【Lecture Notes】Political Science 207

1. ## Political Science 207
   
2. ## panel data
   
3. 
   
4. ## example of unobserved heterogeneity
   
5. 
   
6. x1 <- rnorm(100,1,1)
   
7. x2 <- rnorm(100,2,1)
   
8. 
   
9. e1 <- rnorm(100,0,0.8)
   
10. e2 <- rnorm(100,0,0.8)
    
11. 
    
12. y1 <- 0 - x1 + e1
    
13. y2 <- 5 - x2 + e2
    
14. 
    
15. x <- append(x1,x2)
    
16. y <- append(y1,y2)
    
17. 
    
18. plot(y~x)
    
19. 
    
20. reg.pooled <- lm(y~x)
    
21. reg.1 <- lm(y1~x1)
    
22. reg.2 <- lm(y2~x2)
    
23. 
    
24. abline(reg.pooled)
    
25. abline(reg.1, col="red")
    
26. abline(reg.2, col="red")
    
27. 
    
28. ## Basic Panel Data models in R ##
    
29. 
    
30. library(foreign)
    
31. 
    
32. BESData <- read.dta("bes.dta",  convert.factors=FALSE)
    
33. 
    
34. install.packages("plm")
    
35. library(plm)
    
36. 
    
37. pdim(BESData, index=c("serialno", "year"))
    
38. 
    
39. ## Pooled model (regular OLS)
    
40. 
    
41. pooled.model <- lm(right ~ manual + age + male + price + tory + labour, data=BESData, na.action=na.omit)
    
42. summary(pooled.model)
    
43. 
    
44. ## LSDV model
    
45. 
    
46. lsdv.model <- lm(right ~ manual + age + male + price + tory + labour + as.factor(serialno), data=BESData, na.action=na.omit)
    
47. summary(lsdv.model)
    
48. 
    
49. ## F test for fixed effects
    
50. 
    
51. anova(pooled.model, lsdv.model)
    
52. 
    
53. ## Using the plm package ##
    
54. 
    
55. pmodel1 <- plm(right ~ manual + age + male + price + tory + labour, data=BESData, index=c("serialno", "year"), na.action=na.omit, model="pooling")
    
56. summary(pmodel1)
    
57. 
    
58. ## Within model
    
59. 
    
60. pmodel2 <- plm(right ~ manual + age + male + price + tory + labour, data=BESData, index=c("serialno", "year"), na.action=na.omit, model="within")
    
61. summary(pmodel2)
    
62. 
    
63. ## F test for fixed effects
    
64. 
    
65. pFtest(pmodel2,pmodel1)
    
66. 
    
67. ## Random effects model
    
68. 
    
69. pmodel3 <- plm(right ~ manual + age + male + price + tory + labour, data=BESData, index=c("serialno", "year"), na.action=na.omit, model="random")
    
70. summary(pmodel3)
    
71. 
    
72. ## Breusch-Pagan test
    
73. 
    
74. plmtest(pmodel3, effect="individual", type="bp")
    
75. 
    
76. ## Hausman test
    
77. 
    
78. phtest(pmodel2, pmodel3)
    
79. 
    
80. ## First difference model -- not often used in political science panel data
    
81. ## Differences from the within estimator usually indicate a violation of the strict exogeneity assumption
    
82. 
    
83. pmodel.fd <- plm(right ~ manual + age + male + price + tory + labour, data=BESData, index=c("serialno", "year"), na.action=na.omit, model="fd")
    
84. summary(pmodel.fd)
    
85. 
    
86. 
    
87. #########################
    
88. ## Example 2
    
89. 
    
90. 
    
91. 
    
92. BankData <- read.dta("franzese.dta",  convert.factors=FALSE)
    
93. 
    
94. olsmodel2 <- lm(inf ~ cbilag1 + glag1 + tlag1 + flag1 + infalag1 + ulag1 + cwb, data=BankData, na.action=na.omit)
    
95. summary(olsmodel2)
    
96. 
    
97. pdim(BankData, index=c("ctry", "year"))
    
98. 
    
99. ## Fixed effects model
    
100. 
     
101. pmodel4 <- plm(inf ~ cbilag1 + glag1 + tlag1 + flag1 + infalag1 + ulag1 + cwb, data=BankData, index=c("ctry", "year"), na.action=na.omit, model="within")
     
102. summary(pmodel4)
     
103. 
     
104. ## F test for fixed effects
     
105. 
     
106. pFtest(pmodel4,olsmodel2)
     
107. 
     
108. ## Random effects model
     
109. 
     
110. pmodel5 <- plm(inf ~ cbilag1 + glag1 + tlag1 + flag1 + infalag1 + ulag1 + cwb, data=BankData, index=c("ctry", "year"), na.action=na.omit, model="random")
     
111. 
     
112. ## Crash because of negative estimated variance of individual effects
     
113. 
     
114. ## Use different method of calculating variance of random effects
     
115. ## random.method options only work on balanced panels
     
116. 
     
117. pmodel5 <- plm(inf ~ cbilag1 + glag1 + tlag1 + flag1 + infalag1 + ulag1 + cwb, data=BankData, index=c("ctry", "year"), na.action=na.omit, model="random", random.method="walhus")
     
118. summary(pmodel5)
     
119. 
     
120. ## Breusch-Pagan test
     
121. 
     
122. plmtest(pmodel5, effect="individual", type="bp")
     
123. 
     
124. ## Hausman test
     
125. 
     
126. phtest(pmodel4, pmodel5)

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