Sabit Etkiler Tahmini
library(plm)
library(wooldridge)data("cement")Panel verileri incelemek için lm() komutu yerine plm paketini kullanacağız.Önce plm paketini yükledik, wooldridge paketinden seçtiğimiz datamızı da tanımladık.
head(cement)## year month prccem ipcem prcpet rresc rnonc ip rdefs milemp gprc
## 1 1964 1 NA 0.47425 13.4 115401 142180 44.6 NA 2687 NA
## 2 1964 2 NA 0.53123 13.4 115118 144190 45.9 1.6634 2696 NA
## 3 1964 3 NA 0.64255 13.4 123663 145577 46.2 1.6626 2693 NA
## 4 1964 4 NA 0.82585 13.4 116178 150793 46.9 1.6626 2694 NA
## 5 1964 5 NA 1.02720 13.4 111034 149259 47.1 1.6610 2690 NA
## 6 1964 6 NA 1.09860 13.4 109138 154347 47.9 1.6601 2687 NA
## gcem gprcpet gres gnon gip gdefs
## 1 NA NA NA NA NA NA
## 2 0.11346044 0 -0.00245533 0.014038014 0.028731326 NA
## 3 0.19024961 0 0.07160243 0.009573282 0.006514664 -0.0004810665
## 4 0.25096855 0 -0.06243663 0.035202879 0.015037893 0.0000000000
## 5 0.21817875 0 -0.04528704 -0.010224983 0.004255261 -0.0009628278
## 6 0.06720003 0 -0.01722332 0.033520263 0.016842568 -0.0005420073
## gmilemp jan feb mar apr may jun jul aug sep oct nov dec
## 1 NA 1 0 0 0 0 0 0 0 0 0 0 0
## 2 0.0033438634 0 1 0 0 0 0 0 0 0 0 0 0
## 3 -0.0011133793 0 0 1 0 0 0 0 0 0 0 0 0
## 4 0.0003712641 0 0 0 1 0 0 0 0 0 0 0 0
## 5 -0.0014858844 0 0 0 0 1 0 0 0 0 0 0 0
## 6 -0.0011158640 0 0 0 0 0 1 0 0 0 0 0 0tail(cement)## year month prccem ipcem prcpet rresc rnonc ip rdefs milemp
## 307 1989 7 1012 1.1555 59.9 166950 176490 106.0 1.7133 2116
## 308 1989 8 1009 1.2847 53.5 164461 181205 110.5 1.7145 NA
## 309 1989 9 1016 1.1951 56.2 162946 182793 110.9 NA NA
## 310 1989 10 1017 1.2739 57.6 163195 178832 109.2 NA NA
## 311 1989 11 1016 NA 57.6 163079 182570 107.7 NA NA
## 312 1989 12 1017 NA 59.8 163180 182283 106.8 NA NA
## gprc gcem gprcpet gres gnon
## 307 0.0000000000 -0.05169124 0.02707445 0.0005212500 -0.010556582
## 308 -0.0029688296 0.10599206 -0.11299488 -0.0150209060 0.026364770
## 309 0.0069136079 -0.07229543 0.04923512 -0.0092546027 0.008725378
## 310 0.0009837679 0.06385326 0.02460577 0.0015269472 -0.021907547
## 311 -0.0009837679 NA 0.00000000 -0.0007110588 0.020686844
## 312 0.0009837679 NA 0.03748311 0.0006191400 -0.001573237
## gip gdefs gmilemp jan feb mar apr may jun jul aug sep
## 307 -0.037041273 0.0000000000 0.0004727015 0 0 0 0 0 0 1 0 0
## 308 0.041576426 0.0007001347 NA 0 0 0 0 0 0 0 1 0
## 309 0.003613387 NA NA 0 0 0 0 0 0 0 0 1
## 310 -0.015447873 NA NA 0 0 0 0 0 0 0 0 0
## 311 -0.013831479 NA NA 0 0 0 0 0 0 0 0 0
## 312 -0.008391601 NA NA 0 0 0 0 0 0 0 0 0
## oct nov dec
## 307 0 0 0
## 308 0 0 0
## 309 0 0 0
## 310 1 0 0
## 311 0 1 0
## 312 0 0 1head(cement, 10)## year month prccem ipcem prcpet rresc rnonc ip rdefs milemp gprc
## 1 1964 1 NA 0.47425 13.4 115401 142180 44.6 NA 2687 NA
## 2 1964 2 NA 0.53123 13.4 115118 144190 45.9 1.6634 2696 NA
## 3 1964 3 NA 0.64255 13.4 123663 145577 46.2 1.6626 2693 NA
## 4 1964 4 NA 0.82585 13.4 116178 150793 46.9 1.6626 2694 NA
## 5 1964 5 NA 1.02720 13.4 111034 149259 47.1 1.6610 2690 NA
## 6 1964 6 NA 1.09860 13.4 109138 154347 47.9 1.6601 2687 NA
## 7 1964 7 NA 1.10710 13.4 110492 155871 45.1 1.6601 2696 NA
## 8 1964 8 NA 1.14340 13.4 111540 154130 46.8 1.6582 2693 NA
## 9 1964 9 NA 1.07720 13.4 108353 155359 48.7 1.6567 2690 NA
## 10 1964 10 NA 1.13320 13.4 108173 155020 48.3 1.6567 2680 NA
## gcem gprcpet gres gnon gip gdefs
## 1 NA NA NA NA NA NA
## 2 0.113460436 0 -0.002455330 0.014038014 0.028731326 NA
## 3 0.190249607 0 0.071602434 0.009573282 0.006514664 -0.0004810665
## 4 0.250968546 0 -0.062436625 0.035202879 0.015037893 0.0000000000
## 5 0.218178749 0 -0.045287035 -0.010224983 0.004255261 -0.0009628278
## 6 0.067200035 0 -0.017223325 0.033520263 0.016842568 -0.0005420073
## 7 0.007707324 0 0.012329984 0.009825428 -0.060233325 0.0000000000
## 8 0.032262247 0 0.009440151 -0.011232340 0.037000973 -0.0011451393
## 9 -0.059641108 0 -0.028988855 0.007942165 0.039795861 -0.0009050111
## 10 0.050680399 0 -0.001662618 -0.002184427 -0.008247501 0.0000000000
## gmilemp jan feb mar apr may jun jul aug sep oct nov dec
## 1 NA 1 0 0 0 0 0 0 0 0 0 0 0
## 2 0.0033438634 0 1 0 0 0 0 0 0 0 0 0 0
## 3 -0.0011133793 0 0 1 0 0 0 0 0 0 0 0 0
## 4 0.0003712641 0 0 0 1 0 0 0 0 0 0 0 0
## 5 -0.0014858844 0 0 0 0 1 0 0 0 0 0 0 0
## 6 -0.0011158640 0 0 0 0 0 1 0 0 0 0 0 0
## 7 0.0033438634 0 0 0 0 0 0 1 0 0 0 0 0
## 8 -0.0011133793 0 0 0 0 0 0 0 1 0 0 0 0
## 9 -0.0011146202 0 0 0 0 0 0 0 0 1 0 0 0
## 10 -0.0037243990 0 0 0 0 0 0 0 0 0 1 0 0head() komutu ile cement datasının ilk 6 gözlemine, tail() komutu ile son 6 gözlemine ulaştık. head(cement, 10) komutu ile cement datasının ilk 10 gözlemine ulaştık.
Veri Setini Panel Veri Setine Çevirme
cementindex <- pdata.frame(cement, index = c("year" , "month" ))pdim(cementindex)## Balanced Panel: n = 26, T = 12, N = 312“plm” Regresyonu ve Özeti
withinmodel <- plm(ipcem ~ prcpet + rresc +factor(year), data = cementindex , model = "within" )summary(withinmodel)## Oneway (individual) effect Within Model
##
## Call:
## plm(formula = ipcem ~ prcpet + rresc + factor(year), data = cementindex,
## model = "within")
##
## Unbalanced Panel: n = 26, T = 10-12, N = 310
##
## Residuals:
## Min. 1st Qu. Median 3rd Qu. Max.
## -0.630808 -0.220949 0.068652 0.208582 0.339675
##
## Coefficients:
## Estimate Std. Error t-value Pr(>|t|)
## prcpet 6.9231e-04 4.0145e-03 0.1725 0.8632
## rresc 2.0774e-06 2.1843e-06 0.9510 0.3424
##
## Total Sum of Squares: 18.203
## Residual Sum of Squares: 18.145
## R-Squared: 0.0032005
## Adj. R-Squared: -0.092238
## F-statistic: 0.452726 on 2 and 282 DF, p-value: 0.63635İnterceptli lm Regresyonu ve Özeti
yenimodel <- lm(rresc ~ rnonc + ip +factor(year) , data = cementindex )summary(yenimodel)##
## Call:
## lm(formula = rresc ~ rnonc + ip + factor(year), data = cementindex)
##
## Residuals:
## Min 1Q Median 3Q Max
## -19549.1 -3336.6 -125.3 3091.5 24263.6
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 6.823e+04 1.520e+04 4.489 1.04e-05 ***
## rnonc 2.514e-02 9.362e-02 0.269 0.788445
## ip 8.553e+02 1.991e+02 4.296 2.39e-05 ***
## factor(year)1965 -9.326e+03 3.232e+03 -2.885 0.004208 **
## factor(year)1966 -2.257e+04 3.955e+03 -5.709 2.87e-08 ***
## factor(year)1967 -2.815e+04 4.045e+03 -6.961 2.34e-11 ***
## factor(year)1968 -1.876e+04 4.481e+03 -4.187 3.78e-05 ***
## factor(year)1969 -1.813e+04 4.739e+03 -3.825 0.000161 ***
## factor(year)1970 -2.264e+04 4.239e+03 -5.341 1.89e-07 ***
## factor(year)1971 3.849e+03 4.254e+03 0.905 0.366313
## factor(year)1972 2.128e+04 5.045e+03 4.219 3.31e-05 ***
## factor(year)1973 1.401e+04 6.030e+03 2.324 0.020846 *
## factor(year)1974 -1.762e+04 5.726e+03 -3.078 0.002291 **
## factor(year)1975 -3.084e+04 4.677e+03 -6.594 2.08e-10 ***
## factor(year)1976 -1.171e+04 5.709e+03 -2.051 0.041138 *
## factor(year)1977 8.611e+03 6.891e+03 1.250 0.212449
## factor(year)1978 1.183e+04 7.480e+03 1.581 0.114929
## factor(year)1979 -7.987e+02 8.001e+03 -0.100 0.920551
## factor(year)1980 -3.030e+04 7.703e+03 -3.933 0.000105 ***
## factor(year)1981 -4.263e+04 7.997e+03 -5.331 1.99e-07 ***
## factor(year)1982 -5.758e+04 7.325e+03 -7.860 8.01e-14 ***
## factor(year)1983 -2.376e+04 8.015e+03 -2.964 0.003292 **
## factor(year)1984 -7.551e+03 9.343e+03 -0.808 0.419674
## factor(year)1985 -7.702e+03 9.600e+03 -0.802 0.423063
## factor(year)1986 1.363e+04 9.759e+03 1.397 0.163485
## factor(year)1987 1.299e+04 1.064e+04 1.221 0.223067
## factor(year)1988 1.174e+04 1.165e+04 1.008 0.314383
## factor(year)1989 2.306e+03 1.216e+04 0.190 0.849678
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 6827 on 284 degrees of freedom
## Multiple R-squared: 0.9431, Adjusted R-squared: 0.9377
## F-statistic: 174.3 on 27 and 284 DF, p-value: < 2.2e-16İnterceptsiz lm Regresonu ve Özeti
ikincimodel <- lm(rresc ~ rnonc + ip +factor(year)-1 , data = cementindex )summary(ikincimodel)##
## Call:
## lm(formula = rresc ~ rnonc + ip + factor(year) - 1, data = cementindex)
##
## Residuals:
## Min 1Q Median 3Q Max
## -19549.1 -3336.6 -125.3 3091.5 24263.6
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## rnonc 2.514e-02 9.362e-02 0.269 0.788445
## ip 8.553e+02 1.991e+02 4.296 2.39e-05 ***
## factor(year)1964 6.823e+04 1.520e+04 4.489 1.04e-05 ***
## factor(year)1965 5.890e+04 1.682e+04 3.502 0.000536 ***
## factor(year)1966 4.565e+04 1.798e+04 2.539 0.011650 *
## factor(year)1967 4.007e+04 1.809e+04 2.215 0.027550 *
## factor(year)1968 4.946e+04 1.862e+04 2.656 0.008350 **
## factor(year)1969 5.010e+04 1.883e+04 2.660 0.008261 **
## factor(year)1970 4.558e+04 1.815e+04 2.511 0.012580 *
## factor(year)1971 7.207e+04 1.804e+04 3.995 8.25e-05 ***
## factor(year)1972 8.951e+04 1.854e+04 4.827 2.26e-06 ***
## factor(year)1973 8.224e+04 1.962e+04 4.192 3.70e-05 ***
## factor(year)1974 5.060e+04 1.891e+04 2.676 0.007883 **
## factor(year)1975 3.739e+04 1.747e+04 2.140 0.033228 *
## factor(year)1976 5.651e+04 1.806e+04 3.128 0.001940 **
## factor(year)1977 7.684e+04 1.837e+04 4.182 3.85e-05 ***
## factor(year)1978 8.005e+04 1.961e+04 4.081 5.83e-05 ***
## factor(year)1979 6.743e+04 2.041e+04 3.304 0.001075 **
## factor(year)1980 3.793e+04 2.032e+04 1.867 0.062989 .
## factor(year)1981 2.559e+04 2.044e+04 1.252 0.211637
## factor(year)1982 1.065e+04 1.970e+04 0.541 0.589199
## factor(year)1983 4.447e+04 1.955e+04 2.275 0.023676 *
## factor(year)1984 6.067e+04 2.121e+04 2.860 0.004545 **
## factor(year)1985 6.052e+04 2.218e+04 2.729 0.006750 **
## factor(year)1986 8.186e+04 2.222e+04 3.684 0.000275 ***
## factor(year)1987 8.121e+04 2.282e+04 3.560 0.000435 ***
## factor(year)1988 7.997e+04 2.365e+04 3.381 0.000822 ***
## factor(year)1989 7.053e+04 2.409e+04 2.928 0.003688 **
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 6827 on 284 degrees of freedom
## Multiple R-squared: 0.9975, Adjusted R-squared: 0.9973
## F-statistic: 4111 on 28 and 284 DF, p-value: < 2.2e-16STARGAZER
Stargazer paketi sayesinde elde ettiğimiz tüm regresyonları birleştirdik.
library(stargazer)##
## Please cite as:## Hlavac, Marek (2022). stargazer: Well-Formatted Regression and Summary Statistics Tables.## R package version 5.2.3. https://CRAN.R-project.org/package=stargazerstargazer(list(withinmodel, yenimodel, ikincimodel) , type = "text")##
## ========================================================================================================
## Dependent variable:
## -------------------------------------------------------------------------
## ipcem rresc
## panel OLS
## linear
## (1) (2) (3)
## --------------------------------------------------------------------------------------------------------
## prcpet 0.001
## (0.004)
##
## rresc 0.00000
## (0.00000)
##
## rnonc 0.025 0.025
## (0.094) (0.094)
##
## ip 855.313*** 855.313***
## (199.108) (199.108)
##
## factor(year)1964 68,225.170***
## (15,196.690)
##
## factor(year)1965 -9,325.962*** 58,899.210***
## (3,232.072) (16,817.880)
##
## factor(year)1966 -22,574.670*** 45,650.510**
## (3,954.568) (17,979.490)
##
## factor(year)1967 -28,154.110*** 40,071.070**
## (4,044.534) (18,090.370)
##
## factor(year)1968 -18,762.780*** 49,462.390***
## (4,481.396) (18,621.520)
##
## factor(year)1969 -18,129.190*** 50,095.990***
## (4,739.414) (18,833.830)
##
## factor(year)1970 -22,644.090*** 45,581.080**
## (4,239.454) (18,149.650)
##
## factor(year)1971 3,848.973 72,074.150***
## (4,253.725) (18,041.610)
##
## factor(year)1972 21,282.910*** 89,508.090***
## (5,044.774) (18,541.360)
##
## factor(year)1973 14,010.900** 82,236.070***
## (6,029.502) (19,617.250)
##
## factor(year)1974 -17,621.340*** 50,603.830***
## (5,725.699) (18,910.050)
##
## factor(year)1975 -30,839.240*** 37,385.940**
## (4,676.848) (17,472.210)
##
## factor(year)1976 -11,712.400** 56,512.780***
## (5,709.272) (18,064.490)
##
## factor(year)1977 8,611.452 76,836.630***
## (6,890.983) (18,372.450)
##
## factor(year)1978 11,827.560 80,052.740***
## (7,479.784) (19,614.830)
##
## factor(year)1979 -798.709 67,426.470***
## (8,000.819) (20,406.440)
##
## factor(year)1980 -30,297.230*** 37,927.950*
## (7,702.507) (20,319.360)
##
## factor(year)1981 -42,632.970*** 25,592.200
## (7,997.119) (20,442.740)
##
## factor(year)1982 -57,577.190*** 10,647.990
## (7,325.202) (19,696.200)
##
## factor(year)1983 -23,759.390*** 44,465.790**
## (8,015.445) (19,548.840)
##
## factor(year)1984 -7,550.737 60,674.440***
## (9,343.097) (21,211.860)
##
## factor(year)1985 -7,702.213 60,522.960***
## (9,600.421) (22,177.920)
##
## factor(year)1986 13,633.260 81,858.440***
## (9,758.511) (22,218.420)
##
## factor(year)1987 12,988.740 81,213.910***
## (10,637.060) (22,815.180)
##
## factor(year)1988 11,742.830 79,968.000***
## (11,651.330) (23,648.830)
##
## factor(year)1989 2,306.493 70,531.670***
## (12,158.500) (24,089.180)
##
## Constant 68,225.170***
## (15,196.690)
##
## --------------------------------------------------------------------------------------------------------
## Observations 310 312 312
## R2 0.003 0.943 0.998
## Adjusted R2 -0.092 0.938 0.997
## Residual Std. Error (df = 284) 6,827.354 6,827.354
## F Statistic 0.453 (df = 2; 282) 174.310*** (df = 27; 284) 4,111.449*** (df = 28; 284)
## ========================================================================================================
## Note: *p<0.1; **p<0.05; ***p<0.01