Question

我正在尝试使用pgmm plm包中的R函数。Error in t(y) %*% x : non-conformable arguments。回归运行，我可以调用结果，但是，要求摘要会出现以下错误：

library(WDI) # Load package
COUNTRIES <- c("AGO","BEN","BWA","BFA","BDI") # Specify countries
INDICATORS <- c("NY.GDP.PCAP.KN", "SP.DYN.TFRT.IN", "SP.DYN.CBRT.IN", "SP.POP.TOTL") # Specify indicators
LONG <- WDI(country=COUNTRIES, indicator=INDICATORS, start=2005, end=2009, extra=FALSE) # Load data
PANEL <- pdata.frame(LONG, c("iso2","year")) # Transform to PANEL dataframe
PANEL$year <- as.numeric(as.character(PANEL$year)) # Encode year
EQ <- pgmm( log(fertility) ~ log(gdp) + lag(log(fertility), 2) | lag(log(fertility), 2), data=PANEL, effect="twoways", model="twosteps", gmm.inst=~log(fertility) ) # Run regression

我使用WDI软件包从世界银行导入数据：

EQ

如下调用结果。

summary(EQ)

但摘要（如下）给出了上面提到的错误信息。

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Answer 1

我认为错误的发生是因为summary.pgmm尝试对您的数据进行二阶Arelland-Bond序列相关性测试，但您的数据只有两点（2008年和2009年），因此失败。

要解决此问题，您可以修补该功能，以便检查数据集中是否只有两个点，并且仅当您有两个以上的点时才运行测试。我在下面提供了补丁功能：

summary.pgmm.patched <- function (object, robust = FALSE, time.dummies = FALSE, ...) 
{
    model <- plm:::describe(object, "model")
    effect <- plm:::describe(object, "effect")
    transformation <- plm:::describe(object, "transformation")
    if (robust) {
        vv <- vcovHC(object)
    }
    else {
        vv <- vcov(object)
    }
    if (model == "onestep") 
        K <- length(object$coefficients)
    else K <- length(object$coefficients[[2]])
    Kt <- length(object$args$namest)
    if (!time.dummies && effect == "twoways") 
        rowsel <- -c((K - Kt + 1):K)
    else rowsel <- 1:K
    std.err <- sqrt(diag(vv))
    b <- coef(object)
    z <- b/std.err
    p <- 2 * pnorm(abs(z), lower.tail = FALSE) 
    CoefTable <- cbind(b, std.err, z, p)
    colnames(CoefTable) <- c("Estimate", "Std. Error", "z-value", 
        "Pr(>|z|)")
    object$CoefTable <- CoefTable[rowsel, , drop = FALSE]
    object$sargan <- sargan(object)
    object$m1 <- plm:::mtest(object, 1, vv)

    # The problem line:
    # object$m2 <- mtest(object, 2, vv) 

    if (length(object$residuals[[1]] ) > 2) object$m2 <- plm:::mtest(object, 2, vv) 
    object$wald.coef <- plm:::wald(object, "param", vv)
    if (plm:::describe(object, "effect") == "twoways") 
        object$wald.td <- plm:::wald(object, "time", vv)
    class(object) <- "summary.pgmm"
    object
}

您可能想写信给plm包的作者并向他展示这篇文章。作者将能够编写一个不那么“hacky”的补丁。

使用您自己的（略微修改过的）示例数据，以下是使用该函数的方法：

library(WDI) # Load package
library(plm)

COUNTRIES <- c("AGO","BEN","BWA","BFA","BDI") # Specify countries
INDICATORS <- c("NY.GDP.PCAP.KN", "SP.DYN.TFRT.IN", "SP.DYN.CBRT.IN", "SP.POP.TOTL") #     Specify indicators
LONG <- WDI(country=COUNTRIES, indicator=INDICATORS, start=2005, end=2009, extra=FALSE) #     Load data
PANEL <- pdata.frame(LONG, c("iso2c","year")) # Transform to PANEL dataframe
PANEL$year <- as.numeric(as.character(PANEL$year)) # Encode year
names(PANEL) [c(4,5)] = c('gdp','fertility')
EQ <- pgmm( log(fertility) ~ log(gdp) + lag(log(fertility), 2) | lag(log(fertility), 2),     data=PANEL, effect="twoways", model="twosteps", gmm.inst=~log(fertility) ) # Run regression

summary.pgmm.patched(EQ)

pgmm来自plm包的摘要错误

1 个答案: