Package pglm

February 20, 2015

Version 0.1-2
Date 2013-12-27
Title panel generalized linear model
Depends R (>= 2.10), maxLik, plm
Imports statmod
Suggests lmtest, car
Description Estimation of panel models for glm-like models: this includes binomial models (logit and probit) count models (poisson and negbin) and ordered models (logit and probit)
License GPL (>= 2)
URL http://www.r-project.org
Author Yves Croissant [aut, cre]
Maintainer Yves Croissant <[email protected]>
Repository CRAN
Repository/R-Forge/Project pglm
Repository/R-Forge/Revision 8
Repository/R-Forge/DateTimeStamp 2013-12-28 07:37:40
Date/Publication 2013-12-28 16:02:08
NeedsCompilation no

R topics documented:
Fairness .
HealthIns
PatsRD .
pglm . . .
Unions . .

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

Index

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

2
3
4
5
7
8

Fairness

Fairness

Perceived Fairness of Different Rules for Allocating Seats in Trains

and Parking Spaces

Description
401 individuals who answer 14 questions
number of observations : 5614
observation : Individuals
country : France
Usage
data(Fairness)
Format
A dataframe containing :
id the individual index,
answer a factor with levels 0 (very unfair), 1 (essentially unfair), 2 (essentially fair) and 3 (very
fair),
good one of 'tgv' (French fast train) and 'Parking',
rule the allocation rule, a factor with levels 'peak', 'admin', 'lottery', 'addsupply', 'queuing',
'moral' and 'compensation',
driving does the individual has the driving license ?
education does the individual has a diploma ?
recurring does the allocation problem is reccuring ?
Source
Raux C., Souche S. and Croissant Y., 2009, How fair is pricing to be? An empirical study, Public
Choice, vol. 139, 1, pp.227-240.
References
Raux C., Souche S. and Croissant Y., 2009, How fair is pricing to be? An empirical study, Public
Choice, vol. 139, 1, pp.227-240.

HealthIns

HealthIns

Health Insurance and Doctor Visits

Description
an unbalanced panel of 5908 individuals for 1 to 5 years
number of observations : 20186
observation : Individuals
country : United States
Usage
data(HealthIns)
Format
A dataframe containing :
id the individual index,
year the year,
med medical expenses,
mdu number of face-to face medical visits,
coins coinsurance rate,
disease count of chronic diseases,
sex a factor with level 'male' and 'female',
age the age,
size the size of the family,
child a factor with levels 'no' and 'yes'.
Source
Rand Health Insurance Experiment
References
Manning W. G., Newhouse J. P., Duan N., Keeler E. B. and Leibowitz A. (1987) : Health Insurance
and the Demand for Medical Care: Evidence from a Randomized Experiment, American Economic
Review, 77(3), pp. 251-277.
Deb P. and P. K. Trivedi (2002) : The structure of demand for medical care: latent class versus
two-part models, Journal of Health Economics, 21, pp. 601-625.
Cameron C. and P. K. Trivedi (2008) : Microeconometrics Using Stata, Stata Press.

PatsRD

PatsRD

Dynamic Relation Between Patents and R\&D

Description
a panel of 346 observations from 1970 to 1979
number of observations : 3460
observation : production units
country : United States
Usage
data(PatsRD)
Format
A dataframe containing :
cusip Compustats identifying number for the firm (Committee on Uniform Security Identification
Procedures number)
year year
ardsic a two-digit code for the applied R&D industrial classification (roughly that in Bound, Cummins, Griliches, Hall, and Jaffe, in the Griliches R&D, Patents, and Productivityvolume)
scisect is the firm in the scientific sector ?
logk the logarithm of the book value of capital in 1972.
sumpat the sum of patents applied for between 1972-1979.
logr the logarithm of R&D spending during the year (in 1972 dollars)
pat the number of patents applied for during the year that were eventually granted
Source
Hall, Bronwyn , Zvi Griliches and Jerry Hausman (1986) Patents and R&D: Is There a Lag?,
International Economic Review, 27, 265-283.
References
Cameron, A.C. and Trivedi P.K. (1998) Regression analysis of count data, Cambridge University
Press, http://cameron.econ.ucdavis.edu/racd/racddata.html, chapter 9.
Cameron, A.C. and P.K. Trivedi (2005) Microeconometrics : methods and applications, Cambridge,
pp. 7925.

pglm

pglm

Panel Estimators for Generalized Linear Models

Description
Estimation by maximum likelihood of glm (binomial and Poisson) and glm-like models (Negbin
and ordered) on longitudinal data
Usage
pglm(formula, data, subset, na.action,
effect = c("individual", "time", "twoways"),
model = c("random", "pooling", "within", "between"),
family, other = NULL, index = NULL, start = NULL, R = 20,

...)

Arguments
formula

a symbolic description of the model to be estimated,

data

the data: a pdata.frame object or an ordinary data.frame,

subset

an optional vector specifying a subset of observations,

na.action

a function which indicates what should happen when the data contains NAs,

effect

the effects introduced in the model, one of "individual", "time" or "twoways",

model

one of "pooling", "within", "between", "random",,

family

the distribution to be used,

other

for developpers use only,

index

the index,

start

a vector of starting values,

the number of function evaluation for the gaussian quadrature method used,

...

further arguments.

Value
An object of class "pglm", a list with elements:
coefficients

the named vector of coefficients,

logLik

the value of the log-likelihood,

hessian

the hessian of the log-likelihood at convergence,

gradient

the gradient of the log-likelihood at convergence,

call

the matched call,

est.stat

some information about the estimation (time used, optimisation method),

freq

the frequency of choice,

residuals

the residuals,

pglm
fitted.values

the fitted values,

formula
the formula (a mFormula object),
expanded.formula
the formula (a formula object),
model

the model frame used,

index

the index of the choice and of the alternatives.

Author(s)
Yves Croissant
Examples
## an ordered probit example
data('Fairness', package = 'pglm')
Parking <- subset(Fairness, good == 'parking')
op <- pglm(as.numeric(answer) ~ education + rule,
Parking[1:105, ],
family = ordinal('probit'), R = 5, print.level = 3,
method = 'bfgs', index = 'id', model = "random")
## a binomial (logit) example
data('Unions', package = 'pglm')
anb <- pglm(union ~ wage + exper + rural, Unions, family = binomial('probit'),
model = "pooling", method = "bfgs", print.level = 3, R = 5)
## a gaussian example on unbalanced panel data
data(Hedonic, package = "plm")
ra <- pglm(mv ~ crim + zn + indus + nox + age + rm, Hedonic, family = gaussian,
model = "random", print.level = 3, method = "nr", index = "townid")
## some count data models
data("PatsRD", package="pglm")
la <- pglm(pat ~ lag(logr, 0:5) + scisect + logk + factor(year), PatsRD,
family = negbin, model = "within", print.level=3, method="nr",
index=c('cusip', 'year'))
la <- pglm(pat ~ lag(logr, 0:5) + scisect + logk + factor(year), PatsRD,
family = poisson, model = "pooling", index = c("cusip", "year"),
print.level = 0, method="nr")
## a tobit example
data("HealthIns", package="pglm")
HealthIns$med2 <- HealthIns$med / 1000
HealthIns2 <- HealthIns[-2209, ]
set.seed(2)
subs <- sample(1:20186, 200, replace = FALSE)
HealthIns2 <- HealthIns2[subs, ]
la <- pglm(med ~ mdu + disease + age, HealthIns2,
model = 'random', family = 'tobit', print.level = 0,
method = 'nr', R = 5)

Unions

Unions

Unions and Wages

Description
a balanced panel of 545 individuals for 8 years 1980 to 1987
number of observations : 4360
observation : Individuals
country : United States
Usage
data(Unions)
Format
A dataframe containing :
id the individual index,
year the year,
age the age,
exper the experience, computed as age - 6 - schooling,
union does the wage is set by collective bargaining,
married is the individual married ?
ethn one of 'black', 'hisp' and 'other',
disability does the individual has health disability ?
rural does the individual lives in a rural area ?
region the region, one of 'NorthEast', 'NothernCentral', 'South' and 'other',
wage hourly wage in US dollars,
sector one of 'agricultural', 'mining', 'construction', 'trade', 'transportation', 'finance',
'businessrepair', 'personalservice', 'entertainment', 'manufacturing', 'pro.rel.service',
'pub.admin',
occ one of 'proftech', 'manoffpro', 'sales', 'clerical', 'craftfor', 'operative', 'laborfarm',
'farmlabor', 'service'.
Source
National Longitudinal Survey (Youth Sample)
References
Vella F. and Verbeek M. (1998) Whose wages do unions raise ? A dynamic model of unionism and
wage rate determination for young men, Journal of Applied Economics, 13, pp.163-183.

Index
Topic datasets
Fairness, 2
HealthIns, 3
PatsRD, 4
Unions, 7
Topic regression
pglm, 5
Fairness, 2
HealthIns, 3
negbin (pglm), 5
ordinal (pglm), 5
PatsRD, 4
pglm, 5
Unions, 7