diagonal logical argument can be used, if set to TRUE, to force to zero all non-diagonal el-
ements in the estimated error covariances; this is appropriate if both serial and cross–sectional
correlation are assumed out, and yields a timewise- (groupwise-) heteroskedasticity–consistent es-
timator.
Weighting schemes specified by type are analogous to those in sandwich::vcovHC() in package
sandwich and are justified theoretically (although in the context of the standard linear model) by
MacKinnon and White (1985) and Cribari–Neto (2004) (see Zeileis 2004).
The main use of vcovBK (and the other variance-covariance estimators provided in the package
vcovHC, vcovNW, vcovDC, vcovSCC) is to pass it to plm’s own functions like summary, pwaldtest,
and phtest or together with testing functions from the lmtest and car packages. All of these
typically allow passing the vcov or vcov. parameter either as a matrix or as a function, e.g., for
Wald–type testing: argument vcov. to coeftest(), argument vcov to waldtest() and other meth-
ods in the lmtest package; and argument vcov. to linearHypothesis() in the car package (see
the examples), see (see also Zeileis 2004), 4.1-2, and examples below.
Value
An object of class "matrix" containing the estimate of the covariance matrix of coefficients.
Author(s)
Giovanni Millo
References
Beck N, Katz JN (1995). “What to do (and not to do) with time-series cross-section data.” American
Political Science Review, 89(03), 634–647.
Cribari–Neto F (2004). “Asymptotic Inference Under Heteroskedasticity of Unknown Form.” Com-
putational Statistics & Data Analysis, 45, 215–233.
MacKinnon JG, White H (1985). “Some Heteroskedasticity–Consistent Covariance Matrix Estima-
tors With Improved Finite Sample Properties.” Journal of Econometrics, 29, 305–325.
Zeileis A (2004). “Econometric Computing With HC and HAC Covariance Matrix Estimators.”
Journal of Statistical Software, 11(10), 1–17. https://www.jstatsoft.org/article/view/v011i10.
144 vcovDC
See Also
sandwich::vcovHC() from the sandwich package for weighting schemes (type argument).
Examples
data("Produc", package="plm")
zz <- plm(log(gsp)~log(pcap)+log(pc)+log(emp)+unemp, data=Produc, model="random")
summary(zz, vcov = vcovBK)
summary(zz, vcov = function(x) vcovBK(x, type="HC1"))
## standard coefficient significance test

library(lmtest)
coeftest(zz)
## robust significance test, cluster by group
## (robust vs. serial correlation), default arguments
coeftest(zz, vcov.=vcovBK)
## idem with parameters, pass vcov as a function argument
coeftest(zz, vcov.=function(x) vcovBK(x, type="HC1"))
## idem, cluster by time period
## (robust vs. cross-sectional correlation)
coeftest(zz, vcov.=function(x) vcovBK(x, type="HC1", cluster="time"))
## idem with parameters, pass vcov as a matrix argument
coeftest(zz, vcov.=vcovBK(zz, type="HC1"))
## joint restriction test
waldtest(zz, update(zz, .~.-log(emp)-unemp), vcov=vcovBK)
## Not run:
## test of hyp.: 2*log(pc)=log(emp)
library(car)
linearHypothesis(zz, "2*log(pc)=log(emp)", vcov.=vcovBK)
## End(Not run)
vcovDC Double-Clustering Robust Covariance Matrix Estimator
Description
High-level convenience wrapper for double-clustering robust covariance matrix estimators a la
Thompson (2011) and Cameron et al. (2011) for panel models.
Usage
vcovDC(x, ...)

vcovDC(x, type = c("HC0", "sss", "HC1", "HC2", "HC3", "HC4"), ...)
vcovDC 145
Arguments
x an object of class "plm" or "pcce"
... further arguments
type the weighting scheme used, one of "HC0", "sss", "HC1", "HC2", "HC3", "HC4",
see Details,
Details
vcovDC is a function for estimating a robust covariance matrix of parameters for a panel model with
errors clustering along both dimensions. The function is a convenience wrapper simply summing a
group- and a time-clustered covariance matrix and subtracting a diagonal one a la White.
The main use of vcovDC (and the other variance-covariance estimators provided in the package
vcovHC, vcovBK, vcovNW, vcovSCC) is to pass it to plm’s own functions like summary, pwaldtest,
Value
Author(s)
Giovanni Millo
References
Cameron AC, Gelbach JB, Miller DL (2011). “Robust inference with multiway clustering.” Journal
of Business & Economic Statistics, 29(2).
Thompson SB (2011). “Simple formulas for standard errors that cluster by both firm and time.”
Journal of Financial Economics, 99(1), 1–10.
See Also
146 vcovG
Examples
zz <- plm(log(gsp)~log(pcap)+log(pc)+log(emp)+unemp, data=Produc, model="pooling")
## as function input to plm's summary method (with and without additional arguments):
summary(zz, vcov = vcovDC)
summary(zz, vcov = function(x) vcovDC(x, type="HC1", maxlag=4))
library(lmtest)
coeftest(zz)
## DC robust significance test, default
coeftest(zz, vcov.=vcovDC)
coeftest(zz, vcov.=function(x) vcovDC(x, type="HC1", maxlag=4))
waldtest(zz, update(zz, .~.-log(emp)-unemp), vcov=vcovDC)
## Not run:
library(car)
linearHypothesis(zz, "2*log(pc)=log(emp)", vcov.=vcovDC)
## End(Not run)
vcovG Generic Lego building block for Robust Covariance Matrix Estimators
Description
Generic Lego building block for robust covariance matrix estimators of the vcovXX kind for panel
models.
Usage
vcovG(x, ...)

vcovG(
x,
type = c("HC0", "sss", "HC1", "HC2", "HC3", "HC4"),
l = 0,
inner = c("cluster", "white", "diagavg"),
...
)

vcovG(
x,
vcovG 147

l = 0,
...
)
Arguments
l lagging order, defaulting to zero
inner the function to be applied to the residuals inside the sandwich: one of "cluster"
or "white" or "diagavg",
Details
vcovG is the generic building block for use by higher–level wrappers vcovHC(), vcovSCC(), vcovDC(),
and vcovNW(). The main use of vcovG is to be used internally by the former, but it is made available
in the user space for use in non–standard combinations. For more documentation, see see wrapper
functions mentioned.
Value
Author(s)
Giovanni Millo
References
Millo G (2017). “Robust standard error estimators for panel models: A unifying approach.” Journal
of Statistical Software, 82(3), 1–27.
See Also
vcovHC(), vcovSCC(), vcovDC(), vcovNW(), and vcovBK() albeit the latter does not make use of
vcovG.
Examples
zz <- plm(log(gsp)~log(pcap)+log(pc)+log(emp)+unemp, data=Produc,
model="pooling")
## reproduce Arellano's covariance matrix
148 vcovHC.plm
vcovG(zz, cluster="group", inner="cluster", l=0)

## define custom covariance function
## (in this example, same as vcovHC)
myvcov <- function(x) vcovG(x, cluster="group", inner="cluster", l=0)
summary(zz, vcov = myvcov)
## use in coefficient significance test
library(lmtest)
## robust significance test
coeftest(zz, vcov. = myvcov)
vcovHC.plm Robust Covariance Matrix Estimators
Description
Robust covariance matrix estimators a la White for panel models.
Usage
vcovHC(
x,
method = c("arellano", "white1", "white2"),
...
)

vcovHC(
x,
method = c("arellano", "white1", "white2"),
...
)

vcovHC(x, ...)
Arguments
x an object of class "plm" which should be the result of a random effects or a
within model or a model of class "pgmm" or an object of class "pcce",
method one of "arellano", "white1", "white2",
see Details,
vcovHC.plm 149

Details
vcovHC is a function for estimating a robust covariance matrix of parameters for a fixed effects or
random effects panel model according to the White method (White 1980, 1984; Arellano 1987).
Observations may be clustered by "group" ("time") to account for serial (cross-sectional) correla-
tion.
All types assume no intragroup (serial) correlation between errors and allow for heteroskedastic-
ity across groups (time periods). As for the error covariance matrix of every single group of ob-
servations, "white1" allows for general heteroskedasticity but no serial (cross–sectional) correla-
tion; "white2" is "white1" restricted to a common variance inside every group (time period) (see
Greene 2003, Sec. 13.7.1-2, Greene 2012, Sec. 11.6.1-2
and Wooldridge 2002, Sec. 10.7.2); "arellano" (see
ibid. and the original ref. Arellano 1987) allows a fully general structure w.r.t. heteroskedasticity
and serial (cross–sectional) correlation.
MacKinnon and White (1985) and Cribari–Neto (2004) (Zeileis 2004). type = "sss" employs the
small sample correction as used by Stata.
The main use of vcovHC (and the other variance-covariance estimators provided in the package
vcovBK, vcovNW, vcovDC, vcovSCC) is to pass it to plm’s own functions like summary, pwaldtest,
A special procedure for pgmm objects, proposed by Windmeijer (2005), is also provided.
Value
An object of class "matrix" containing the estimate of the asymptotic covariance matrix of coeffi-
cients.
Note
The function pvcovHC is deprecated. Use vcovHC for the same functionality.
Author(s)
Giovanni Millo & Yves Croissant
References
Arellano M (1987). “Computing Robust Standard Errors for Within-groups Estimators.” Oxford
bulletin of Economics and Statistics, 49(4), 431–434.
150 vcovHC.plm

Windmeijer F (2005). “A Finite Sample Correction for the Variance of Linear Efficient Two–Steps
GMM Estimators.” Journal of Econometrics, 126, 25–51.
White H (1984). Asymptotic Theory for Econometricians. New York: Academic press. chap. 6
White H (1980). “A heteroskedasticity-consistent covariance matrix estimator and a direct test for
heteroskedasticity.” Econometrica, 48(4), 817–838.
See Also
Examples

data = Produc, model = "random")
summary(zz, vcov = vcovHC)
summary(zz, vcov = function(x) vcovHC(x, method="arellano", type="HC1"))

library(lmtest)
coeftest(zz)
## robust significance test, cluster by group
## (robust vs. serial correlation)
coeftest(zz, vcov.=vcovHC)
coeftest(zz, vcov.=function(x) vcovHC(x, method="arellano", type="HC1"))
## idem, cluster by time period
## (robust vs. cross-sectional correlation)
coeftest(zz, vcov.=function(x) vcovHC(x, method="arellano",
type="HC1", cluster="group"))
## idem with parameters, pass vcov as a matrix argument
coeftest(zz, vcov.=vcovHC(zz, method="arellano", type="HC1"))
waldtest(zz, update(zz, .~.-log(emp)-unemp), vcov=vcovHC)
## Not run:
library(car)
linearHypothesis(zz, "2*log(pc)=log(emp)", vcov.=vcovHC)
vcovNW 151
## End(Not run)
## Robust inference for CCE models
ccepmod <- pcce(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc, model="p")
summary(ccepmod, vcov = vcovHC)
## Robust inference for GMM models

data("EmplUK", package="plm")
ar <- pgmm(log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1)
+ log(capital) + lag(log(capital), 2) + log(output)
+ lag(log(output),2) | lag(log(emp), 2:99),
rv <- vcovHC(ar)
mtest(ar, order = 2, vcov = rv)
vcovNW Newey and West (1987) Robust Covariance Matrix Estimator
Description
Nonparametric robust covariance matrix estimators a la Newey and West for panel models with
serial correlation.
Usage
vcovNW(x, ...)

vcovNW(
x,
maxlag = NULL,
wj = function(j, maxlag) 1 - j/(maxlag + 1),
...
)

vcovNW(
x,
maxlag = NULL,
...
)
152 vcovNW
Arguments
see Details,
maxlag either NULL or a positive integer specifying the maximum lag order before trun-
cation
wj weighting function to be applied to lagged terms,
Details
vcovNW is a function for estimating a robust covariance matrix of parameters for a panel model
according to the Newey and West (1987) method. The function works as a restriction of the Driscoll
and Kraay (1998) covariance (see vcovSCC()) to no cross–sectional correlation.
The main use of vcovNW (and the other variance-covariance estimators provided in the package
vcovHC, vcovBK, vcovDC, vcovSCC) is to pass it to plm’s own functions like summary, pwaldtest,
Value
Author(s)
Giovanni Millo
References
Newey WK, West KD (1987). “A Simple, Positive Semi-definite, Heteroskedasticity and Autocor-
relation Consistent Covariance Matrix.” Econometrica, 55(3), 703–08.
vcovSCC 153
See Also
Examples
summary(zz, vcov = vcovNW)
summary(zz, vcov = function(x) vcovNW(x, method="arellano", type="HC1"))
library(lmtest)
coeftest(zz)
## NW robust significance test, default
coeftest(zz, vcov.=vcovNW)
coeftest(zz, vcov.=function(x) vcovNW(x, type="HC1", maxlag=4))
waldtest(zz, update(zz, .~.-log(emp)-unemp), vcov=vcovNW)
## Not run:
library(car)
linearHypothesis(zz, "2*log(pc)=log(emp)", vcov.=vcovNW)
## End(Not run)
vcovSCC Driscoll and Kraay (1998) Robust Covariance Matrix Estimator
Description
Nonparametric robust covariance matrix estimators a la Driscoll and Kraay for panel models with
cross-sectional and serial correlation.
Usage
vcovSCC(x, ...)

vcovSCC(
x,
cluster = "time",
maxlag = NULL,
...
154 vcovSCC

vcovSCC(
x,
cluster = "time",
maxlag = NULL,
...
)
Arguments
see Details,
cluster switch for vcovG; set at "time" here,
maxlag either NULL or a positive integer specifying the maximum lag order before trun-
cation
inner the function to be applied to the residuals inside the sandwich: "cluster" for
SCC, "white" for Newey-West, ("diagavg" for compatibility reasons)
wj weighting function to be applied to lagged terms,
Details
vcovSCC is a function for estimating a robust covariance matrix of parameters for a panel model
according to the Driscoll and Kraay (1998) method, which is consistent with cross–sectional and
serial correlation in a T-asymptotic setting and irrespective of the N dimension. The use with
random effects models is undocumented.
MacKinnon and White (1985) and Cribari–Neto (2004) (see Zeileis 2004)).
The main use of vcovSCC (and the other variance-covariance estimators provided in the package
vcovHC, vcovBK, vcovNW, vcovDC) is to pass it to plm’s own functions like summary, pwaldtest,
the examples), (see also Zeileis 2004), 4.1-2, and examples below.
Value
vcovSCC 155
Author(s)
Giovanni Millo, partially ported from Daniel Hoechle’s (2007) Stata code
References

Hoechle D (2007). “Robust standard errors for panel regressions with cross-sectional dependence.”
Stata Journal, 7(3), 281-312. https://ideas.repec.org/a/tsj/stataj/v7y2007i3p281-312.
html.
See Also
Examples
summary(zz, vcov = vcovSCC)
summary(zz, vcov = function(x) vcovSCC(x, method="arellano", type="HC1"))
library(lmtest)
coeftest(zz)
## SCC robust significance test, default
coeftest(zz, vcov.=vcovSCC)
coeftest(zz, vcov.=function(x) vcovSCC(x, type="HC1", maxlag=4))
waldtest(zz, update(zz, .~.-log(emp)-unemp), vcov=vcovSCC)
## Not run:
library(car)
linearHypothesis(zz, "2*log(pc)=log(emp)", vcov.=vcovSCC)
## End(Not run)
156 Wages
Wages Panel Data of Individual Wages
Description
A panel of 595 individuals from 1976 to 1982, taken from the Panel Study of Income Dynamics
(PSID).
The data are organized as a stacked time series/balanced panel, see Examples on how to convert to
a pdata.frame.
Format
A data frame containing:
exp years of full-time work experience.

wks weeks worked.
bluecol blue collar?
ind works in a manufacturing industry?
south resides in the south?
smsa resides in a standard metropolitan statistical area?
married married?
sex a factor with levels "male" and "female"
union individual’s wage set by a union contract?
ed years of education.
black is the individual black?
lwage logarithm of wage.
Details
observation : individuals
Source
resourceId=13452
within_intercept 157
References
Cornwell C, Rupert P (1988). “Efficient Estimation With Panel Data: an Empirical Comparison of
Instrumental Variables Estimators.” Journal of Applied Econometrics, 3, 149–155.
Examples
# data set 'Wages' is organized as a stacked time series/balanced panel

Wag <- pdata.frame(Wages, index=595)
within_intercept Overall Intercept for Within Models Along its Standard Error
Description
This function gives an overall intercept for within models and its accompanying standard error or
an within model with the overall intercept
Usage
within_intercept(object, ...)

within_intercept(object, vcov = NULL, return.model = FALSE, ...)
Arguments
object object of class plm which must be a within model (fixed effects model),
... further arguments (currently none).
vcov if not NULL (default), a function to calculate a user defined variance–covariance
matrix (function for robust vcov), only used if return.model = FALSE,
return.model a logical to indicate whether only the overall intercept (FALSE is default) or a
full model object (TRUE) is to be returned,
Details
The (somewhat artificial) intercept for within models (fixed effects models) was made popular by
Stata of StataCorp (see Gould 2013), EViews of IHS, and gretl (see Cottrell and Lucchetti 2021, p.
200-201, listing 23.1), see for treatment in the literature, e.g., Greene (2012), Ch. 11.4.4, p. 364. It
can be considered an overall intercept in the within model framework and is the weighted mean of
fixed effects (see Examples for the relationship).
158 within_intercept
within_intercept estimates a new model which is computationally more demanding than just
taking the weighted mean. However, with within_intercept one also gets the associated standard
error and it is possible to get an overall intercept for twoway fixed effect models.
Users can set argument vcov to a function to calculate a specific (robust) variance–covariance matrix
and get the respective (robust) standard error for the overall intercept, e.g., the function vcovHC(),
see examples for usage. Note: The argument vcov must be a function, not a matrix, because the
model to calculate the overall intercept for the within model is different from the within model
itself.
If argument return.model = TRUE is set, the full model object is returned, while in the default case
only the intercept is returned.
Value
Depending on argument return.model: If FALSE (default), a named numeric of length one: The
overall intercept for the estimated within model along attribute "se" which contains the standard
error for the intercept. If return.model = TRUE, the full model object, a within model with the
overall intercept (NB: the model identifies itself as a pooling model, e.g., in summary()).
Author(s)
Kevin Tappe
References
Cottrell A, Lucchetti R (2021). “Gretl User’s Guide.” http://gretl.sourceforge.net/.
Gould W (2013). “How can there be an intercept in the fixed-effects model estimated by xtreg, fe?”
https://www.stata.com/support/faqs/statistics/intercept-in-fixed-effects-model/.
See Also
fixef() to extract the fixed effects of a within model.
Examples
mod_fe <- plm(mv ~ age + crim, data = Hedonic, index = "townid")
overallint <- within_intercept(mod_fe)
attr(overallint, "se") # standard error
# overall intercept is the weighted mean of fixed effects in the

# one-way case
weighted.mean(fixef(mod_fe), pdim(mod_fe)$Tint$Ti)
### relationship of type="dmean", "level" and within_intercept

## one-way balanced case
gi <- plm(inv ~ value + capital, data = Grunfeld, model = "within")
within_intercept 159
fx_level <- fixef(gi, type = "level")

fx_dmean <- fixef(gi, type = "dmean")
overallint <- within_intercept(gi)
all.equal(overallint + fx_dmean, fx_level, check.attributes = FALSE) # TRUE
## two-ways unbalanced case
gtw_u <- plm(inv ~ value + capital, data = Grunfeld[-200, ], effect = "twoways")
int_tw_u <- within_intercept(gtw_u)
fx_dmean_tw_i_u <- fixef(gtw_u, type = "dmean", effect = "individual")[index(gtw_u)[[1L]]]
fx_dmean_tw_t_u <- fixef(gtw_u, type = "dmean", effect = "time")[index(gtw_u)[[2L]]]
fx_level_tw_u <- as.numeric(fixef(gtw_u, "twoways", "level"))
fx_level_tw_u2 <- int_tw_u + fx_dmean_tw_i_u + fx_dmean_tw_t_u
all.equal(fx_level_tw_u, fx_level_tw_u2, check.attributes = FALSE) # TRUE
## overall intercept with robust standard error

within_intercept(gi, vcov = function(x) vcovHC(x, method="arellano", type="HC0"))
## have a model returned

mod_fe_int <- within_intercept(gi, return.model = TRUE)
summary(mod_fe_int)
# replicates Stata's robust standard errors
summary(mod_fe_int, vcvov = function(x) vcovHC(x, type = "sss"))
Index
∗ array mtest, 48
detect.lindep, 12 pbgtest, 51
∗ attribute pbltest, 53
index.plm, 26 pbnftest, 54
is.pbalanced, 27 pbsytest, 56
is.pconsecutive, 29 pcdtest, 62
is.pseries, 32 pdwtest, 70
make.pbalanced, 38 pFtest, 72
make.pconsecutive, 42 pgrangertest, 79
nobs.plm, 49 phansitest, 81
pdim, 68 phtest, 86
pseriesfy, 115 piest, 88
punbalancedness, 116 plmtest, 101
pvar, 122 pooltest, 107
within_intercept, 157 purtest, 119
∗ classes pwaldtest, 126
lag.plm, 34 pwartest, 129
model.frame.pdata.frame, 45 pwfdtest, 130
pdata.frame, 65 pwtest, 132
pseries, 111 r.squared, 134
∗ datasets sargan, 137
Cigar, 6 ∗ manip
Crime, 9 detect.lindep, 12
EmplUK, 15 make.dummies, 36
Gasoline, 21 plm.fast, 99
Grunfeld, 22 pmodel.response, 106
Hedonic, 25 ∗ package
LaborSupply, 33 plm-package, 4
Males, 44 ∗ regression
Parity, 50 ercomp, 16
Produc, 110 fixef.plm, 18
RiceFarms, 136 pcce, 59
Snmesp, 138 pggls, 73
SumHes, 139 pgmm, 75
Wages, 156 pht, 83
∗ htest pldv, 89
aneweytest, 5 plm, 91
cipstest, 7 pmg, 104
cortab, 9 predict.plm, 108
160
INDEX 161
pvcm, 124 coef.summary.plm.list

ranef.plm, 135 (summary.plm.list), 140
summary.plm.list, 140 collapse::varying(), 123
vcovBK, 142 cortab, 9
vcovDC, 144 Crime, 9
vcovG, 146
vcovHC.plm, 148 data.frame(), 29, 31, 40, 43
vcovNW, 151 detect.lindep, 12
vcovSCC, 153 detect.lindep(), 95
∗ sysdata detect_lin_dep (plm-deprecated), 97
plm.fast, 99 deviance.panelmodel (plm), 91
[.pdata.frame (pdata.frame), 65 df.residual.panelmodel (plm), 91
[[.pdata.frame (pdata.frame), 65 diff (lag.plm), 34
$.pdata.frame (pdata.frame), 65 diff(), 114
$<-.pdata.frame (pdata.frame), 65 dynformula (plm-deprecated), 97
dynformula(), 78
AER::Grunfeld, 23 EmplUK, 15
alias.pdata.frame (detect.lindep), 12 ercomp, 16
alias.plm (detect.lindep), 12 Extract(), 66
aneweytest, 5
aneweytest(), 89 fitted.panelmodel (plm), 91
as.data.frame(), 66 fitted.plm (plm), 91
as.data.frame.pdata.frame fixef (fixef.plm), 18
(pdata.frame), 65 fixef(), 96, 135, 141, 158
as.Formula.pFormula (plm-deprecated), 97 fixef.plm, 18
as.list(), 115 formula.dynformula (plm-deprecated), 97
as.list.pdata.frame (pdata.frame), 65 formula.pdata.frame
as.matrix.pseries (pseries), 111 (model.frame.pdata.frame), 45
as.matrix.pseries(), 36 formula.plm (plm), 91
Formula::Formula(), 46, 47
base::as.list.data.frame(), 67
Between (pseries), 111 Gasoline, 21
between (pseries), 111 Grunfeld, 22
Between(), 36
has.intercept, 24
between(), 36
Hedonic, 25
Between.default (pseries), 111
between.default (pseries), 111 index (index.plm), 26
Between.matrix (pseries), 111 index(), 67
between.matrix (pseries), 111 index.plm, 26
Between.pseries (pseries), 111 is.pbalanced, 27
between.pseries (pseries), 111 is.pbalanced(), 40, 70
is.pconsecutive, 29
car::linearHypothesis(), 128 is.pconsecutive(), 29, 36, 40, 43, 67
Cigar, 6 is.pseries, 32
cipstest, 7 is.pseries(), 114
cipstest(), 82, 122
coef.panelmodel (plm), 91 LaborSupply, 33
coef.pgmm (pgmm), 75 lag (lag.plm), 34
162 INDEX
lag(), 31, 40, 43, 114 pdata.frame(), 27–31, 39, 40, 42, 43, 60, 63,
lag.plm, 34 69, 70, 74, 80, 90, 104, 115, 116,
lead (lag.plm), 34 118, 123, 125
lead(), 114 pdim, 68
lm(), 5, 74, 76, 84, 88, 104 pdim(), 29, 31, 40, 43, 49, 67, 117, 118, 124
lmtest::bgtest(), 51, 52, 71 pdwtest, 70
lmtest::dwtest(), 71 pdwtest(), 52, 54, 56, 59, 130, 133
lmtest::grangertest(), 80, 81 pFormula (plm-deprecated), 97
lmtest::waldtest(), 128 pFtest, 72
pFtest(), 103
make.dummies, 36 pggls, 73
make.pbalanced, 38 pgmm, 75
make.pbalanced(), 29, 31, 43 pgmm(), 31, 48, 138
make.pconsecutive, 42 pgrangertest, 79
make.pconsecutive(), 29, 31, 40 phansitest, 81
Males, 44 phansitest(), 8, 122
maxLik::maxLik(), 90 pht, 83
model.frame(), 14, 107 phtest, 86
model.frame.pdata.frame, 45 piest, 88
model.frame.pFormula (plm-deprecated), piest(), 6
97 pldv, 89
model.matrix(), 14, 107 plm, 91
model.matrix.pcce (pcce), 59 plm(), 16, 17, 20, 27, 31, 134, 141
model.matrix.pdata.frame plm-deprecated, 97
(model.frame.pdata.frame), 45 plm-package, 4
model.matrix.pFormula (plm-deprecated), plm.data (plm-deprecated), 97
97 plm.fast, 99
model.matrix.plm plmtest, 101
(model.frame.pdata.frame), 45 plmtest(), 59, 73, 133
mtest, 48 plot.plm (plm), 91
mtest(), 78 plot.pseries (pseries), 111
plot.summary.pseries (pseries), 111
nobs (nobs.plm), 49 pmg, 104
nobs(), 70, 118 pmodel.response, 106
nobs.plm, 49 pmodel.response(), 47
pmodel.response.pcce (pcce), 59
Parity, 50 pooltest, 107
pbgtest, 51 predict.plm, 108
pbgtest(), 54, 59, 71, 130, 133 predict.plm(), 96
pbltest, 53 print.dynformula (plm-deprecated), 97
pbltest(), 52, 56, 59, 71, 130, 133 print.ercomp (ercomp), 16
pbnftest, 54 print.fixef (fixef.plm), 18
pbnftest(), 54, 71 print.panelmodel (plm), 91
pbsytest, 56 print.pdata.frame (pdata.frame), 65
pbsytest(), 52, 54, 56, 71, 130, 133 print.pdim (pdim), 68
pcce, 59 print.phansitest (phansitest), 81
pcdtest, 62 print.piest (piest), 88
pdata.frame, 65 print.plm.list (plm), 91
INDEX 163
print.pseries (pseries), 111 sandwich::vcovHC(), 143–145, 149, 150,

print.purtest (purtest), 119 152–155
print.pvar (pvar), 122 sargan, 137
print.summary.fixef (fixef.plm), 18 sargan(), 78
print.summary.pcce (pcce), 59 Snmesp, 138
print.summary.pggls (pggls), 73 stats::alias(), 14
print.summary.pgmm (pgmm), 75 stats::alias.lm(), 13
print.summary.pht (pht), 83 stats::contr.treatment(), 38
print.summary.piest (piest), 88 stats::contrasts(), 38
print.summary.plm (summary.plm.list), stats::lag(), 35
140 stats::lm(), 93
print.summary.pmg (pmg), 104 stats::model.matrix(), 14
print.summary.pseries (pseries), 111 stats::print.power.htest(), 141
print.summary.pseries(), 36 Sum (pseries), 111
SumHes, 139
print.summary.purtest (purtest), 119
summary.fixef (fixef.plm), 18
print.summary.pvcm (pvcm), 124
summary.pcce (pcce), 59
Produc, 110
summary.pggls (pggls), 73
pseries, 111
summary.pgmm (pgmm), 75
pseries(), 29, 31, 33, 40, 43
summary.pgmm(), 127
pseriesfy, 115 summary.pht (pht), 83
punbalancedness, 116 summary.piest (piest), 88
punbalancedness(), 29, 40, 43, 70 summary.plm (summary.plm.list), 140
purtest, 119 summary.plm(), 95, 96, 127, 128, 134
purtest(), 8, 82 summary.plm.list, 140
pvar, 122 summary.pmg (pmg), 104
pvar(), 29, 31, 40, 43, 67, 70 summary.pseries (pseries), 111
pvcm, 124 summary.pseries(), 36
pvcovHC (plm-deprecated), 97 summary.purtest (purtest), 119
pwaldtest, 126 summary.pvcm (pvcm), 124
pwaldtest(), 141
pwartest, 129 terms.panelmodel (plm), 91
pwartest(), 52, 54, 56, 71, 133
update.panelmodel (plm), 91
pwfdtest, 130
pwfdtest(), 52, 54, 56, 71, 130, 133 vcov.panelmodel (plm), 91
pwtest, 132 vcovBK, 142
vcovBK(), 147
r.squared, 134 vcovDC, 144
r.squared(), 141 vcovDC(), 147
vcovG, 146
ranef (ranef.plm), 135
vcovHC (vcovHC.plm), 148
ranef(), 20
vcovHC(), 128, 141, 147, 158
ranef.plm, 135
vcovHC.plm, 148
residuals.panelmodel (plm), 91
vcovNW, 151
residuals.pcce (pcce), 59
vcovNW(), 147
residuals.pggls (pggls), 73 vcovSCC, 153
residuals.plm (plm), 91 vcovSCC(), 147, 152
residuals.pmg (pmg), 104
RiceFarms, 136 Wages, 156
164 INDEX
Within (pseries), 111

Within(), 36
within_intercept, 157
within_intercept(), 20, 141
zoo::lag.zoo(), 35

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Package ‘plm’

October 14, 2022

Author Yves Croissant [aut],

plm-package plm package: linear models for panel data

• plm: panel data estimators using lm on transformed data,

data("Produc", package = "plm")

# replicates some results from Baltagi (2013), table 3.1

wi <- plm(inv ~ value + capital,

swar <- plm(inv ~ value + capital,

data = Grunfeld, model="random", effect = "twoways")

amemiya <- plm(inv ~ value + capital,

walhus <- plm(inv ~ value + capital,

data("RiceFarms", package = "plm")

Cigar Cigarette Consumption

x an object of class "pseries",

• "none": no intercept, no trend (Case I in (Pesaran 2007)),

An object of class "htest".

data("Produc", package = "plm")

cortab Cross–sectional correlation matrix

Computes the cross–sectional correlation matrix

cortab(x, grouping, groupnames = NULL, value = "statistic", ...)

x an object of class pseries

data("Grunfeld", package = "plm")

Crime Crime in North Carolina

a panel of 90 observational units (counties) from 1981 to 1987

lwtuc log of weekly wage in transportation, utilities, communications

detect.lindep Functions to detect linear dependence

## S3 method for class 'matrix'

## S3 method for class 'data.frame'

## S3 method for class 'plm'

## S3 method for class 'plm'

## S3 method for class 'pdata.frame'

### Example 1 ###

# setup a formula and a model frame

# look at the data: after FE transformation fact1 == -1*fact2

### Example 2 ###

# look at the data

form <- inv ~ value + capital + CEOtenure + CEOage

# CEOtenure and CEOage are linear dependent after FE transformation

# look at the transformed data: after FE transformation CEOtenure == 1*CEOage

EmplUK Employment and Wages in the United Kingdom

ercomp Estimation of the error components

## S3 method for class 'plm'

## S3 method for class 'pdata.frame'

## S3 method for class 'formula'

## S3 method for class 'ercomp'

data("Produc", package = "plm")

data = Produc, random.method = "walhus",

fixef.plm Extract the Fixed Effects

## S3 method for class 'fixef'

## S3 method for class 'fixef'

## S3 method for class 'summary.fixef'

## S3 method for class 'pggls'

data("Grunfeld", package = "plm")

# relationship of type = "dmean" and "level" and overall intercept

# extract time effects in a twoways effects model

# with supplied variance-covariance matrix as matrix, function,

# calc. fitted values of oneway within model:

# calc. fittes values of twoway unbalanced within model via effects:

# Splits of summed up individual and time effects:

all.equal(pred_effs, eff_id_level + eff_ti_dfirst) # TRUE

Gasoline Gasoline Consumption