我可以直接使用coeftest
来获取Fama-MacBeth标准错误:
I can use coeftest
directly just fine to get the Fama-MacBeth standard errors:
# Regular "Fama-MacBeth" standard errors
coeftest(fpmg)
# t test of coefficients:
#
# Estimate Std. Error t value Pr(>|t|)
# (Intercept) 0.032470 0.071671 0.453 0.6505
# x 0.969212 0.034782 27.866 <2e-16 ***
# ---
# Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
但是,尝试使用Newey-West估计量会失败:
However, trying to use the Newey-West estimators fails:
# Newey-West standard-errors
coeftest(fpmg, vcov = NeweyWest(fpmg, lag=3))
# Error in UseMethod("estfun") :
# no applicable method for 'estfun' applied to an object of class "c('pmg', 'panelmodel')"
这似乎是plm
包中的一个缺点.您知道使这项工作有效的方法吗?我应该为pmg
对象编写自己的estfun
吗?从头开始编写Newey-West估算器?还是应该完全绕过plm
包?
This seems like a shortcoming in the plm
package. Do you know a way to make this work? Should I code my own estfun
for pmg
objects? Code a Newey-West estimator from scratch? Or should I bypass the plm
package altogether?
推荐答案
当前使用plm
包是不可能的.
Currently this is impossible with plm
package.
但是,您可以自己创建它们.
However, you could just create them yourself.
假设您有
fpmg <- pmg(y~x, test, index = c('year', 'firmid'))
fpmg.coefficients <- fpmg$coefficients
# (Intercept) x
# 0.03127797 1.03558610
coeftest(fpmg)
# Estimate Std. Error t value Pr(>|t|)
# (Intercept) 0.031278 0.023356 1.3392 0.1806
# x 1.035586 0.033342 31.0599 <2e-16 ***
然后,您可以像下面这样简单地自己创建估算器:
Then you can simply create the estimators yourself like in:
the.years <- unique(test$year)
a.formula <- y ~ x
first.step <- lapply(the.years, function(a.year) {
temp.data <- test[test$year == a.year, ]
an.lm <- lm(a.formula, data = temp.data)
the.coefficients <- an.lm$coef
the.results <- as.data.frame(cbind(a.year, t(the.coefficients)))
the.results
})
first.step.df <- do.call('rbind', first.step)
second.step.coefficients <- apply(first.step.df[, -1], 2, mean)
second.step.coefficients
# (Intercept) x
# 0.03127797 1.03558610
identical(fpmg.coefficients, second.step.coefficients)
# [1] TRUE
为防万一,请检查两个方向是否相同.
最后,您可以通过以下方法获得带有均值的滞后调整t统计量的Newey-West(1987):
Check that they are identical both ways just in case.
Last, you can obtain the Newey-West (1987) with one lag adjusted t-statistics for the means with:
library(sandwich)
second.step.NW.sigma.sq <- apply(first.step.df[, -1], 2,
function(x) sqrt(NeweyWest(lm(x ~ 1),
lag = 1, prewhite = FALSE)['(Intercept)',
'(Intercept)']))
second.step.NW.sigma.sq
# (Intercept) x
# 0.02438398 0.02859447
t.statistics.NW.lag.1 <- second.step.coefficients / second.step.NW.sigma.sq
t.statistics.NW.lag.1
# (Intercept) x
# 1.282726 36.216301
更新
在我的回答中,我只包括了t统计量的手动"计算,因为它的计算速度更快.
更为通用的解决方案是使用lmtest
包的coeftest()
函数计算Newey-West校正的t统计量及其p值.
Update
In my answer, I had only included the "manual" calculation of the t-statistic, because it is computationally faster.
A more generic solution is to calculcate the Newey-West corrected t-statistics and their p-values with the coeftest()
function of the lmtest
package.
coeftest(lm(first.step.df$'(Intercept)' ~ 1), vcov = NeweyWest(lm(first.step.df$'(Intercept)' ~ 1), lag = 1, prewhite = FALSE))
# t test of coefficients:
# Estimate Std. Error t value Pr(>|t|)
# (Intercept) 0.031278 0.024384 1.2827 0.2316
coeftest(lm(first.step.df$x ~ 1), vcov = NeweyWest(lm(first.step.df$x ~ 1), lag = 1, prewhite = FALSE))
# t test of coefficients:
# Estimate Std. Error t value Pr(>|t|)
# (Intercept) 1.035586 0.028594 36.216 4.619e-11 ***
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