我有来自plm库的pdata.frame格式的df：
library(plm)
head(df) :
Company Year Kapitalinkomster Bank.o.kassa
3-1920 3 1920 1.388520 0.5520765
3-1921 3 1921 1.251319 0.6952595
3-1922 3 1922 1.001186 0.9812447
3-1923 3 1923 1.056346 1.4212759
3-1924 3 1924 1.451935 0.9596924
3-1925 3 1925 1.435478 0.2283118
dim(df) :
[1] 1196 4
str(df) :
Classes ‘pdata.frame’ and 'data.frame': 1196 obs. of 4 variables:
$ Company : Factor w/ 42 levels "3","4","5","6",..: 1 1 1 1 1 1 1 1 1 1 ...
..- attr(*, "index")='data.frame': 1196 obs. of 2 variables:
.. ..$ Company: Factor w/ 42 levels "3","4","5","6",..: 1 1 1 1 1 1 1 1 1 1 ...
.. ..$ Year : Factor w/ 62 levels "1887","1888",..: 34 35 36 37 38 39 40 41 42 43 ...
..- attr(*, "names")= chr "3-1920" "3-1921" "3-1922" "3-1923" ...
$ Year : Factor w/ 62 levels "1887","1888",..: 34 35 36 37 38 39 40 41 42 43 ...
..- attr(*, "index")='data.frame': 1196 obs. of 2 variables:
.. ..$ Company: Factor w/ 42 levels "3","4","5","6",..: 1 1 1 1 1 1 1 1 1 1 ...
.. ..$ Year : Factor w/ 62 levels "1887","1888",..: 34 35 36 37 38 39 40 41 42 43 ...
..- attr(*, "names")= chr "3-1920" "3-1921" "3-1922" "3-1923" ...
$ Kapitalinkomster:Classes 'pseries', 'numeric' atomic [1:1196] 1.39 1.25 1 1.06 1.45 ...
.. ..- attr(*, "index")='data.frame': 1196 obs. of 2 variables:
.. .. ..$ Company: Factor w/ 42 levels "3","4","5","6",..: 1 1 1 1 1 1 1 1 1 1 ...
.. .. ..$ Year : Factor w/ 62 levels "1887","1888",..: 34 35 36 37 38 39 40 41 42 43 ...
$ Bank.o.kassa :Classes 'pseries', 'numeric' atomic [1:1196] 0.552 0.695 0.981 1.421 0.96 ...
.. ..- attr(*, "index")='data.frame': 1196 obs. of 2 variables:
.. .. ..$ Company: Factor w/ 42 levels "3","4","5","6",..: 1 1 1 1 1 1 1 1 1 1 ...
.. .. ..$ Year : Factor w/ 62 levels "1887","1888",..: 34 35 36 37 38 39 40 41 42 43 ...
- attr(*, "index")='data.frame': 1196 obs. of 2 variables:
..$ Company: Factor w/ 42 levels "3","4","5","6",..: 1 1 1 1 1 1 1 1 1 1 ...
..$ Year : Factor w/ 62 levels "1887","1888",..: 34 35 36 37 38 39 40 41 42 43 ...
我尝试做一个两步动态随机面板数据模型，如第23页的plm教程pdf： plm vignette
dynamicrandom=pgmm(Kapitalinkomster~lag(Kapitalinkomster,1)+Bank.o.kassa|lag(Kapitalinkomster,2:99),
data=df,effect="twoways",model="twosteps")
然后我得到了这个error：
Error in solve.default(Reduce("+", A1)) :
system is computationally singular: reciprocal condition number = 8.46296e-2
traceback()
3: solve.default(Reduce("+", A1))
2: solve(Reduce("+", A1))
1: pgmm(Kapitalinkomster ~ lag(Kapitalinkomster, 1) + Bank.o.kassa |
lag(Kapitalinkomster, 2:99), data = datapd, effect = "individual",
model = "twosteps")
我觉得很奇怪。
如果我尝试使用较小的数据集运行pgmm，那么所有“不必要”的变量都将被删除，
dim(ph)
[1] 300 4
rownames(ph)=NULL
head(ph)
Company Year Kapitalinkomster Bank.o.kassa
1 3 1920 1.388520 0.5520765
2 3 1921 1.251319 0.6952595
3 3 1922 1.001186 0.9812447
4 3 1923 1.056346 1.4212759
5 3 1924 1.451935 0.9596924
6 3 1925 1.435478 0.2283118
我收到错误
Error in yX[[1]] : subscript out of bounds
In addition: Warning message:
In `[.data.frame`(index, as.numeric(rownames(mf)), ) :
NAs introduced by coercion
有人知道为什么pgmm不适合我吗？
这是
dput(df[1:60,])
structure(list(Company = structure(c(1L, 1L, 1L, 1L, 1L, 1L,
1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 2L, 2L, 2L, 2L, 2L,
2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L,
2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L,
2L, 2L, 2L, 2L, 2L, 2L), .Names = c("3-1920", "3-1921", "3-1922",
"3-1923", "3-1924", "3-1925", "3-1926", "3-1927", "3-1928", "3-1929",
"3-1930", "3-1931", "3-1932", "3-1933", "3-1934", "3-1935", "3-1936",
"4-1887", "4-1888", "4-1889", "4-1890", "4-1891", "4-1892", "4-1893",
"4-1894", "4-1895", "4-1896", "4-1897", "4-1898", "4-1899", "4-1900",
"4-1901", "4-1902", "4-1903", "4-1904", "4-1905", "4-1906", "4-1907",
"4-1908", "4-1909", "4-1910", "4-1911", "4-1912", "4-1913", "4-1914",
"4-1915", "4-1916", "4-1917", "4-1918", "4-1919", "4-1920", "4-1921",
"4-1922", "4-1923", "4-1924", "4-1925", "4-1926", "4-1927", "4-1928",
"4-1929"), .Label = c("3", "4", "5", "6", "10", "12", "14", "19",
"20", "21", "25", "26", "29", "33", "34", "35", "40", "43", "45",
"46", "47", "48", "49", "57", "58", "59", "60", "62", "64", "65",
"68", "69", "71", "72", "73", "74", "76", "77", "79", "80", "83",
"84"), class = c("pseries", "factor")), Year = structure(c(34L,
35L, 36L, 37L, 38L, 39L, 40L, 41L, 42L, 43L, 44L, 45L, 46L, 47L,
48L, 49L, 50L, 1L, 2L, 3L, 4L, 5L, 6L, 7L, 8L, 9L, 10L, 11L,
12L, 13L, 14L, 15L, 16L, 17L, 18L, 19L, 20L, 21L, 22L, 23L, 24L,
25L, 26L, 27L, 28L, 29L, 30L, 31L, 32L, 33L, 34L, 35L, 36L, 37L,
38L, 39L, 40L, 41L, 42L, 43L), .Names = c("3-1920", "3-1921",
"3-1922", "3-1923", "3-1924", "3-1925", "3-1926", "3-1927", "3-1928",
"3-1929", "3-1930", "3-1931", "3-1932", "3-1933", "3-1934", "3-1935",
"3-1936", "4-1887", "4-1888", "4-1889", "4-1890", "4-1891", "4-1892",
"4-1893", "4-1894", "4-1895", "4-1896", "4-1897", "4-1898", "4-1899",
"4-1900", "4-1901", "4-1902", "4-1903", "4-1904", "4-1905", "4-1906",
"4-1907", "4-1908", "4-1909", "4-1910", "4-1911", "4-1912", "4-1913",
"4-1914", "4-1915", "4-1916", "4-1917", "4-1918", "4-1919", "4-1920",
"4-1921", "4-1922", "4-1923", "4-1924", "4-1925", "4-1926", "4-1927",
"4-1928", "4-1929"), .Label = c("1887", "1888", "1889", "1890",
"1891", "1892", "1893", "1894", "1895", "1896", "1897", "1898",
"1899", "1900", "1901", "1902", "1903", "1904", "1905", "1906",
"1907", "1908", "1909", "1910", "1911", "1912", "1913", "1914",
"1915", "1916", "1917", "1918", "1919", "1920", "1921", "1922",
"1923", "1924", "1925", "1926", "1927", "1928", "1929", "1930",
"1931", "1932", "1933", "1934", "1935", "1936", "1937", "1938",
"1939", "1940", "1941", "1942", "1943", "1944", "1945", "1946",
"1947", "1948"), class = c("pseries", "factor")), Kapitalinkomster = structure(c(1.3885195254922,
1.25131942960191, 1.00118642574671, 1.05634611761787, 1.45193473728394,
1.43547824494178, 1.38055601480859, 1.34933328550615, 1.28899624736276,
0.76598077860797, 0.655935113492874, 0.774737637154851, 1.25108435851729,
1.47671292146985, 1.34370424443801, 1.32632101821461, 1.51421133098558,
1.26164769097955, 0.955087391528799, 1.12112930644918, 6.97097381553989,
7.79692376727096, 6.75239407150735, 2.08849093781665, 2.59292961541875,
3.11050340941574, 2.96014979405135, 5.52806493525727, 4.2921092782187,
4.6719464983905, 3.83041286491572, 4.07770060833387, 4.25073315665221,
4.3909964974014, 4.11259760549932, 4.28222569526617, 3.79412435277674,
4.01135863256581, 4.3810637384393, 4.45988129747339, 4.44638766670966,
4.09501035463032, 4.71990150360464, 4.67768296668679, 4.4802955128012,
5.04020000347546, 5.12446555871404, 4.75796798559771, 7.5561386506949,
4.88420437113848, 4.84541975371883, 5.18996412420159, 5.17554303094439,
5.39663296271381, 5.61129389005161, 5.33778018090439, 5.49889317435039,
5.24776724759386, 4.83822195731842, 4.90661955903865), .Names = c("3-1920",
"3-1921", "3-1922", "3-1923", "3-1924", "3-1925", "3-1926", "3-1927",
"3-1928", "3-1929", "3-1930", "3-1931", "3-1932", "3-1933", "3-1934",
"3-1935", "3-1936", "4-1887", "4-1888", "4-1889", "4-1890", "4-1891",
"4-1892", "4-1893", "4-1894", "4-1895", "4-1896", "4-1897", "4-1898",
"4-1899", "4-1900", "4-1901", "4-1902", "4-1903", "4-1904", "4-1905",
"4-1906", "4-1907", "4-1908", "4-1909", "4-1910", "4-1911", "4-1912",
"4-1913", "4-1914", "4-1915", "4-1916", "4-1917", "4-1918", "4-1919",
"4-1920", "4-1921", "4-1922", "4-1923", "4-1924", "4-1925", "4-1926",
"4-1927", "4-1928", "4-1929")), Aktiebolag = structure(c(0L,
0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L,
0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L,
0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L,
0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L), .Names = c("3-1920",
"3-1921", "3-1922", "3-1923", "3-1924", "3-1925", "3-1926", "3-1927",
"3-1928", "3-1929", "3-1930", "3-1931", "3-1932", "3-1933", "3-1934",
"3-1935", "3-1936", "4-1887", "4-1888", "4-1889", "4-1890", "4-1891",
"4-1892", "4-1893", "4-1894", "4-1895", "4-1896", "4-1897", "4-1898",
"4-1899", "4-1900", "4-1901", "4-1902", "4-1903", "4-1904", "4-1905",
"4-1906", "4-1907", "4-1908", "4-1909", "4-1910", "4-1911", "4-1912",
"4-1913", "4-1914", "4-1915", "4-1916", "4-1917", "4-1918", "4-1919",
"4-1920", "4-1921", "4-1922", "4-1923", "4-1924", "4-1925", "4-1926",
"4-1927", "4-1928", "4-1929")), Bank.o.kassa = structure(c(0.552076466710613,
0.695259455479398, 0.981244655715202, 1.42127589620433, 0.959692448821232,
0.228311793009368, 0.30871924158571, 2.69943145432275, 3.04368302717424,
3.05290552372935, 4.24442587875512, 2.43324032807521, 4.69502073549705,
4.21425554491043, 3.43802415683905, 1.91228479124126, 0.183612711919672,
1.93873324222939, 0.658324934241255, 1.65583430229754, 8.16610788753491,
10.6696930067877, 6.20505938433427, 0.768959064173528, 2.47147653520727,
1.4749677888885, 2.1905085760638, 10.4511636424978, 18.4910241070292,
15.5739616534392, 11.4808752327392, 7.18593926102981, 4.79510448317011,
2.85703955642673, 1.82405600468293, 1.14336459853929, 1.91224006506971,
1.86664771087767, 3.29991106032535, 3.01042462888444, 6.84688859551067,
4.5949838689742, 4.95776617931262, 6.01761059832527, 5.12621851069932,
2.36515966545918, 2.50574176281981, 1.88913570646181, 2.12361708504312,
1.70295644658185, 0.237788523257187, 3.94594260772663, 0.514660379058555,
0.63723501085728, 0.163482237867645, 0.197324873476979, 0.692618649628274,
0.316872042668265, 1.67508648494876, 0.142354356664425), .Names = c("3-1920",
"3-1921", "3-1922", "3-1923", "3-1924", "3-1925", "3-1926", "3-1927",
"3-1928", "3-1929", "3-1930", "3-1931", "3-1932", "3-1933", "3-1934",
"3-1935", "3-1936", "4-1887", "4-1888", "4-1889", "4-1890", "4-1891",
"4-1892", "4-1893", "4-1894", "4-1895", "4-1896", "4-1897", "4-1898",
"4-1899", "4-1900", "4-1901", "4-1902", "4-1903", "4-1904", "4-1905",
"4-1906", "4-1907", "4-1908", "4-1909", "4-1910", "4-1911", "4-1912",
"4-1913", "4-1914", "4-1915", "4-1916", "4-1917", "4-1918", "4-1919",
"4-1920", "4-1921", "4-1922", "4-1923", "4-1924", "4-1925", "4-1926",
"4-1927", "4-1928", "4-1929")), Obligationer = structure(c(0,
0.710619775236431, 0.569764858043086, 0.663694337104649, 0.761033448298168,
0.319840031930296, 0.312307395488807, 0.0346835018362475, 0.0330125633514856,
0.0188647549138383, 0.0151764700315497, 0.018196428174861, 0.0300829419881919,
9.20824963171287, 8.09476461975424, 7.33591599214263, 10.3237519153303,
23.4587496564246, 8.34307628014455, 8.21105338961859, 19.3630967796124,
18.5571303656964, 26.520466175308, 7.10867944326549, 6.98218342383004,
6.27961874258339, 5.04505474511001, 6.80023508002221, 8.77338607338471,
8.86362404959709, 7.75977758606352, 10.3435727294857, 9.89547857880742,
9.53223792314849, 11.9082814125304, 12.8046506505709, 15.1592108784811,
15.398922387006, 15.1136243789378, 14.6794808956586, 14.2827955517189,
14.7029129176851, 15.5305565249781, 14.9495702592336, 13.5321062823358,
16.9791185495982, 27.5452432427652, 35.5636383102538, 31.5779522681227,
31.3394353672748, 38.0906430075851, 39.4360188809573, 40.2139304909776,
40.592971239732, 37.6076781083026, 34.5895784054617, 31.8919927541514,
29.1162189615666, 26.8061925543101, 27.0963897344843), .Names = c("3-1920",
"3-1921", "3-1922", "3-1923", "3-1924", "3-1925", "3-1926", "3-1927",
"3-1928", "3-1929", "3-1930", "3-1931", "3-1932", "3-1933", "3-1934",
"3-1935", "3-1936", "4-1887", "4-1888", "4-1889", "4-1890", "4-1891",
"4-1892", "4-1893", "4-1894", "4-1895", "4-1896", "4-1897", "4-1898",
"4-1899", "4-1900", "4-1901", "4-1902", "4-1903", "4-1904", "4-1905",
"4-1906", "4-1907", "4-1908", "4-1909", "4-1910", "4-1911", "4-1912",
"4-1913", "4-1914", "4-1915", "4-1916", "4-1917", "4-1918", "4-1919",
"4-1920", "4-1921", "4-1922", "4-1923", "4-1924", "4-1925", "4-1926",
"4-1927", "4-1928", "4-1929")), Lån = structure(c(21.8552046760463,
16.9354631519048, 14.1079257359718, 16.7908540878211, 21.8125358015014,
22.7049393024745, 22.9845270523343, 20.6327272995821, 20.2367766482934,
9.0730433268189, 8.76280146788203, 8.45831605254012, 18.5583384882304,
16.0227874442418, 14.4469141085505, 16.2948078954055, 18.4678621483242,
34.8801647613554, 12.8718995058876, 26.2903301206017, 64.6032084887766,
61.4639536152419, 57.7399633611202, 24.4863080781916, 27.8232438432077,
30.3833412076318, 30.0677530506136, 65.1444741565493, 56.6516443429197,
60.315684852254, 56.4199996064144, 60.1715597365204, 65.0667857507308,
69.0349764486106, 66.422363861315, 67.6453246293749, 65.7992995302202,
65.8377134866222, 70.3265356626504, 71.1633761722355, 67.0366584836927,
68.6845898885332, 69.184192353293, 68.9082294008192, 67.774846884622,
75.1563302426472, 63.307097388227, 55.885346238016, 56.7374120385912,
56.4914905969678, 52.7731271340091, 48.12682459542, 49.3502034782439,
49.1867624617933, 52.8503985776916, 55.3039715920661, 57.9145523998424,
60.7339335739289, 59.9731465741533, 49.3913672299458), .Names = c("3-1920",
"3-1921", "3-1922", "3-1923", "3-1924", "3-1925", "3-1926", "3-1927",
"3-1928", "3-1929", "3-1930", "3-1931", "3-1932", "3-1933", "3-1934",
"3-1935", "3-1936", "4-1887", "4-1888", "4-1889", "4-1890", "4-1891",
"4-1892", "4-1893", "4-1894", "4-1895", "4-1896", "4-1897", "4-1898",
"4-1899", "4-1900", "4-1901", "4-1902", "4-1903", "4-1904", "4-1905",
"4-1906", "4-1907", "4-1908", "4-1909", "4-1910", "4-1911", "4-1912",
"4-1913", "4-1914", "4-1915", "4-1916", "4-1917", "4-1918", "4-1919",
"4-1920", "4-1921", "4-1922", "4-1923", "4-1924", "4-1925", "4-1926",
"4-1927", "4-1928", "4-1929")), Aktier = structure(c(3.07318204837309,
2.07446311309404, 1.43295861797836, 0.510917006044213, 0.585849402603378,
0.565762106856816, 0.276425856457835, 0.264148494973398, 0.251422678300478,
58.0164377288786, 15.2785505467049, 52.7552822254383, 3.38621830653397,
3.04972648885867, 0.847461182502024, 3.72584362278638, 0.214291913995251,
0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
0, 0, 0, 0, 0, 0, 0, 0.880242370615362, 0.782706137309241, 0.690115718443861,
0.800097690345683, 1.06271791918577, 0.834468719186235, 0.0962303485314691,
0.0884637193545766, 0.084862230936858, 0.0802494456090769, 0.0744384419445548,
0.07795889974169, 0.0732881714498627, 0.064264352555926, 12.4266612039723
), .Names = c("3-1920", "3-1921", "3-1922", "3-1923", "3-1924",
"3-1925", "3-1926", "3-1927", "3-1928", "3-1929", "3-1930", "3-1931",
"3-1932", "3-1933", "3-1934", "3-1935", "3-1936", "4-1887", "4-1888",
"4-1889", "4-1890", "4-1891", "4-1892", "4-1893", "4-1894", "4-1895",
"4-1896", "4-1897", "4-1898", "4-1899", "4-1900", "4-1901", "4-1902",
"4-1903", "4-1904", "4-1905", "4-1906", "4-1907", "4-1908", "4-1909",
"4-1910", "4-1911", "4-1912", "4-1913", "4-1914", "4-1915", "4-1916",
"4-1917", "4-1918", "4-1919", "4-1920", "4-1921", "4-1922", "4-1923",
"4-1924", "4-1925", "4-1926", "4-1927", "4-1928", "4-1929")),
Placeringar.andra.ftg = structure(c(28.0431221549195, 25.9545126815565,
24.0242448095517, 31.3234881936435, 39.255978576323, 42.1621242692298,
43.6032738316212, 45.4357566594961, 46.598249907364, 28.4981460177937,
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))
最好的问候
答案 0 :(得分：1)
由于您包含所有滞后|lag(Kapitalinkomster,2:99)，因此仪器矩阵太大。这导致秩不足的矩阵。对于线性面板模型的一般GMM公式，这是显而易见的。例如，J.M.Wooldridge的“横截面和面板数据的计量经济分析”第8章中的第190页。简单（和不正确）的解释是，通过包含太多滞后，您获得的列数多于行数。尝试减少|lag(Kapitalinkomster,2:99)中的滞后次数，最多使用两次或三次。