Hello, I've been trying to fit Arrellano-Bond model with pgmm but I am getting very strange errors. I've looked around and found no reference to them.
I've specified the model in dozens of different ways, and each seems to give me a new kind of error. This leads me to believe this has to do with the way the data is specified, but I can't see anything thats wrong with. My computer runs the sample codes just fine, something wrong on my end, but I can't see it for the life of me. Another possible issue is that I only have 3 time periods, but this should leave me with the first time period to use as an instrument. Below is my full code, along with 4 different pgmm attempts, with 4 different errors. My data is available here if anyone wants to try it: http://dl.dropbox.com/u/3053463/did_dpd.dta Also, likely unrelated, but dynformula has some strange behaviour dynformula(value~value, lag.form=list(value = 1),diff.form=list(TRUE)) Gives: diff(value) ~ diff(diff(value), 1) + diff(value, 1) Where I would have thought it would give this: diff(value) ~ diff(value, 1) Thanks for your time. library(foreign) library(plm) #Loading the data data = read.dta("did_dpd.dta") individual = rep(c(1:6230),3) panelData = data.frame(individual) #Getting the panelData ready by adding in time and individual incidies panelData$time = c(rep(1,6230),rep(2,6230),rep(3,6230)) panelData$value = c(data$y_1990,data$y_1991,data$y_1992) #Treating some other variables panelData$treatment= rep(1-data$control,3) panelData$interaction = panelData$treatment*(panelData$time==3) panelData = pdata.frame(panelData, index=c("individual","time"),drop.index=TRUE) #Fitting the models form = dynformula(value~1, lag.form=list(value = 1),diff.form=list(FALSE)) AHIV = pgmm(formula = formula(form),data=panelData,gmm.inst=~value,lag.gmm=list(c(2,2)),transformation="d") # Gives Error "Error in G[i, i + 1] <- -1 : subscript out of bounds", something to do with the translation matrix? AHIV = pgmm(formula = formula(form),data=panelData,gmm.inst=~value,lag.gmm=list(c(2,2)),transformation="ld") # Gives Error "Error in rownames(x)[1] <- time.names[prems - 1] : replacement has length zero" AHIV = pgmm(formula = formula(form),data=panelData,gmm.inst=~value,lag.gmm=list(c(2,2)),effect ="twoways",transformation="d") # Gives Error in dimnames(time.dummies) <- list(time.names, time.names[(time.lost + : 'dimnames' applied to non-array -- View this message in context: http://n4.nabble.com/PGMM-help-Strange-Errors-when-Fitting-Models-tp1591343p1591343.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ 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.
