[R] R: plm random effect: the estimated variance of the individual effect is negative
Millo Giovanni
Giovanni_Millo at Generali.com
Sat Jan 5 10:10:01 CET 2013
Dear Matteo,
as I stated in my previous email, if the random effects variance is set to zero then they are identically zero (as mean=0, sd=0) hence you just need to use 'plm(<...> , model="pooling")'.
Best,
Giovanni
-----Messaggio originale-----
Da: matteo ognibene [mailto:ognibenematteo at hotmail.it]
Inviato: venerdì 4 gennaio 2013 20.08
A: Millo Giovanni; r-help at r-project.org
Oggetto: RE: [R] plm random effect: the estimated variance of the individual effect is negative
Thanks Giovanni,
but I already tried with the others "random.method" and it doesn't work anyway.
Do you think is it possible change the if statement in the plm formula, to set the value to 0 if sigma<0 ?
Because if I insert a dummy variabile in the formula R gives me this error:
> Error in if (sigma2$id < 0) stop(paste("the estimated variance of
> the", :
> missing value where TRUE/FALSE needed
Thanks
Matteo Ognibene
----------------------------------------
> Subject: Re: [R] plm random effect: the estimated variance of the
> individual effect is negative
> Date: Fri, 4 Jan 2013 16:26:01 +0100
> From: Giovanni_Millo at Generali.com
> To: ognibenematteo at hotmail.it
> CC: r-help at r-project.org
>
> Matteo,
>
> I fully agree with David: please read the posting guide.
>
> Anyway, the error message says it all: "the estimated variance of the
> individual effect is negative". See e.g. the "basic panel" chapter (10
> or 11) in Wooldridge's "Econometric Analysis of XS and Panel Data" to
> understand why this may happen.
>
> Stata's behaviour is (as far as I remember) to transparently
> substitute it with 0; 'plm's is to let the estimation fail, issuing a
> warning. You can try a different 'random.method' which may, or might
> not, solve the problem, depending on your data.
>
> Hint: a random effects model with sigma_mu=0 is a pooling model.
>
> HTH
>
> Giovanni Millo, PhD
> Research Dept.,
> Assicurazioni Generali SpA
> Via Machiavelli 3,
> 34132 Trieste (Italy)
> tel. +39 040 671184
> fax +39 040 671160
>
> ------------ original message ------------------
>
> Message: 49
> Date: Thu, 3 Jan 2013 13:23:07 -0800
> From: David Winsemius <dwinsemius at comcast.net>
> To: matteo ognibene <ognibenematteo at hotmail.it>
> Cc: "r-help at r-project.org" <r-help at r-project.org>
> Subject: Re: [R] plm random effect: the estimated variance of the
> individual effect is negative
> Message-ID: <D32FDC11-38AE-4AAF-9270-30C791232A24 at comcast.net>
> Content-Type: text/plain; charset=US-ASCII; format=flowed; delsp=yes
>
>
> 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
>
>
>
> --------------- end original message ---------------
>
>
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