请问R哪个包可以做面板分位数、面板误差修正、面板联立方程呀

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各位大神，请问万能的R哪个包里含有
1.面板分位数
2.面板误差修正
3.面板联立方程
模型呀？

谢谢啦

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关键词：面板分位数 误差修正 联立方程 分位数 面板

万能的kk22boy兄
请先参考
Panel Data Econometrics in R: The plm Package
  http://www.jstatsoft.org/v27/i02/paper

Quantile regression for panel data
可能要用到Package ｀quantreg＇
  http://cran.r-project.org/web/packages/quantreg/index.html
配合rq.fit.panel.R
  http://www.econ.uiuc.edu/~roger/research/panel/

Panel Vector Error Correction Models
PANEL COINTEGRATION.pdf
  http://www.gutierrezluciano.net/Default_files/contents_data/Manual.PDF
这是用gauss 写的,内容属比较齐全
然缺gauss source code
请万能的kk22boy兄协寻

Package ‘systemfit’
   Estimating Systems of Simultaneous Equations
http://cran.r-project.org/web/packages/systemfit/index.html

epoh 发表于 2011-12-12 22:11
万能的kk2boy兄
请先参考
Panel Data Econometrics in R: The plm Package

呵呵，epoh哥才是万能哥~
向您学习！
呵呵，俺是kk22boy

kk22boy 发表于 2011-12-12 22:20
呵呵，epoh哥才是万能哥~
向您学习！
呵呵，俺是kk22boy

抱歉!抱歉!!
连说两个抱歉
一个忘了"2"
一个忘了联立方程
可以参考下Package ｀systemfit＇
Estimating Systems of Simultaneous Equations
http://cran.r-project.org/web/packages/systemfit/index.html

epoh 发表于 2011-12-16 08:21
抱歉!抱歉!!
连说两个抱歉
一个忘了"2"

epoh老师，您好！您给出的例子来自于下列那个子目录？我怎么找不到？
Help Pages
coef.summary.systemfit         Coefficients of systemfit object
coef.summary.systemfit.equation         Coefficients of systemfit object
coef.systemfit         Coefficients of systemfit object
coef.systemfit.equation         Coefficients of systemfit object
confint.systemfit         Confidence intervals of coefficients
confint.systemfit.equation         Confidence intervals of coefficients
correlation.systemfit         Correlation between Predictions from Equation i and j
createSystemfitModel         Create a Model for systemfit
fitted.systemfit         Fitted values
fitted.systemfit.equation         Fitted values
formula.systemfit         Model Formulae of systemfit Objects
formula.systemfit.equation         Model Formulae of systemfit Objects
GrunfeldGreene         Grunfeld Data as published by Greene (2003)
hausman.systemfit         Hausman Test
KleinI         Klein Model I
Kmenta         Partly Artificial Data on the U. S. Economy
linearHypothesis.systemfit         Test Linear Hypothesis
logLik.systemfit         Log-Likelihood value of systemfit object
lrtest.systemfit         Likelihood Ratio test for Equation Systems
model.frame.systemfit         Extracting the Data of a systemfit Object
model.frame.systemfit.equation         Extracting the Data of a systemfit Object
model.matrix.systemfit         Construct Design Matrices for Systems of Equations
model.matrix.systemfit.equation         Construct Design Matrices for Systems of Equations
nlsystemfit         Nonlinear Equation System Estimation
ppine         Tree Growth Data for Ponderosa Pine
predict.systemfit         Predictions from System Estimation
predict.systemfit.equation         Predictions from System Estimation
print.confint.systemfit         Print confidence intervals of coefficients
print.nlsystemfit.equation         Print output of nlsystemfit estimation
print.nlsystemfit.system         Print output of nlsystemfit estimation
print.summary.systemfit         Summary of systemfit estimation
print.summary.systemfit.equation         Summary of systemfit estimation
print.systemfit         Print results of systemfit estimation
print.systemfit.equation         Print results of systemfit estimation
residuals.systemfit         Residuals of systemfit object
residuals.systemfit.equation         Residuals of systemfit object
se.ratio.systemfit         Ratio of the Standard Errors
summary.nlsystemfit.equation         Summary of nlsystemfit estimation
summary.nlsystemfit.system         Summary of nlsystemfit estimation
summary.systemfit         Summary of systemfit estimation
summary.systemfit.equation         Summary of systemfit estimation
systemfit         Linear Equation System Estimation
systemfit.control         Create list of control parameters for systemfit
terms.systemfit         Model Terms of systemfit Objects
terms.systemfit.equation         Model Terms of systemfit Objects
vcov.systemfit         Variance covariance matrix of coefficients
vcov.systemfit.equation         Variance covariance matrix of coefficients

zhangtao 发表于 2011-12-16 08:57
epoh老师，您好！您给出的例子来自于下列那个子目录？我怎么找不到？
Help Pages
coef.summary.systemf ...

zhangtao兄
这是function systemfit()
自带的范例
更详细的你可以看
system t: A Package for Estimating Systems of
               Simultaneous Equations in R
  http://www.jstatsoft.org/v23/i04/paper
5.3. Greene (2003): Example 14.1 (Grunfeld's investment data)

#########
#########

"Analysis of Panel Data" by Cheng Hsiao.

page 111 ,equations (5.3.24)-(5.3.25)

利用3SLS with 2-way Error Components 来求解

chap5 Simultaneous-Equations Models

    chap5 Simultaneous-Equations Models.pdf (640.65 KB)

2011-12-16 19:52:28 上传

epoh 发表于 2011-12-16 10:03
zhangtao兄
这是function systemfit()
自带的范例

谢谢epoh兄的回复！
systemfit包我已经看过，这个包好像是对面板的sur模型进行回归，并不是对面板联立方程模型呀

这两个模型还是不一样的这是sur模型

强调干扰项对不同的模型个体都有影响；

下面是联立方程模型

模型中包含M个内生变量和K个外生变量，
您说的那个应该是属于第一种类型吧

我对这两个模型理解的不好，如果说错了，您别笑话~

kk22boy 发表于 2011-12-16 15:42
谢谢epoh兄的回复！
systemfit包我已经看过，这个包好像是对面板的sur模型进行回归，并不是对面板联立方 ...

kk22boy兄,你的说法是正确的.

2012.01.11 revised

但R package "plm"

底下的一些function

  between(x, ...)

  Between(x, ...)

  Within(x, ...)

  #data type1  between-groups

  #data type2  between-time-periods

  #data type3  within-groups-and-time-periods

配合package "systemfit",也可做出来

"Analysis of Panel Data" by Cheng Hsiao.
page 111 ,equations (5.3.24)-(5.3.25)
利用3SLS with 2-way Error Components 来求解
chap5 Simultaneous-Equations Models

EC3SLS.tsp这个程序是ywh19860616 兄找来的
ywh19860616 兄,对panel data,
着墨很深,可请他来讨论
底下是我回帖内容的摘要
  https://bbs.pinggu.org/thread-1197449-5-1.html
45 楼
###########
artificial data :

                Y1            Y2            Y3            Z1     Z2  Z3 X1 X2 X3
1        -83.74065     -14.21694     -16.43199      -1.73681   ......     
2         22.84087       3.40909       6.60565      0.034185   ......  
3        -32.17143      -9.33348      -4.80566      -1.08682   ......   
.....
.....
88        -1.81448      -0.36424      -0.14313       0.93597   ......     
89         1.57203       7.09187      -5.55756       0.11363   ......   
90       -15.15998      -3.39507      -1.73080       0.43959  .....   

EQUATION: EQ1
     FRML EQ1 Y1 = AY2*Y2 + AY3*Y3 + AX1*X1 + AX2*X2 + AX3*X3
EQUATION: EQ2
     FRML EQ2 Y2 = BZ1*Z1 + BZ2*Z2 + BZ3*Z3 + BX1*X1 + BX2*X2 + BX3*X3
EQUATION: EQ3
     FRML EQ3 Y3 = CZ1*Z1 + CZ2*Z2 + CZ3*Z3 + CX1*X1 + CX2*X2 + CX3*X3

貌似R现在很强大了

hqs00000 发表于 2011-12-17 21:44
貌似R现在很强大了

感觉R的语言灵活性比stata好多了，可是为什么还是有那么多的计量学家选择stata呢