[R-SIG-Finance] No intercep for First-Difference Estimator in PLM (panel data)

Robert Iquiapaza rbali at ufmg.br
Mon Apr 13 05:27:52 CEST 2009


Hi

I want to estimate a FD model using plm, but with no intercept. It seems 
that plm ignores "intercept = FALSE".
And adding "+0" to the function produce an error.

#First-Difference Estimator
wag.fd1 <- plm(wage ~ marr, intercept = FALSE, data = wage2, model = "fd")

wag.fd2 <- plm(wage ~ marr+0, data = wage2, model = "fd")

> wag.fd2 <- plm(wage ~ marr+0, data = wage2, model = "fd")
Error in result[is.na(cond), ] <- NA :
  (subscript) logic subscript too long

My data looks like:
> wage2
   id time wage marr time1
1   1    1 1000    0     1
2   1    2 1050    0     2
3   1    3  950    0     3
4   1    4 1000    0     4
5   1    5 1100    0     5
6   1    6  900    0     6
7   2    1 2000    0     1
8   2    2 1950    0     2
9   2    3 2000    0     3
10  2    4 2000    0     4
11  2    5 1950    0     5
12  2    6 2100    0     6
13  3    1 2900    0     1
14  3    2 3000    0     2
15  3    3 3100    0     3
16  3    4 3500    1     4
17  3    5 3450    1     5
18  3    6 3550    1     6
19  4    1 3950    0     1
20  4    2 4050    0     2
21  4    3 4000    0     3
22  4    4 4500    1     4
23  4    5 4600    1     5
24  4    6 4400    1     6


I would appreciate if anyone knows how to specify no intercept for first 
difference model in panel data using plm?

Thank you

Robert



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