pFtest function

F Test for Individual and/or Time Effects

Test of individual and/or time effects based on the comparison of the within and the pooling model.

pFtest(x, ...)

## S3 method for class 'formula'
pFtest(x, data, ...)

## S3 method for class 'plm'
pFtest(x, z, ...)

Arguments

• x: an object of class "plm" or of class "formula",
• ...: further arguments.
• data: a data.frame,
• z: an object of class "plm",

Returns

An object of class "htest".

Details

For the plm method, the argument of this function is two plm

objects, the first being a within model, the second a pooling model. The effects tested are either individual, time or twoways, depending on the effects introduced in the within model.

Examples

data("Grunfeld", package="plm")
gp <- plm(inv ~ value + capital, data = Grunfeld, model = "pooling")
gi <- plm(inv ~ value + capital, data = Grunfeld,
          effect = "individual", model = "within")
gt <- plm(inv ~ value + capital, data = Grunfeld,
          effect = "time", model = "within")
gd <- plm(inv ~ value + capital, data = Grunfeld,
          effect = "twoways", model = "within")
pFtest(gi, gp)
pFtest(gt, gp)
pFtest(gd, gp)
pFtest(inv ~ value + capital, data = Grunfeld, effect = "twoways")

See Also

plmtest() for Lagrange multiplier tests of individuals and/or time effects.

Author(s)

Yves Croissant