当你执行你的代码时,请注意线性模型中存在缺失的观测值:
> summary(charter.model)
Call:
lm(formula = naep ~ factor(year) + factor(state) + treatment,
data = charter)
Residuals:
Min 1Q Median 3Q Max
-15.2420 -1.6740 -0.2024 1.8345 12.3580
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 250.4983 1.2115 206.767 < 2e-16 ***
factor(year)1992 3.7970 0.7198 5.275 2.17e-07 ***
factor(year)1996 7.0436 0.8607 8.183 3.64e-15 ***
[..]
Residual standard error: 3.128 on 404 degrees of freedom
(759 observations deleted due to missingness)
Multiple R-squared: 0.9337, Adjusted R-squared: 0.9239
F-statistic: 94.85 on 60 and 404 DF, p-value: < 2.2e-16
这就是导致你看到的错误信息
Error in tapply(x, cluster1, sum) : arguments must have same length
的原因。
在
cl(dat=charter, fm=charter.model, cluster=charter$state)
中,簇变量
charter$state
应该与回归估计中有效使用的观测数完全相同(由于NAs的存在,这与原始数据框中的行数不同)。
为了解决这个问题,您可以执行以下操作。
First off you're using an older version of Arai's function (cl
) (see Fama-MacBeth and Cluster-Robust (by Firm and Time) Standard Errors in R for references to both the old or the new versions, the latter being called clx
).
Second I think Arai's original approach to this function is a bit convoluted, and doesn't really follow the standard interface of vcov*
functions from sandwich
. That's why I came with a slightly modified version of clx
. I made the code a bit more readable, and the interface more like what you would expect from a sandwich
vcov*
function:
vcovCL <- function(x, cluster.by, type="sss", dfcw=1){
require(sandwich)
cluster <- cluster.by
M <- length(unique(cluster))
N <- length(cluster)
stopifnot(N == length(x$residuals))
K <- x$rank
stopifnot(type=="sss")
if(type=="sss"){
dfc <- (M/(M-1))*((N-1)/(N-K))
}
uj <- apply(estfun(x), 2, function(y) tapply(y, cluster, sum))
mycov <- dfc * sandwich(x, meat=crossprod(uj)/N) * dfcw
return(mycov)
}
如果您在数据上尝试此功能,您将看到它捕获了这个特定的问题:
> coeftest(charter.model, vcov=function(x) vcovCL(x, charter$state))
Error: N == length(x$residuals) is not TRUE
为避免此问题,您可以按照以下步骤进行:
> charter.x <- na.omit(charter[ , c("state",
all.vars(formula(charter.model)))])
> coeftest(charter.model, vcov=function(x) vcovCL(x, charter.x$state))
t test of coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 2.5050e+02 9.3781e-01 2.6711e+02 < 2.2e-16 ***
factor(year)1992 3.7970e+00 5.6019e-01 6.7780e+00 4.330e-11 ***
factor(year)1996 7.0436e+00 8.8574e-01 7.9522e+00 1.856e-14 ***
factor(year)2000 8.4313e+00 1.0906e+00 7.7311e+00 8.560e-14 ***
factor(year)2003 1.2392e+01 1.1670e+00 1.0619e+01 < 2.2e-16 ***
factor(year)2005 1.3490e+01 1.1747e+00 1.1484e+01 < 2.2e-16 ***
factor(year)2007 1.6334e+01 1.2469e+00 1.3100e+01 < 2.2e-16 ***
factor(year)2009 1.8118e+01 1.2556e+00 1.4430e+01 < 2.2e-16 ***
factor(year)2011 1.9110e+01 1.3459e+00 1.4199e+01 < 2.2e-16 ***
factor(year)2013 1.9301e+01 1.4896e+00 1.2957e+01 < 2.2e-16 ***
factor(state)Alaska 1.4178e+01 8.7686e-01 1.6169e+01 < 2.2e-16 ***
factor(state)Arizona 8.6313e+00 8.1439e-01 1.0598e+01 < 2.2e-16 ***
factor(state)Arkansas 4.3313e+00 8.1439e-01 5.3185e+00 1.736e-07 ***
factor(state)California 3.1103e+00 9.1619e-01 3.3948e+00 0.0007549 ***
factor(state)Colorado 1.7939e+01 7.9736e-01 2.2498e+01 < 2.2e-16 ***
factor(state)Connecticut 1.8031e+01 8.1439e-01 2.2141e+01 < 2.2e-16 ***
factor(state)D.C. -1.8369e+01 8.1439e-01 -2.2555e+01 < 2.2e-16 ***
factor(state)Delaware 1.2050e+01 7.9736e-01 1.5113e+01 < 2.2e-16 ***
factor(state)Florida 7.3838e+00 7.9736e-01 9.2602e+00 < 2.2e-16 ***
factor(state)Georgia 6.4313e+00 8.1439e-01 7.8971e+00 2.724e-14 ***
factor(state)Hawaii 3.3313e+00 8.1439e-01 4.0906e+00 5.196e-05 ***
factor(state)Idaho 1.7118e+01 7.8321e-01 2.1857e+01 < 2.2e-16 ***
factor(state)Illinois 1.2670e+01 8.2224e-01 1.5409e+01 < 2.2e-16 ***
factor(state)Indianna 1.7174e+01 6.1079e-01 2.8117e+01 < 2.2e-16 ***
factor(state)Iowa 2.0074e+01 6.8460e-01 2.9322e+01 < 2.2e-16 ***
factor(state)Kansas 2.0123e+01 8.6796e-01 2.3184e+01 < 2.2e-16 ***
factor(state)Kentucky 1.0200e+01 4.1999e-14 2.4287e+14 < 2.2e-16 ***
factor(state)Louisiana -1.6866e-01 8.1439e-01 -2.0710e-01 0.8360322
factor(state)Maine 2.0231e+01 1.7564e-01 1.1518e+02 < 2.2e-16 ***
factor(state)Maryland 1.4274e+01 6.1079e-01 2.3369e+01 < 2.2e-16 ***
factor(state)Massachusetts 2.4868e+01 8.3960e-01 2.9619e+01 < 2.2e-16 ***
factor(state)Michigan 1.2031e+01 8.1439e-01 1.4773e+01 < 2.2e-16 ***
factor(state)Minnesota 2.5110e+01 9.1619e-01 2.7407e+01 < 2.2e-16 ***
factor(state)Mississippi -3.5470e+00 1.7564e-01 -2.0195e+01 < 2.2e-16 ***
factor(state)Missouri 1.3447e+01 7.2706e-01 1.8495e+01 < 2.2e-16 ***
factor(state)Montana 2.2512e+01 8.4814e-01 2.6543e+01 < 2.2e-16 ***
factor(state)Nebraska 1.9600e+01 4.3105e-14 4.5471e+14 < 2.2e-16 ***
factor(state)Nevada 4.9800e+00 8.6796e-01 5.7375e+00 1.887e-08 ***
factor(state)New Hampshire 2.2026e+01 7.6338e-01 2.8853e+01 < 2.2e-16 ***
factor(state)New Jersey 2.0651e+01 7.6338e-01 2.7052e+01 < 2.2e-16 ***
factor(state)New Mexico 1.5313e+00 8.1439e-01 1.8803e+00 0.0607809 .
factor(state)New York 1.2152e+01 7.1259e-01 1.7054e+01 < 2.2e-16 ***
factor(state)North Carolina 1.2231e+01 8.1439e-01 1.5019e+01 < 2.2e-16 ***
factor(state)North Dakota 2.4278e+01 1.0420e-01 2.3299e+02 < 2.2e-16 ***
factor(state)Ohio 1.7118e+01 7.8321e-01 2.1857e+01 < 2.2e-16 ***
factor(state)Oklahoma 8.4518e+00 7.8321e-01 1.0791e+01 < 2.2e-16 ***
factor(state)Oregon 1.6535e+01 7.3538e-01 2.2486e+01 < 2.2e-16 ***
factor(state)Pennsylvania 1.6651e+01 7.6338e-01 2.1812e+01 < 2.2e-16 ***
factor(state)Rhode Island 9.5313e+00 8.1439e-01 1.1704e+01 < 2.2e-16 ***
factor(state)South Carolina 9.5346e+00 8.3960e-01 1.1356e+01 < 2.2e-16 ***
factor(state)South Dakota 2.1211e+01 3.5103e-01 6.0425e+01 < 2.2e-16 ***
factor(state)Tennessee 4.9148e+00 6.1473e-01 7.9951e+00 1.375e-14 ***
factor(state)Texas 1.4231e+01 8.1439e-01 1.7475e+01 < 2.2e-16 ***
factor(state)Utah 1.5114e+01 7.2706e-01 2.0787e+01 < 2.2e-16 ***
factor(state)Vermont 2.3474e+01 2.0299e-01 1.1564e+02 < 2.2e-16 ***
factor(state)Virginia 1.6252e+01 7.1259e-01 2.2807e+01 < 2.2e-16 ***
factor(state)Washington 1.9073e+01 1.8183e-01 1.0489e+02 < 2.2e-16 ***
factor(state)West Virginia 5.0000e+00 4.2022e-14 1.1899e+14 < 2.2e-16 ***
factor(state)Wisconsin 1.9994e+01 8.2447e-01 2.4251e+01 < 2.2e-16 ***
factor(state)Wyoming 1.8231e+01 8.1439e-01 2.2386e+01 < 2.2e-16 ***
treatment 1.2108e+00 1.0180e+00 1.1894e+00 0.2349682
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
虽然不是很好,但它能完成任务。现在cl
也可以正常工作,并产生与上述相同的结果:
cl(dat=charter, fm=charter.model, cluster=charter.x$state)
更好的方法是使用
multiwayvcov
包。根据该包的
网站介绍,它是对 Arai 代码的改进之一。改进包括:透明地处理由于缺失而删除的观测值。使用具有模拟NA的 Petersen 数据和
cluster.vcov()
函数:
library("lmtest")
library("multiwayvcov")
data(petersen)
set.seed(123)
petersen[ sample(1:5000, 15), 3] <- NA
m1 <- lm(y ~ x, data = petersen)
summary(m1)
coeftest(m1, vcov=function(x) cluster.vcov(x, petersen$firmid))
如果您想使用plm
包进行另一种方法,请参见:
multiwayvcov
包。 - landroni