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

[matteo ognibene]

You're right David, I'm really sorry. I deactivated html, hope now it works.


> 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.
> fixed <- 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 random effect model in Stata and it works... (and for the within model the results are identical in R and Stata)


I'll be really gratefull if someone can help me.


Thanks,
Matteo

> CC: r-help at r-project.org
> From: dwinsemius at comcast.net
> To: ognibenematteo at hotmail.it
> Subject: Re: [R] plm random effect: the estimated variance of the individual effect is negative
> Date: Thu, 3 Jan 2013 13:23:07 -0800
> 
> 
> 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
>