[英]Panel regression by group
我搜索了許多問題,但是沒有一個人使用plm
。
我有一個公司年面板數據dt
,每個公司都有不同的年觀察值。 我有一個面板回歸:
plm(y~ lag(x1, 1)+ lag(x2, 1)+ lag(log(x3), 1),
data= dt, model= "within", effect= "twoways", index= c("firm", "fyear"))
我想對每個企業集團使用這種面板回歸。 我試過by
,在dplyr
group by
和lmList
,但是它們都不適用於plm
。 由於回歸中存在滯后項,因此必須使用plm
回歸。
假設您有一個group
列:
library(plm)
#get data
data("Produc", package = "plm")
dt=Produc[,c("state","year","gsp","pcap","pc","emp","region")]
colnames(dt)=c("firm","fyear","y","x1","x2","x3","group") #your names + group
plm(y~ lag(x1, 1)+ lag(x2, 1)+ lag(log(x3), 1),
data= dt, model= "within", effect= "twoways", index= c("firm", "fyear"))
#Model Formula: y ~ lag(x1, 1) + lag(x2, 1) + lag(log(x3), 1)
#
#Coefficients:
# lag(x1, 1) lag(x2, 1) lag(log(x3), 1)
# -0.50586 0.88671 12417.08080
# split and lapply
dts=split(dt,dt$group)
regs=lapply(dts,function(dtt)plm(y~ lag(x1, 1)+ lag(x2, 1)+ lag(log(x3), 1),
data= dtt, model= "within", effect= "twoways",
index= c("firm", "fyear"))$coefficients)
do.call("rbind",regs)
# > do.call("rbind",regs)
# lag(x1, 1) lag(x2, 1) lag(log(x3), 1)
# 1 -1.51064158 1.96541347 8163.974
# 2 -0.06268382 0.95112243 110801.043
# 3 1.06379297 0.06485576 63507.876
# 4 1.10813773 0.56661881 7429.956
# 5 0.90277939 0.52108922 46308.862
# 6 2.38345950 0.36220682 73134.118
# 7 2.68155543 0.31143095 -23427.304
# 8 1.94446802 0.22973996 5196.212
# 9 1.35110639 1.25191285 -82916.241
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