Dear All,

I'm looking to perform an ANOVA between two nested panel fixed effects models. I tried with anova, as well as with waldtest. anova tells me there is no method available for plm objects, while waldtest tells me my models are not nested. I think they are instead. The difference between the two models is that in the second I let the regression coefficients of a given variable variate according to a factor.

MODEL 1
depFE.plm = plm(urate ~ l1_urate + month, model = "within", data = unempl_data1, effect = "individual")

MODEL 2
depLDFE.plm = plm(urate ~ factor(ID):l1_urate + month, model = "within", data = unempl_data1, effect = "individual")

anova
> anova(depFE.plm, depLDFE.plm)
Errore in UseMethod("anova") : 
  no applicable method for 'anova' applied to an object of class "c('plm', 'panelmodel')"

waldtest
> waldtest(depFE.plm, depLDFE.plm)
Errore in modelCompare(objects[[i - 1]], objects[[i]], vfun = vcov.) : 
  models are not nested

Did anyone code a plm method for anova?
OR
Does anyone know why according to waldtest my models are not nested?

Thanks
Roberto

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Roberto Patuelli, Ph.D.
Istituto Ricerche Economiche (IRE) (Institute for Economic Research)
Università della Svizzera Italiana (University of Lugano)
via Maderno 24, CP 4361
CH-6904 Lugano
Switzerland
Phone: +41-(0)58-666-4166
Fax: +39-02-700419665
Email: roberto.patuelli@usi.ch
Homepage: http://www.people.lu.unisi.ch/patuellr
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