[R] plm random effect: the estimated variance of the individual effect is negative

[David Winsemius]

On Jan 3, 2013, at 8:19 AM, matteo ognibene wrote:

>
> Hi,R 2.15.2 plm() function on Windows 7
> 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