inst/tests/test_pwaldtest.Rout.save

23 > library(plm)
24 > data("Grunfeld", package="plm")
25 > gp <- plm(inv ~ value + capital, data = Grunfeld, model = "pooling")
26 > gi <- plm(inv ~ value + capital, data = Grunfeld,
28 > gt <- plm(inv ~ value + capital, data = Grunfeld,
30 > gd <- plm(inv ~ value + capital, data = Grunfeld,
32 > gre<- plm(inv ~ value + capital, data = Grunfeld,
36 > plm::pwaldtest(gp, test = "Chisq")
44 > plm::pwaldtest(gi, test = "Chisq")
52 > plm::pwaldtest(gt, test = "Chisq")
60 > plm::pwaldtest(gd, test = "Chisq")
68 > plm::pwaldtest(gre, test = "Chisq")
78 > plm::pwaldtest(gp, test = "F")
86 > plm::pwaldtest(gi, test = "F")
94 > plm::pwaldtest(gt, test = "F")
102 > plm::pwaldtest(gd, test = "F")
110 > plm::pwaldtest(gre, test = "F")
128 >   vcov_mat_adj_gp  <- adj_k1  * plm::vcovHC(gp)
129 >   vcov_mat_adj_gi  <- adj_k1  * plm::vcovHC(gi)
130 >   vcov_mat_adj_gd  <- adj_gd  * plm::vcovHC(gd) # NB: adj_gd to be used here
131 >   vcov_mat_adj_gre <- adj_k1  * plm::vcovHC(gre)
132 >   vcov_mat_adj_gt  <- adj_k1  * plm::vcovHC(gt)
134 > # Chisq - robust - formula
135 > plm::pwaldtest(gp, test = "Chisq", vcov = vcovHC)
143 > plm::pwaldtest(gi, test = "Chisq", vcov = vcovHC)
151 > plm::pwaldtest(gt, test = "Chisq", vcov = vcovHC)
159 > plm::pwaldtest(gd, test = "Chisq", vcov = vcovHC)
167 > plm::pwaldtest(gre, test = "Chisq", vcov = vcovHC)
177 > plm::pwaldtest(gp, test = "Chisq", vcov = vcovHC(gp))
185 > plm::pwaldtest(gi, test = "Chisq", vcov = vcovHC(gi))
193 > plm::pwaldtest(gt, test = "Chisq", vcov = vcovHC(gt))
201 > plm::pwaldtest(gd, test = "Chisq", vcov = vcovHC(gd))
209 > plm::pwaldtest(gre, test = "Chisq", vcov = vcov_mat_adj_gre) # replicates Gretl: Chi-square(2) = …
219 > plm::pwaldtest(gp, test = "F", vcov = vcov_mat_adj_gp) # replicates Gretl: F(2, 9) = 51.59060
227 > plm::pwaldtest(gi, test = "F", vcov = vcov_mat_adj_gi) # replicates Gretl: F(2, 9) = 28.3096
235 > plm::pwaldtest(gi, test = "F", vcov = function(x) vcovHC(x, cluster = "time")) # cluster on time,…
244 > plm::pwaldtest(gt, test = "F", vcov = vcov_mat_adj_gt)
252 > plm::pwaldtest(gd, test = "F", vcov = vcov_mat_adj_gd) # replicates Gretl: F(2, 9) = 60.0821
260 > plm::pwaldtest(gre, test = "F", vcov = vcov_mat_adj_gre)
271 > plm::pwaldtest(gp, test = "F", vcov = vcovHC(gp))
279 > plm::pwaldtest(gi, test = "F", vcov = vcovHC(gi))
287 > plm::pwaldtest(gi, test = "F", vcov = function(x) vcovHC(x, cluster = "time")) # cluster on time,…
296 > plm::pwaldtest(gt, test = "F", vcov = vcovHC(gt))
304 > plm::pwaldtest(gd, test = "F", vcov = vcovHC(gd))
312 > plm::pwaldtest(gre, test = "F", vcov = vcovHC(gre))
326 > # data("Grunfeld", package = "plm")
343 > # library(plm)
351 > # form_nls_ex2 <- formula(ln_wage ~ grade + age + I(age^2) + ttl_exp + I(ttl_exp^2) + tenure + I(…
352 > # plm_fe_nlswork <- plm(form_nls_ex2, data = pnlswork, model = "within")
354 > # plm:::pwaldtest(plm_fe_nlswork, test = "F")                 # replicates Stata: F(8, 23386) = 6…
355 > # plm:::pwaldtest(plm_fe_nlswork, test = "F", vcov = vcovHC) # replicates Stata: F(8, 4696)  = 27…
360 > # library(foreign);library(plm)
365 > # mod_fe_ind <- plm(lwage ~ exper + hours + married + expersq, data = pwagepan, model = "within",…
367 > # plm:::pwaldtest(mod_fe_ind, test="F")
368 > # plm:::pwaldtest(mod_fe_ind, test="F", vcov = function(x) vcovHC(x)) # 121.4972
376 > # vcov_mat_adj <- adj * plm::vcovHC(mod_fe_ind)
377 > # print(plm:::pwaldtest(mod_fe_ind, test="F", vcov = vcov_mat_adj), digits = 12) # replicate Gret…