How to measure the fixed effect of a pair of individuals using the plm package in R?

Question

I have a panel data set consisting of bonds with daily prices observed over a period of time. Thus each bond is repeated downwards with the corresponding daily price observations and dates (ref picture below). Half of the bonds are green (identified by a dummy variable) and each green bond is matched with a non-green bond, each pair is identified with a pair-id. So a green bond and its matched non-green bond have the same pair-id, and are observed over the same time span (say 100 days each), but the individual bond-id is unique.

I want to measure the fixed effect within each pair of bonds to figure out if there is a significant difference in yield to maturity (variable used = ask.yield) between the green bond and its matching non-green bond. Thus, I believe when identifying the paneldata in R, that the individual should be pair.id and the time index should be date. I use the following regression:

fixed <- plm(ask.yield ~ liquidity + green, data = paneldata, index = c(“pair.id”, “dates”), model = “within”)

Desired output (do not mind the numbers):

I get an error message saying:

Error in pdim.default(index[ 1 ], index[ 2 ]): duplicate couples (id-time)

I understand the error message – each pair.id in the panel data is recorded over the same dates twice (one time for the green bond, and one for the matching non-green bond).

Does anyone know how to get around this problem and still be able to measure the fixed effect within each pair of bonds?

Answer 1

From the error, there are duplications in the paired id, aka, the combination of pair.id and dates are not unique. Can you check whether the values of date unique for each pair.id ?

If they are, you might need to convert the date to str , depending on the data type, the date might be converted to some value that might introduce the duplication values.

Hope this helps, since I don't have the data, I have no way to reproduce.