[R] plm package, R squared, dummies in panel data

[Daniel Malter]

Hi, I answered this question before in this post:
http://r.789695.n4.nabble.com/Regressions-with-fixed-effect-in-R-td2173314.html
, specifically in my message from May 11, 2010; 4:30pm.

However, I believe the newer version of plm shows an R-squared, which should
be the within R-squared. Why the programmers of the package decided to not
show the others or to not provide a test of the significance of the a(i)s, I
don't know.

As for your second question, the plm function has an option as to whether
the FEs should be "id", "time", or "twoways", i.e., for id and time. I would
guess that then the time FEs are not estimated either but differenced out,
too. This should affect the within/between variance and therefore the within
and between R-squareds.

HTH,
Daniel


Cecilia Carmo wrote:
> 
> Hi R-helpers,
> 
>  
> 
> I have two questions I hope you could help me with them:
> 
>  
> 
> In the plm package how can I calculate the R2 within, R2 between and R2
> overall? Is there any special reason to not display these values?
> 
>  
> 
> When using first differences do I need to have some special care with
> dummies (both year dummies and industry dummies)? 
> 
> (A friend who works with Stata told me that there is necessary to
> construct
> some «accumulated dummies».)
> 
>  
> 
> Thank you very much,
> 
>  
> 
> Cecília Carmo
> 
> (Universidade de Aveiro – Portugal)
> 
>  
> 
>  
> 
> 
> 	[[alternative HTML version deleted]]
> 
> 
> ______________________________________________
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> PLEASE do read the posting guide
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> 

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