1 2R version 4.0.3 (2020-10-10) -- "Bunny-Wunnies Freak Out" 3Copyright (C) 2020 The R Foundation for Statistical Computing 4Platform: x86_64-w64-mingw32/x64 (64-bit) 5 6R is free software and comes with ABSOLUTELY NO WARRANTY. 7You are welcome to redistribute it under certain conditions. 8Type 'license()' or 'licence()' for distribution details. 9 10R is a collaborative project with many contributors. 11Type 'contributors()' for more information and 12'citation()' on how to cite R or R packages in publications. 13 14Type 'demo()' for some demos, 'help()' for on-line help, or 15'help.start()' for an HTML browser interface to help. 16Type 'q()' to quit R. 17 18> library(plm) 19> data("Produc", package = "plm") 20> pProduc <- pdata.frame(Produc, index = c("state", "year", "region")) 21> form <- log(gsp) ~ log(pc) + log(emp) + log(hwy) + log(water) + log(util) + unemp 22> summary(plm(form, data = pProduc, model = "random", effect = "nested")) 23Nested effects Random Effect Model 24 (Swamy-Arora's transformation) 25 26Call: 27plm(formula = form, data = pProduc, effect = "nested", model = "random") 28 29Balanced Panel: n = 48, T = 17, N = 816 30 31Effects: 32 var std.dev share 33idiosyncratic 0.001352 0.036765 0.191 34individual 0.004278 0.065410 0.604 35group 0.001455 0.038148 0.205 36theta: 37 Min. 1st Qu. Median Mean 3rd Qu. Max. 38id 0.86492676 0.8649268 0.86492676 0.86492676 0.86492676 0.86492676 39group 0.03960556 0.0466931 0.05713605 0.05577645 0.06458029 0.06458029 40 41Residuals: 42 Min. 1st Qu. Median Mean 3rd Qu. Max. 43-0.106171 -0.024805 -0.001816 -0.000054 0.019795 0.182810 44 45Coefficients: 46 Estimate Std. Error z-value Pr(>|z|) 47(Intercept) 2.08921088 0.14570204 14.3389 < 2.2e-16 *** 48log(pc) 0.27412419 0.02054440 13.3430 < 2.2e-16 *** 49log(emp) 0.73983766 0.02575046 28.7311 < 2.2e-16 *** 50log(hwy) 0.07273624 0.02202509 3.3024 0.0009585 *** 51log(water) 0.07645327 0.01385767 5.5170 3.448e-08 *** 52log(util) -0.09437398 0.01677289 -5.6266 1.838e-08 *** 53unemp -0.00616304 0.00090331 -6.8227 8.933e-12 *** 54--- 55Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 56 57Total Sum of Squares: 43.035 58Residual Sum of Squares: 1.1245 59R-Squared: 0.97387 60Adj. R-Squared: 0.97368 61Chisq: 20213.5 on 6 DF, p-value: < 2.22e-16 62> summary(plm(form, data = pProduc, model = "random", effect = "nested", random.method = "walhus")) 63Nested effects Random Effect Model 64 (Wallace-Hussain's transformation) 65 66Call: 67plm(formula = form, data = pProduc, effect = "nested", model = "random", 68 random.method = "walhus") 69 70Balanced Panel: n = 48, T = 17, N = 816 71 72Effects: 73 var std.dev share 74idiosyncratic 0.001415 0.037617 0.163 75individual 0.004507 0.067131 0.520 76group 0.002744 0.052387 0.317 77theta: 78 Min. 1st Qu. Median Mean 3rd Qu. Max. 79id 0.86533240 0.86533240 0.86533240 0.86533240 0.86533240 0.86533240 80group 0.05409908 0.06154491 0.07179372 0.07023704 0.07867007 0.07867007 81 82Residuals: 83 Min. 1st Qu. Median Mean 3rd Qu. Max. 84-0.105014 -0.024736 -0.001879 -0.000056 0.019944 0.182082 85 86Coefficients: 87 Estimate Std. Error z-value Pr(>|z|) 88(Intercept) 2.08165186 0.15034855 13.8455 < 2.2e-16 *** 89log(pc) 0.27256322 0.02093384 13.0202 < 2.2e-16 *** 90log(emp) 0.74164483 0.02607167 28.4464 < 2.2e-16 *** 91log(hwy) 0.07493204 0.02234932 3.3528 0.0008001 *** 92log(water) 0.07639159 0.01386702 5.5089 3.611e-08 *** 93log(util) -0.09523031 0.01677247 -5.6778 1.365e-08 *** 94unemp -0.00614840 0.00090786 -6.7724 1.267e-11 *** 95--- 96Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 97 98Total Sum of Squares: 40.423 99Residual Sum of Squares: 1.1195 100R-Squared: 0.97231 101Adj. R-Squared: 0.9721 102Chisq: 19579.7 on 6 DF, p-value: < 2.22e-16 103> summary(plm(form, data = pProduc, model = "random", effect = "nested", random.method = "amemiya")) 104Nested effects Random Effect Model 105 (Amemiya's transformation) 106 107Call: 108plm(formula = form, data = pProduc, effect = "nested", model = "random", 109 random.method = "amemiya") 110 111Balanced Panel: n = 48, T = 17, N = 816 112 113Effects: 114 var std.dev share 115idiosyncratic 0.001352 0.036765 0.130 116individual 0.006899 0.083058 0.662 117group 0.002170 0.046589 0.208 118theta: 119 Min. 1st Qu. Median Mean 3rd Qu. Max. 120id 0.89325689 0.89325689 0.89325689 0.89325689 0.89325689 0.89325689 121group 0.02996995 0.03548869 0.04369353 0.04264991 0.04959127 0.04959127 122 123Residuals: 124 Min. 1st Qu. Median Mean 3rd Qu. Max. 125-0.104625 -0.024323 -0.002264 -0.000038 0.019351 0.178975 126 127Coefficients: 128 Estimate Std. Error z-value Pr(>|z|) 129(Intercept) 2.13133109 0.16013819 13.3093 < 2.2e-16 *** 130log(pc) 0.26447567 0.02176030 12.1540 < 2.2e-16 *** 131log(emp) 0.75811017 0.02660794 28.4919 < 2.2e-16 *** 132log(hwy) 0.07211418 0.02362627 3.0523 0.002271 ** 133log(water) 0.07616495 0.01401879 5.4331 5.539e-08 *** 134log(util) -0.10150953 0.01705158 -5.9531 2.631e-09 *** 135unemp -0.00583842 0.00091107 -6.4083 1.471e-10 *** 136--- 137Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 138 139Total Sum of Squares: 34.089 140Residual Sum of Squares: 1.0911 141R-Squared: 0.96799 142Adj. R-Squared: 0.96776 143Chisq: 18055 on 6 DF, p-value: < 2.22e-16 144> 145> pProduc_unbal <- pProduc[-c(2, 20:45, 75, 83:85, 500:510, 632:688, 700, 750), ] 146> summary(plm(form, data = pProduc_unbal, model = "random", effect = "nested")) 147Nested effects Random Effect Model 148 (Swamy-Arora's transformation) 149 150Call: 151plm(formula = form, data = pProduc_unbal, effect = "nested", 152 model = "random") 153 154Unbalanced Panel: n = 46, T = 2-17, N = 715 155 156Effects: 157 var std.dev share 158idiosyncratic 0.001419 0.037675 0.168 159individual 0.004411 0.066412 0.522 160group 0.002621 0.051199 0.310 161theta: 162 Min. 1st Qu. Median Mean 3rd Qu. Max. 163id 0.6276977 0.86369441 0.86369441 0.85962816 0.8636944 0.8636944 164group 0.0541083 0.06164602 0.06742969 0.07072604 0.0758478 0.2904928 165 166Residuals: 167 Min. 1st Qu. Median Mean 3rd Qu. Max. 168-0.106934 -0.024858 -0.002859 -0.000148 0.019879 0.181828 169 170Coefficients: 171 Estimate Std. Error z-value Pr(>|z|) 172(Intercept) 2.0321973 0.1577280 12.8842 < 2.2e-16 *** 173log(pc) 0.2853607 0.0228505 12.4881 < 2.2e-16 *** 174log(emp) 0.7218179 0.0286988 25.1515 < 2.2e-16 *** 175log(hwy) 0.0767983 0.0237052 3.2397 0.001196 ** 176log(water) 0.0757904 0.0164164 4.6168 3.898e-06 *** 177log(util) -0.0899237 0.0182257 -4.9339 8.061e-07 *** 178unemp -0.0070859 0.0010199 -6.9474 3.721e-12 *** 179--- 180Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 181 182Total Sum of Squares: 33.485 183Residual Sum of Squares: 1.0325 184R-Squared: 0.96917 185Adj. R-Squared: 0.96891 186Chisq: 16047.9 on 6 DF, p-value: < 2.22e-16 187> summary(plm(form, data = pProduc_unbal, model = "random", effect = "nested", random.method = "walhus")) 188Nested effects Random Effect Model 189 (Wallace-Hussain's transformation) 190 191Call: 192plm(formula = form, data = pProduc_unbal, effect = "nested", 193 model = "random", random.method = "walhus") 194 195Unbalanced Panel: n = 46, T = 2-17, N = 715 196 197Effects: 198 var std.dev share 199idiosyncratic 0.001507 0.038816 0.169 200individual 0.004534 0.067336 0.508 201group 0.002881 0.053677 0.323 202theta: 203 Min. 1st Qu. Median Mean 3rd Qu. Max. 204id 0.62253879 0.8615362 0.86153617 0.85741272 0.86153617 0.8615362 205group 0.05672819 0.0643782 0.07021705 0.07356107 0.07867239 0.2969478 206 207Residuals: 208 Min. 1st Qu. Median Mean 3rd Qu. Max. 209-0.107045 -0.024879 -0.002859 -0.000151 0.019814 0.181937 210 211Coefficients: 212 Estimate Std. Error z-value Pr(>|z|) 213(Intercept) 2.0281839 0.1571527 12.9058 < 2.2e-16 *** 214log(pc) 0.2858283 0.0228012 12.5357 < 2.2e-16 *** 215log(emp) 0.7206212 0.0286704 25.1347 < 2.2e-16 *** 216log(hwy) 0.0770974 0.0236227 3.2637 0.0011 ** 217log(water) 0.0758658 0.0164032 4.6251 3.745e-06 *** 218log(util) -0.0894263 0.0182002 -4.9135 8.947e-07 *** 219unemp -0.0071093 0.0010199 -6.9702 3.164e-12 *** 220--- 221Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 222 223Total Sum of Squares: 33.762 224Residual Sum of Squares: 1.0348 225R-Squared: 0.96936 226Adj. R-Squared: 0.9691 227Chisq: 16143.7 on 6 DF, p-value: < 2.22e-16 228> summary(plm(form, data = pProduc_unbal, model = "random", effect = "nested", random.method = "amemiya")) 229Nested effects Random Effect Model 230 (Amemiya's transformation) 231 232Call: 233plm(formula = form, data = pProduc_unbal, effect = "nested", 234 model = "random", random.method = "amemiya") 235 236Unbalanced Panel: n = 46, T = 2-17, N = 715 237 238Effects: 239 var std.dev share 240idiosyncratic 0.001419 0.037675 0.139 241individual 0.006713 0.081933 0.659 242group 0.002056 0.045342 0.202 243theta: 244 Min. 1st Qu. Median Mean 3rd Qu. Max. 245id 0.69078564 0.88916192 0.88916192 0.88579289 0.88916192 0.8891619 246group 0.03058569 0.03628007 0.04091226 0.04361291 0.04806296 0.2186737 247 248Residuals: 249 Min. 1st Qu. Median Mean 3rd Qu. Max. 250-0.105106 -0.024277 -0.002881 -0.000097 0.019620 0.179820 251 252Coefficients: 253 Estimate Std. Error z-value Pr(>|z|) 254(Intercept) 2.0757687 0.1665550 12.4630 < 2.2e-16 *** 255log(pc) 0.2794706 0.0236526 11.8157 < 2.2e-16 *** 256log(emp) 0.7358457 0.0291822 25.2156 < 2.2e-16 *** 257log(hwy) 0.0739908 0.0248387 2.9789 0.002893 ** 258log(water) 0.0749155 0.0165758 4.5196 6.196e-06 *** 259log(util) -0.0956244 0.0185165 -5.1643 2.413e-07 *** 260unemp -0.0068164 0.0010224 -6.6674 2.604e-11 *** 261--- 262Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 263 264Total Sum of Squares: 28.79 265Residual Sum of Squares: 1.0065 266R-Squared: 0.96504 267Adj. R-Squared: 0.96475 268Chisq: 14790.8 on 6 DF, p-value: < 2.22e-16 269> 270> proc.time() 271 user system elapsed 272 1.23 0.26 1.39 273