library(plm)
## Warning: package 'plm' was built under R version 3.2.5
## Loading required package: Formula
mydata <- read.csv("C:\\Users\\t420\\Desktop\\R.csv")
attach(mydata)
Y <- cbind(lnrealgdp)
X <- cbind(expgdp, gospegdp,debtgdp,bmoneygdp,remigdp,conspendgdp, lnfdinflow,ginigini )
#Set Data as Panel Data
pdata <- plm.data(mydata, index=c("country","year"))
#Descriptive Statistics
summary(Y)
## lnrealgdp
## Min. :5.637
## 1st Qu.:6.525
## Median :7.155
## Mean :7.200
## 3rd Qu.:7.772
## Max. :9.260
summary(X)
## expgdp gospegdp debtgdp bmoneygdp
## Min. : -3.30 Min. : 5.203 Min. : -0.188 Min. : 1.95
## 1st Qu.: 18.23 1st Qu.:13.275 1st Qu.: 37.153 1st Qu.: 30.38
## Median : 32.20 Median :16.221 Median : 51.603 Median : 45.25
## Mean : 38.19 Mean :16.580 Mean : 56.017 Mean : 52.78
## 3rd Qu.: 52.25 3rd Qu.:19.525 3rd Qu.: 70.025 3rd Qu.: 63.55
## Max. :121.00 Max. :31.800 Max. :211.000 Max. :140.00
## remigdp conspendgdp lnfdinflow ginigini
## Min. :-1.000e+00 Min. : 2.16 Min. :13.81 Min. : 718.2
## 1st Qu.: 1.000e+00 1st Qu.: 52.55 1st Qu.:18.88 1st Qu.:1075.8
## Median : 3.000e+00 Median : 71.40 Median :20.65 Median :1265.6
## Mean : 1.003e+09 Mean : 63.63 Mean :20.23 Mean :1374.3
## 3rd Qu.: 8.000e+00 3rd Qu.: 77.10 3rd Qu.:22.00 3rd Qu.:1622.1
## Max. : 2.870e+10 Max. :138.50 Max. :24.49 Max. :2510.0
#Pooled Estimator
pooling <- plm(Y~X, data=pdata, model="pooling")
summary(pooling)
## Oneway (individual) effect Pooling Model
##
## Call:
## plm(formula = Y ~ X, data = pdata, model = "pooling")
##
## Balanced Panel: n=13, T=24, N=312
##
## Residuals :
## Min. 1st Qu. Median 3rd Qu. Max.
## -1.1500 -0.3410 0.0493 0.2930 1.0500
##
## Coefficients :
## Estimate Std. Error t-value Pr(>|t|)
## (Intercept) 4.3146e+00 4.0081e-01 10.7646 < 2.2e-16 ***
## Xexpgdp 1.0107e-02 1.6660e-03 6.0667 3.888e-09 ***
## Xgospegdp 1.6906e-02 5.5032e-03 3.0720 0.0023193 **
## Xdebtgdp 3.6908e-03 1.0600e-03 3.4818 0.0005714 ***
## Xbmoneygdp 3.9606e-03 1.3046e-03 3.0359 0.0026062 **
## Xremigdp 6.2750e-12 7.4009e-12 0.8479 0.3971796
## Xconspendgdp -6.1832e-03 1.4786e-03 -4.1819 3.789e-05 ***
## Xlnfdinflow 7.4206e-02 1.6249e-02 4.5667 7.216e-06 ***
## Xginigini 5.0187e-04 1.0123e-04 4.9577 1.189e-06 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Total Sum of Squares: 222.72
## Residual Sum of Squares: 63.837
## R-Squared: 0.71338
## Adj. R-Squared: 0.6928
## F-statistic: 94.2678 on 8 and 303 DF, p-value: < 2.22e-16
#Between Estimator
between <- plm(Y~X, data=pdata, model="between")
summary(between)
## Oneway (individual) effect Between Model
##
## Call:
## plm(formula = Y ~ X, data = pdata, model = "between")
##
## Balanced Panel: n=13, T=24, N=312
##
## Residuals :
## Min. 1st Qu. Median 3rd Qu. Max.
## -0.5360 -0.3290 0.0219 0.1530 0.5670
##
## Coefficients :
## Estimate Std. Error t-value Pr(>|t|)
## (Intercept) 3.9081e+00 3.9928e+00 0.9788 0.3831
## Xexpgdp 2.3814e-02 2.1080e-02 1.1297 0.3218
## Xgospegdp -1.8953e-02 6.0551e-02 -0.3130 0.7699
## Xdebtgdp 2.0959e-02 1.5655e-02 1.3388 0.2516
## Xbmoneygdp 3.4642e-03 1.5139e-02 0.2288 0.8302
## Xremigdp -2.1675e-13 9.0874e-11 -0.0024 0.9982
## Xconspendgdp -2.0061e-03 1.4211e-02 -0.1412 0.8946
## Xlnfdinflow 4.8326e-02 1.5793e-01 0.3060 0.7749
## Xginigini 3.5686e-04 1.6851e-03 0.2118 0.8426
##
## Total Sum of Squares: 8.2835
## Residual Sum of Squares: 1.4876
## R-Squared: 0.82041
## Adj. R-Squared: 0.25244
## F-statistic: 2.2842 on 8 and 4 DF, p-value: 0.22153
#First Difference Estimator
firstdiff <- plm(Y~X, data=pdata, model="fd")
summary(firstdiff)
## Oneway (individual) effect First-Difference Model
##
## Call:
## plm(formula = Y ~ X, data = pdata, model = "fd")
##
## Balanced Panel: n=13, T=24, N=312
##
## Residuals :
## Min. 1st Qu. Median 3rd Qu. Max.
## -0.19800 -0.01400 0.00307 0.01690 0.12100
##
## Coefficients :
## Estimate Std. Error t-value Pr(>|t|)
## (intercept) 3.5935e-02 1.9309e-03 18.6105 < 2.2e-16 ***
## Xexpgdp -2.5085e-04 3.5197e-04 -0.7127 0.4766037
## Xgospegdp -7.2190e-04 1.1890e-03 -0.6072 0.5442183
## Xdebtgdp -1.0793e-03 2.8096e-04 -3.8413 0.0001503 ***
## Xbmoneygdp 2.3501e-04 3.2536e-04 0.7223 0.4706775
## Xremigdp -1.1426e-12 4.2525e-12 -0.2687 0.7883639
## Xconspendgdp -8.7997e-05 4.9966e-04 -0.1761 0.8603274
## Xlnfdinflow 7.6214e-03 2.3087e-03 3.3012 0.0010832 **
## Xginigini 3.4632e-05 2.4073e-05 1.4386 0.1513291
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Total Sum of Squares: 0.29026
## Residual Sum of Squares: 0.25982
## R-Squared: 0.10487
## Adj. R-Squared: 0.10171
## F-statistic: 4.24685 on 8 and 290 DF, p-value: 7.7155e-05
#Fixed Effects or Within Estimator
fixed <- plm(Y~X, data=pdata, model="within")
summary(fixed)
## Oneway (individual) effect Within Model
##
## Call:
## plm(formula = Y ~ X, data = pdata, model = "within")
##
## Balanced Panel: n=13, T=24, N=312
##
## Residuals :
## Min. 1st Qu. Median 3rd Qu. Max.
## -0.304000 -0.086100 -0.000298 0.084000 0.422000
##
## Coefficients :
## Estimate Std. Error t-value Pr(>|t|)
## Xexpgdp 3.6486e-05 9.4116e-04 0.0388 0.969103
## Xgospegdp -2.3746e-03 2.9443e-03 -0.8065 0.420611
## Xdebtgdp -1.9105e-03 3.8767e-04 -4.9280 1.397e-06 ***
## Xbmoneygdp 8.2976e-03 7.2089e-04 11.5101 < 2.2e-16 ***
## Xremigdp 9.4759e-12 3.3653e-12 2.8158 0.005198 **
## Xconspendgdp -6.7660e-03 1.1002e-03 -6.1495 2.560e-09 ***
## Xlnfdinflow 9.0888e-02 6.6726e-03 13.6211 < 2.2e-16 ***
## Xginigini -4.0698e-06 4.6070e-05 -0.0883 0.929667
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Total Sum of Squares: 23.921
## Residual Sum of Squares: 5.0367
## R-Squared: 0.78944
## Adj. R-Squared: 0.7363
## F-statistic: 136.379 on 8 and 291 DF, p-value: < 2.22e-16
#Random Effects or Between Estimator
random <- plm(Y~X, data=pdata, model="between")
summary(random)
## Oneway (individual) effect Between Model
##
## Call:
## plm(formula = Y ~ X, data = pdata, model = "between")
##
## Balanced Panel: n=13, T=24, N=312
##
## Residuals :
## Min. 1st Qu. Median 3rd Qu. Max.
## -0.5360 -0.3290 0.0219 0.1530 0.5670
##
## Coefficients :
## Estimate Std. Error t-value Pr(>|t|)
## (Intercept) 3.9081e+00 3.9928e+00 0.9788 0.3831
## Xexpgdp 2.3814e-02 2.1080e-02 1.1297 0.3218
## Xgospegdp -1.8953e-02 6.0551e-02 -0.3130 0.7699
## Xdebtgdp 2.0959e-02 1.5655e-02 1.3388 0.2516
## Xbmoneygdp 3.4642e-03 1.5139e-02 0.2288 0.8302
## Xremigdp -2.1675e-13 9.0874e-11 -0.0024 0.9982
## Xconspendgdp -2.0061e-03 1.4211e-02 -0.1412 0.8946
## Xlnfdinflow 4.8326e-02 1.5793e-01 0.3060 0.7749
## Xginigini 3.5686e-04 1.6851e-03 0.2118 0.8426
##
## Total Sum of Squares: 8.2835
## Residual Sum of Squares: 1.4876
## R-Squared: 0.82041
## Adj. R-Squared: 0.25244
## F-statistic: 2.2842 on 8 and 4 DF, p-value: 0.22153
#LM test for random effects VS Pooling
plmtest(pooling)
##
## Lagrange Multiplier Test - (Honda)
##
## data: Y ~ X
## normal = 45.798, p-value < 2.2e-16
## alternative hypothesis: significant effects
#LM test for fixed effets VS pooling
pFtest(fixed,pooling)
##
## F test for individual effects
##
## data: Y ~ X
## F = 283.1, df1 = 12, df2 = 291, p-value < 2.2e-16
## alternative hypothesis: significant effects
pbgtest(fixed)
##
## Breusch-Godfrey/Wooldridge test for serial correlation in panel
## models
##
## data: Y ~ X
## chisq = 168.71, df = 24, p-value < 2.2e-16
## alternative hypothesis: serial correlation in idiosyncratic errors