[R] can R do Fixed-effects (within) regression (panel data)?

From: ronggui <0034058_at_fudan.edu.cn>
Date: Sat 04 Jun 2005 - 22:42:24 EST


i want to ask 2 questions.

  1. can R do Random-effects GLS regression which i can get from Stata? the following result is frome Stata.can I get the alike result from R?

xtreg lwage educ black hisp exper expersq married union, re

Random-effects GLS regression                   Number of obs      =      4360
Group variable (i) : nr                         Number of groups   =       545

R-sq:  within  = 0.1799                         Obs per group: min =         8
       between = 0.1860                                        avg =       8.0
       overall = 0.1830                                        max =         8

Random effects u_i ~ Gaussian                   Wald chi2(14)      =    957.77
corr(u_i, X)       = 0 (assumed)                Prob > chi2        =    0.0000

------------------------------------------------------------------------------
       lwage |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]

-------------+----------------------------------------------------------------
educ | .0918763 .0106597 8.62 0.000 .0709836 .1127689 ...................... d86 | .0919476 .0712293 1.29 0.197 -.0476592 .2315544 d87 | .1349289 .0813135 1.66 0.097 -.0244427 .2943005 _cons | .0235864 .1506683 0.16 0.876 -.271718 .3188907
-------------+----------------------------------------------------------------
sigma_u | .32460315 sigma_e | .35099001 rho | .46100216 (fraction of variance due to u_i)

2)

can R do Fixed-effects (within) regression as Stata's xtreg?

the followng example is from
"Introductory Econometrics: A Modern Approach" by Jeffrey M. Wooldridge Chapter 14 - Advanced Panel Data Methods

use http://fmwww.bc.edu/ec-p/data/wooldridge/JTRAIN iis fcode
tis year
xtreg lscrap d88 d89 grant grant_1, fe

Fixed-effects (within) regression               Number of obs      =       162
Group variable (i) : fcode                      Number of groups   =        54

R-sq:  within  = 0.2010                         Obs per group: min =         3
       between = 0.0079                                        avg =       3.0
       overall = 0.0068                                        max =         3

                                                F(4,104)           =      6.54
corr(u_i, Xb)  = -0.0714                        Prob > F           =    0.0001

------------------------------------------------------------------------------
      lscrap |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]

-------------+----------------------------------------------------------------
d88 | -.0802157 .1094751 -0.73 0.465 -.2973089 .1368776 d89 | -.2472028 .1332183 -1.86 0.066 -.5113797 .016974 grant | -.2523149 .150629 -1.68 0.097 -.5510178 .046388 grant_1 | -.4215895 .2102 -2.01 0.047 -.8384239 -.0047551 _cons | .597434 .0677344 8.82 0.000 .4631142 .7317539
-------------+----------------------------------------------------------------
sigma_u | 1.438982 sigma_e | .4977442 rho | .89313867 (fraction of variance due to u_i) ------------------------------------------------------------------------------ F test that all u_i=0: F(53, 104) = 24.66 Prob > F = 0.0000

thank you!!



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