panelARパネルOLS回帰

Question

panelAR関数を使用してautoCorr = "none"およびpanelCorrMehotd = "none"に設定してパネルデータ回帰を実行すると、標準エラーに対してどのような修正が実行されていますか？私はそれがOLS回帰のものと等しいと思いますが、それらは少し異なります。あなたは自由cの度に設定する必要があります

require(panelAR) 

data(Rehm) 

tempFormula <- NURR ~ gini + selfemp + cum_right + tradeopen 

---

outPanelAR <- panelAR(tempFormula, data=Rehm, panelVar = "ccode", timeVar = "year", 
       autoCorr="none", 
       panelCorrMethod="none") 

summary(outPanelAR) 

---

Panel Regression with no autocorrelation and homoskedastic variance 

Unbalanced Panel Design:            
Total obs.:  75 Avg obs. per panel 3.75 
Number of panels: 20 Max obs. per panel 4 
Number of times: 4 Min obs. per panel 1 

Coefficients: 
       Estimate Std. Error t value Pr(>|t|)  
(Intercept) 109.498372 4.066262 26.929 < 2e-16 *** 
gini   -1.987204 0.167623 -11.855 < 2e-16 *** 
selfemp  0.288386 0.098038 2.942 0.004424 ** 
cum_right -0.014059 0.002393 -5.875 1.3e-07 *** 
tradeopen  0.080068 0.019576 4.090 0.000114 *** 
--- 
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 

R-squared: 0.7123 
Wald statistic: 185.7221, Pr(>Chisq(4)): 0 

---

outLM <- lm(tempFormula, data=Rehm) 

summary(outLM) 

---

Call: 
lm(formula = tempFormula, data = Rehm) 

Residuals: 
    Min  1Q Median  3Q  Max 
-13.4097 -4.0381 0.3117 4.1815 13.8443 

Coefficients: 
       Estimate Std. Error t value Pr(>|t|)  
(Intercept) 109.498372 4.208981 26.015 < 2e-16 *** 
gini   -1.987204 0.173506 -11.453 < 2e-16 *** 
selfemp  0.288386 0.101479 2.842 0.005872 ** 
cum_right -0.014059 0.002477 -5.676 2.89e-07 *** 
tradeopen  0.080068 0.020263 3.951 0.000183 *** 
--- 
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 

Residual standard error: 6.054 on 70 degrees of freedom 
Multiple R-squared: 0.7123, Adjusted R-squared: 0.6959 
F-statistic: 43.34 on 4 and 70 DF, p-value: < 2.2e-16 

Answer 1

同じ結果を得るためにTRUEに転任する：

outPanelAR2 <- panelAR(tempFormula, data=Rehm, panelVar = "ccode", timeVar = "year", 
       autoCorr="none", 
       panelCorrMethod="none", 
       dof.correction = TRUE) 
summary(outPanelAR2) 

Panel Regression with no autocorrelation and homoskedastic variance 

Unbalanced Panel Design:            
Total obs.:  75 Avg obs. per panel 3.75 
Number of panels: 20 Max obs. per panel 4 
Number of times: 4 Min obs. per panel 1 

Coefficients: 
          Estimate    Std. Error    t value Pr(>|t|)  
(Intercept) 109.4983720122888115611 4.2089806065126253998 26.0154099999999993 < 2.22e-16 *** 
gini   -1.9872037111259028830 0.1735058460730489749 -11.4532399999999992 < 2.22e-16 *** 
selfemp  0.2883855296759073594 0.1014792385556597121 2.8418199999999998 0.00587203 ** 
cum_right -0.0140594458309947108 0.0024770526774808253 -5.6758800000000003 2.8949e-07 *** 
tradeopen  0.0800681086902131078 0.0202628791182291289 3.9514700000000000 0.00018318 *** 
--- 
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.050000000000000003 ‘.’ 0.10000000000000001 ‘ ’ 1 

R-squared: 0.7123 
Wald statistic: 173.3406, Pr(>Chisq(4)): 0