用R进行面板数据（Panel Data）分析

示例

library(foreign)
library(plm)

BankData <- read.dta("http://www.obhrm.net/data/franzese.dta",  convert.factors=FALSE)

olsmodel2 <- lm(inf ~ cbilag1 + glag1 + tlag1 + flag1 + infalag1 + ulag1 + cwb, data=BankData, na.action=na.omit)
summary(olsmodel2)

pdim(BankData, index=c("ctry", "year"))

## Fixed effects model 固定效应模型

pmodel4 <- plm(inf ~ cbilag1 + glag1 + tlag1 + flag1 + infalag1 + ulag1 + cwb, data=BankData, index=c("ctry", "year"), na.action=na.omit, model="within")
summary(pmodel4)

## F test for fixed effects

pFtest(pmodel4,olsmodel2)

## Random effects model 随机效应模型

pmodel5 <- plm(inf ~ cbilag1 + glag1 + tlag1 + flag1 + infalag1 + ulag1 + cwb, data=BankData, index=c("ctry", "year"), na.action=na.omit, model="random")

## Crash because of negative estimated variance of individual effects

## Use different method of calculating variance of random effects
## random.method options only work on balanced panels

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")
summary(pmodel5)

## Breusch-Pagan test 

plmtest(pmodel5, effect="individual", type="bp")

## Hausman test  采用Hausman检验对固定效应模型、随机效应模型进行检验

phtest(pmodel4, pmodel5)

代码来源：http://www.polsci.ucsb.edu/faculty/glasgow/ps207/ps207_class1.r