Giovanni, Thank you for your reply. pvcm is indeed what I was looking for.
I have a follow-up questio: plm documentation says that pvcm with method 'within' is equivalent of estimating a separate model for each individual. Let's assume that I would like to estimate a panel data model with an individual-specific intercept, individual-specific slope and a regressor that has a common coefficient for all individuals. I.e. a model of the form: y_it = a_i + b_i*t + c*x_it + e_it. Is this doable in plm? I came up with two non-plm solutions to my problem. One possible approach would be to estimate a model y ~ id + id*t + c with ols, but this doesn't seem feasible with a dataset of several hundreds of individuals. Another approach would be to apply Frisch-Waugh-Lovell theorem and estimate the regression coefficients in multiple steps. Using plm, if possible, would feel more straightforward though. Regards, Otto On Thu, Feb 4, 2010 at 4:46 PM, Millo Giovanni <giovanni_mi...@generali.com> wrote: > Dear Otto, > > please see ?pvcm and the section on variable coefficient models here > http://www.jstatsoft.org/v27/i02/paper > > Should suit your needs; else please let me know. > > Best, > Giovanni > > ------------- original message ----------------- > > Message: 29 > Date: Wed, 3 Feb 2010 16:27:45 +0200 > From: Otto K?ssi <otto.ka...@gmail.com> > To: r-help@r-project.org > Subject: [R] Package plm & heterogenous slopes > Message-ID: > <bcc3d8561002030627i354db4e8i363d3b1c886f0...@mail.gmail.com> > Content-Type: text/plain; charset=ISO-8859-1 > > Dear r-helpers, > > I am working with plm package. I am trying to fit a fixed effects (or > a 'within') model of the form > y_it = a_i + b_i*t + e_it, i.e. a model with an individual-specific > intercept and an individual- > specific slope. > > Does plm support this directly? > > Thanks in advance! > Otto Kassi > > > > ------------- end original message ------------- > > Giovanni Millo > Research Dept., > Assicurazioni Generali SpA > Via Machiavelli 4, > 34132 Trieste (Italy) > tel. +39 040 671184 > fax +39 040 671160 > > > Ai sensi del D.Lgs. 196/2003 si precisa che le informazioni contenute in > questo messaggio sono riservate ed a uso esclusivo del destinatario. Qualora > il messaggio in parola Le fosse pervenuto per errore, La invitiamo ad > eliminarlo senza copiarlo e a non inoltrarlo a terzi, dandocene gentilmente > comunicazione. Grazie. > > Pursuant to Legislative Decree No. 196/2003, you are hereby informed that > this message contains confidential information intended only for the use of > the addressee. If you are not the addressee, and have received this message > by mistake, please delete it and immediately notify us. You may not copy or > disseminate this message to anyone. Thank you. > ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
