Lingyu Kong - 8 months ago 40

R Question

I am working with an unbalanced short panel.

Raw data: bankFull.xlsx

What I actually want is only get the regression results with two side fixed effects and robust S.E reported, which is very easy in Stata. I followed online tutorial but ran into some problem always with

`# Adjust F statistic`

wald_results <- waldtest(FE1, vcov = cov1)

Error in model.matrix.pFormula(formula, data, rhs = 1, model = model, :

NA in the individual index variable

no matter how I adjusted the data! It almost drives me crazy.

here is my code:

`bankFull <- openxlsx::read.xlsx("bankFull.xlsx",1)`

attach(bankFull)

library(plm)

FE1 = plm( RoA ~

log(1+degreeNW)+

ln_assets+

log(no_of_board_members/staffNo)+

log(no_of_branch_covered_city)+

log(operation_year)+

`RoA-1`+

log(staffNo),

data = bankFull, index = c("name","year"),

effect="twoways",na.action = na.omit,

model= "within")

# robust S.E.-----------

library(sandwich)

library(lmtest) # waldtest; see also coeftest.

library(stargazer)

# Adjust standard errors

cov1 <- vcovHC(FE1, type = "HC1")

robust_se <- sqrt(diag(cov1))

# Adjust F statistic

wald_results <- waldtest(FE1, vcov = cov1)

# show results. how can I get the F value?

stargazer(FE1, FE1, type = "text",

se = list(NULL, robust_se),

omit.stat = "f")

Secondly, as the code shown, I use stargazer to demonstrate the results. I also need the adjusted F value to be shown in the table. Is there any option in the package that I can use?

Answer

Use the development version of plm to get a robust F-test for your model (from https://r-forge.r-project.org/R/?group_id=406): Example:

```
data("Grunfeld", package = "plm")
mod_fe <- plm(inv ~ value + capital, data = Grunfeld, model = "within")
plm::Ftest(mod_fe, test = "F")
# with robust vcov
plm::Ftest(mod_fe, test = "F", .vcov = vcovHC(mod_fe))
plm::Ftest(mod_fe, test = "F", .vcov = function(x) vcovHC(x, type = "HC3"))
```

To feed the robust values (robust standard errors, t- and p-values, F-value associated p-value) use arguments
`se`

, `t`

, `p`

and for the F test simply `add.lines`

of the `stargazer`

command (and omit the F statistic generated by stargazer by default). Here is a full example for what you want: http://jakeruss.com/cheatsheets/stargazer.html (section "Robust standard errors (replicating Stata’s robust option)").

Source (Stackoverflow)