Comments (5)
bashtage
commented on August 10, 2024
1
If you copy the file here https://www.wiley.com/legacy/wileychi/baltagi/supp/Gasoline.dat to the clipboard, and then run:
import pandas as pd
df = pd.read_clipboard()
df2 = df.set_index(["COUNTRY","YEAR"])
df2["CONST"]=1
y=df2.LGASPCAR
x = df2[["CONST","LINCOMEP", 'LRPMG', 'LCARPCAP']]
res = lm.RandomEffects(y,x).fit()
print(res) RandomEffects Estimation Summary
================================================================================
Dep. Variable: LGASPCAR R-squared: 0.8293
Estimator: RandomEffects R-squared (Between): 0.7099
No. Observations: 342 R-squared (Within): 0.8363
Date: Tue, Sep 26 2023 R-squared (Overall): 0.7309
Time: 17:19:27 Log-likelihood 320.02
Cov. Estimator: Unadjusted
F-statistic: 547.40
Entities: 18 P-value 0.0000
Avg Obs: 19.000 Distribution: F(3,338)
Min Obs: 19.000
Max Obs: 19.000 F-statistic (robust): 547.40
P-value 0.0000
Time periods: 19 Distribution: F(3,338)
Avg Obs: 18.000
Min Obs: 18.000
Max Obs: 18.000
Parameter Estimates
==============================================================================
Parameter Std. Err. T-stat P-value Lower CI Upper CI
------------------------------------------------------------------------------
CONST 1.9967 0.1843 10.832 0.0000 1.6341 2.3593
LINCOMEP 0.5550 0.0591 9.3861 0.0000 0.4387 0.6713
LRPMG -0.4204 0.0400 -10.515 0.0000 -0.4990 -0.3418
LCARPCAP -0.6068 0.0255 -23.784 0.0000 -0.6570 -0.5567
Constants, and any other variables, have to be explicitly added, unlike some other software. This is by design and consistent with the philosophy of Python - explicit is better than implicit.
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bashtage
commented on August 10, 2024
1
I've closed this since the code appears to be working as expected.
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bashtage
commented on August 10, 2024
Are you sure you are not doing something incorrectly? LM is directly tested against stata and produces the same results (at with the same as Stata 13, but RE is so old, unlikely to change).
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brianferrell787
commented on August 10, 2024
Here are results from Python, STATA, and from a page in a Econ book:
STATA
Copy of page 21 of Badi Baltagi's text Econometric Analysis of Panel Data showing the results of different RE specifications.
Python
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bashtage
commented on August 10, 2024
What if you include a constant in your model?
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