[R] plm random effect: the estimated variance of the individual effect is negative
ognibenematteo at hotmail.it
Fri Jan 4 20:08:09 CET 2013
but I already tried with the others "random.method" and it doesn't work anyway.
Do you think is it possible change the if statement in the plm formula, to set the value to 0 if sigma<0 ?
Because if I insert a dummy variabile in the formula R gives me this error:
> Error in if (sigma2$id < 0) stop(paste("the estimated variance of the", :
> missing value where TRUE/FALSE needed
> Subject: Re: [R] plm random effect: the estimated variance of the individual effect is negative
> Date: Fri, 4 Jan 2013 16:26:01 +0100
> From: Giovanni_Millo at Generali.com
> To: ognibenematteo at hotmail.it
> CC: r-help at r-project.org
> I fully agree with David: please read the posting guide.
> Anyway, the error message says it all: "the estimated variance of the
> individual effect is negative". See e.g. the "basic panel" chapter (10
> or 11) in Wooldridge's "Econometric Analysis of XS and Panel Data" to
> understand why this may happen.
> Stata's behaviour is (as far as I remember) to transparently substitute
> it with 0; 'plm's is to let the estimation fail, issuing a warning. You
> can try a different 'random.method' which may, or might not, solve the
> problem, depending on your data.
> Hint: a random effects model with sigma_mu=0 is a pooling model.
> Giovanni Millo, PhD
> Research Dept.,
> Assicurazioni Generali SpA
> Via Machiavelli 3,
> 34132 Trieste (Italy)
> tel. +39 040 671184
> fax +39 040 671160
> ------------ original message ------------------
> Message: 49
> Date: Thu, 3 Jan 2013 13:23:07 -0800
> From: David Winsemius <dwinsemius at comcast.net>
> To: matteo ognibene <ognibenematteo at hotmail.it>
> Cc: "r-help at r-project.org" <r-help at r-project.org>
> Subject: Re: [R] plm random effect: the estimated variance of the
> individual effect is negative
> Message-ID: <D32FDC11-38AE-4AAF-9270-30C791232A24 at comcast.net>
> Content-Type: text/plain; charset=US-ASCII; format=flowed; delsp=yes
> On Jan 3, 2013, at 8:19 AM, matteo ognibene wrote:
> > I have a problem with the variance estimation in a random effect model
> > I used this formula to get my result, and it works:reg <- deltaF ~
> > L1.deltaF + L2.deltaF + deltaCDS + L1.deltaCDS + L2.deltaCDS +
> > L3.deltaCDS + deltaUS_Yields + deltaZ + L1.deltaZ + L2.deltaZfixed
> > <- plm(reg, data=Mody_R, na.action = na.exclude,
> > index=c("country_id", "datestata"), model="random")
> > but when i split my dataframe into several groups it gives me this
> > error:"Error in swar(object, data, effect) : the estimated
> > variance of the individual effect is negative"
> > The code i used to split the dataframe is:SplitMody <- split(Mody_R,
> > Mody_R$period)SplitFixed <- lapply(SplitMody, function(Mody_R)
> > plm(reg, data=Mody_R, na.action = na.exclude, index=c("country_id",
> > "datestata"), model="random"))
> > I want to point the all the code works perfectly in a within model,
> > and I tried using all the random.method for the variance
> > estimation.In addition I used the same model in Stata and it
> > works... (the results are identical for a within model in R and Stata)
> > I'll be really gratefull if someone can help me.
> > Thanks,Matteo
> > [[alternative HTML version deleted]]
> Head up; matteo: This is pretty much unreadable (due to the failure to
> follow the recommended posting procedure.)
> David Winsemius, MD
> Alameda, CA, USA
> --------------- end original message ---------------
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