[R] panel data: variable selection AND multicollinearity

phil quijote at gmx.net
Sun May 4 01:23:51 CEST 2014


Dear all,

I am running a regression on panel data (127 observations). The Hausman Test
indicats that the random-effects model is superior to the fixed-effects
model.

However, for a linear regression "lm()" there is a simple command in R to
carry out a variable selection procedure: "step()". Is there something
similar for a regression on panel data "plm()"? Respectively, what is the
command used for variable selection in case of plm? Is there any?

Further, for linear regression "lm()" you can check easily for
multicollinearity applying "vif()" of the car-package. What is the
respective command for regression on panel data?


Help is really appreciated. Looking forward to your answers.

Thank you very much in advance.

Regards,

Phil



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