[R] R: fitted from plm

[Millo Giovanni]

Hi Max. You're welcome.
Re your question below, the input order is not always preserved: observations are always reordered by (individual, time) internally, so that the output you get is ordered accordingly. Most of the time, this is also the order you'd input them, but this is not necessarily so.

Therefore if you do as Achim said, taking both y and residuals from the 'panelmodel' object, you are safe; while if you take residuals from there, y form the original data then you are exposed to the risk that the original data be ordered differently.

Here a quick illustration on the venerable Grunfeld data (some output suppressed, some comments added):

##################################################
> library(plm)
> data(Grunfeld)
> head(Grunfeld) # original data: ordered as stacked time series
  firm year   inv  value capital
1    1 1935 317.6 3078.5     2.8
2    1 1936 391.8 4661.7    52.6
3    1 1937 410.6 5387.1   156.9
4    1 1938 257.7 2792.2   209.2
5    1 1939 330.8 4313.2   203.4
6    1 1940 461.2 4643.9   207.2
> 
> fm<-inv~value+capital
> remod<-plm(fm, Grunfeld, model="random")
> head(residuals(remod))
         1          2          3          4          5          6 
  44.97404  -69.97550 -162.94693  -47.09013 -139.18021  -46.25567 
> head(remod$model[[1]]) # this is 'y' (='inv')
    1     2     3     4     5     6 
317.6 391.8 410.6 257.7 330.8 461.2 
> head(remod$model[[2]]) # this is 'X[,1]' (='value')
     1      2      3      4      5      6 
3078.5 4661.7 5387.1 2792.2 4313.2 4643.9 
> 
> ## reorder as stacked cross-sections
> Grun2<-Grunfeld[order(Grunfeld$year, Grunfeld$firm),]
> 
> head(Grun2)
    firm year    inv  value capital
1      1 1935 317.60 3078.5     2.8
21     2 1935 209.90 1362.4    53.8
41     3 1935  33.10 1170.6    97.8
61     4 1935  40.29  417.5    10.5
81     5 1935  39.68  157.7   183.2
101    6 1935  20.36  197.0     6.5
> 
> remod<-plm(fm, Grun2, model="random")
> head(residuals(remod))
         1          2          3          4          5          6 
  44.97404  -69.97550 -162.94693  -47.09013 -139.18021  -46.25567 
> head(remod$model[[1]])
    1     2     3     4     5     6 
317.6 391.8 410.6 257.7 330.8 461.2 
> 
> ## output maintains standard order!
> 
> ## reorder as completely random
> Grun3<-Grunfeld[order(runif(dim(Grunfeld)[[1]])),]
> 
> head(Grun3)
    firm year    inv   value capital
27     2 1941 472.80 2380.50  261.40
2      1 1936 391.80 4661.70   52.60
184   10 1938   1.99   58.72    4.56
106    6 1940  28.54  298.00   52.50
79     4 1953 174.93 1001.50  346.10
194   10 1948   5.66   68.00    5.38
> 
> remod<-plm(fm, Grun3, model="random")
> head(residuals(remod))
         1          2          3          4          5          6 
  44.97404  -69.97550 -162.94693  -47.09013 -139.18021  -46.25567 
> head(remod$model[[1]])
    1     2     3     4     5     6 
317.6 391.8 410.6 257.7 330.8 461.2
> 
> ## same as above 
#############################################

Take heed, of course, of the 'index' argument to the model (you don't need it only if data have individual and time indices in the first two cols., respectively).
HTH,
Giovanni

PS if you'd prefer us to stack residuals "in a funny way", just ask ;^)

-----Messaggio originale-----
Da: max.e.brown at gmail.com [mailto:max.e.brown at gmail.com] 
Inviato: giovedì 21 ottobre 2010 16:22
A: Millo Giovanni
Cc: Achim Zeileis; r-help at stat.math.ethz.ch
Oggetto: Re: fitted from plm


Thanks Giovanni and Achim.

Just to confirm - the order of observations in residuals(mymodel) is exactly the same as in the dataframe that I pass to plm, so that I can extract the fitted values for an individual by calculating

yhat = y - residuals(mymodel)

as you describe, and then pick out individuals by comparing my yhat vector with my y vector in the dataframe, right? (The residuals aren't stacked in a funny way?)

Thanks.

Max



Ai sensi del D.Lgs. 196/2003 si precisa che le informazi...{{dropped:13}}