Econometric Analysis

Posted 2021-03-09 amosding

##  Econometric Analysis ##
install.packages("wooldridge")
library(wooldridge);
library(glm2);
library(mlogit);library(MASS)

# 2. Basic method #####
## 2.1 logistic regression ####
data("mroz")
?mroz
mod = glm2(inlf ~ nwifeinc + educ + exper + expersq + age + kidslt6 + kidsge6, family=binomial(link = "logit"), data =mroz); 
summary(mod)
coef = summary(mod)$coefficients


## 2.2 multinomial model ####
data("Fishing", package = "mlogit")
Fish <- mlogit.data(Fishing, varying = c(2:9), shape = "wide", choice = "mode")

## a pure "conditional" model
summary(mlogit(mode ~ price + catch, data = Fish))
## a pure "multinomial model"
summary(mlogit(mode ~ 0 | income, data = Fish))

## which can also be estimated using multinom (package nnet)
library("nnet")
summary(multinom(mode ~ income, data = Fishing))
## a "mixed" model
m <- mlogit(mode ~ price+ catch | income, data = Fish)
summary(m)

## same model with charter as the reference level
m <- mlogit(mode ~ price+ catch | income, data = Fish, reflevel = "charter")
## same model with a subset of alternatives : charter, pier, beach
m <- mlogit(mode ~ price+ catch | income, data = Fish, alt.subset = c("charter", "pier", "beach"))


## 2.3 poisson regresson
data(crabs)
satellites <- crabs$Satellites
width.shifted <- crabs$Width - min(crabs$Width)
dark <- crabs$Dark
goodspine <- crabs$GoodSpine
fit1 <- glm(satellites ~ width.shifted + factor(dark) + factor(goodspine),family = poisson(link="identity"), start = rep(1,4))
fit2 <- glm2(satellites ~ width.shifted + factor(dark) + factor(goodspine), family = poisson(link="identity"), start = rep(1,4))
fit1.eq <- glm2(satellites ~ width.shifted + factor(dark) + factor(goodspine),family = poisson(link="identity"), start = rep(1,4), method = "glm.fit")

## 2.4 negative regression
fit3 <- glm.nb(satellites ~ width.shifted + factor(dark) + factor(goodspine))
coef = summary(fit3)$coefficients


## 2.5 Tobit regression
library(survival)
# Economists fit a model called `tobit regression‘, which is a standard
# linear regression with Gaussian errors, and left censored data.
tobinfit <- survreg(Surv(durable, durable>0, type=‘left‘) ~ age + quant,data=tobin, dist=‘gaussian‘)
tt = summary(tobinfit)
coef = summary(tobinfit)$coefficients


## 2.6 two stage model
library(sampleSelection)
## Estimate a simple female wage model taking into account the labour
## force participation
data(Mroz87)
a <- heckit(lfp ~ huswage + kids5 + mtr + fatheduc + educ + city,  log(wage) ~ educ + city, data=Mroz87)
## extract all coefficients of the model:
coef( a )
## now extract the coefficients of the outcome model only:
coef( a, part="outcome")
## extract all coefficients, standard errors, t-values
## and p-values of the model:
coef( summary( a ) )
## now extract the coefficients, standard errors, t-values
## and p-values of the outcome model only:
coef( summary( a ), part="outcome")





## 2.7 Multilevel Model 
## linear mixed models - reference values from older code
library(lme4)
library(mlmRev)
data(Exam);names(Exam)
### null-model
mod = lmer(normexam ~ 1 + (1 | school), data=Exam)
summary(mod)

### random intercept, fixed predictor in individual level
mod = lmer(normexam ~ schavg + (1 | school), data=Exam)
summary(mod)

### random intercept, random slope
mod = lmer(normexam ~ standLRT + (standLRT | school), data=Exam, method="ML")
summary(mod)

### random intercept, individual and group level predictor
mod = lmer(normexam ~ standLRT + schavg + (1 + standLRT | school), data=Exam)
summary(mod)

### random intercept, cross-level interaction
mod = lmer(normexam ~ standLRT * schavg + (1 + standLRT | school), data=Exam)
summary(mod)


## 2.7 survival regression
# Fit an exponential model: the two fits are the same
library(survival)
mod = survreg(Surv(futime, fustat) ~ ecog.ps + rx, ovarian, dist=‘weibull‘,  scale=1)
mod = survreg(Surv(futime, fustat) ~ ecog.ps + rx, ovarian, dist="exponential")
# A model with different baseline survival shapes for two groups, i.e.,
# two different scale parameters
data(lung)
mod = survreg(Surv(time, status) ~ ph.ecog + age + strata(sex),  dist="exponential",data= lung)
summary(mod)

#### cox model
# Create the simplest test data set
test1 <- list(time=c(4,3,1,1,2,2,3), status=c(1,1,1,0,1,1,0), x=c(0,2,1,1,1,0,0), sex=c(0,0,0,0,1,1,1))
# Fit a stratified model
test2 = coxph(Surv(time, status) ~ x + strata(sex), test1)


### frailty model
library(frailtypack)
###--- COX proportional hazard model (SHARED without frailties) ---###
###--- estimated with penalized likelihood ---###
data(kidney)
frailtyPenal(Surv(time,status)~sex+age, n.knots=12,kappa=10000,data=kidney)
###--- Shared Frailty model ---###
frailtyPenal(Surv(time,status)~cluster(id)+sex+age,  n.knots=12,kappa=10000,data=kidney)
#-- stratified analysis
data(readmission)
frailtyPenal(Surv(time,event)~cluster(id)+dukes+strata(sex), n.knots=10,kappa=c(10000,10000),data=readmission)


### competing risk
library(cmprsk)
# simulated data to test
set.seed(10)
ftime <- rexp(200)
fstatus <- sample(0:2,200,replace=TRUE)
cov <- matrix(runif(600),nrow=200)
dimnames(cov)[[2]] <- c(‘x1‘,‘x2‘,‘x3‘)
z <- crr(ftime,fstatus,cov, failcode=2, cencode=0)
summary(z)

### mutliple state model
library(mstate)
data("ebmt4")
ebmt = ebmt4
tmat <- transMat(x = list(c(2, 3, 5, 6), c(4, 5, 6), c(4, 5, 6), c(5, 6),
                          c(), c()), names = c("Tx", "Rec", "AE", "Rec+AE", "Rel", "Death"))
tmat
msebmt <- msprep(data = ebmt, trans = tmat, time = c(NA, "rec", "ae", "recae", "rel", "srv"), 
                 status = c(NA, "rec.s", "ae.s", "recae.s", "rel.s", "srv.s"), keep = c("match", "proph", "year", "agecl"))
events(msebmt)
covs <- c("match", "proph", "year", "agecl")
msebmt <- expand.covs(msebmt, covs, longnames = FALSE)
msebmt[msebmt$id == 1, -c(9, 10, 12:48, 61:84)]
msebmt[, c("Tstart", "Tstop", "time")] <- msebmt[, c("Tstart", "Tstop", "time")]/365.25

c0 <- coxph(Surv(Tstart, Tstop, status) ~ strata(trans), data = msebmt, method = "breslow")
msf0 <- msfit(object = c0, vartype = "greenwood", trans = tmat)
pt0 <- probtrans(msf0, predt = 0, method = "greenwood")
summary(pt0, from = 1)





# 4. Pandel Data
## 4.1 
# Several models can be estimated with plm by filling the model argument:
#   the fixed effects model ("within"),
# the pooling model ("pooling"),
# the first-difference model ("fd"),
# the between model ("between"),
# the error components model ("random").


library("plm")   ## https://cran.r-project.org/web/packages/plm/vignettes/plmPackage.html
data("Grunfeld", package="plm")
head(Grunfeld)

grun.fe <- plm(inv~value+capital, data = Grunfeld, model = "within");  ## fixed effect 
summary(grun.fe)
fixef(grun.fe, type = "dmean")
summary(fixef(grun.fe, type = "dmean"))

grun.re <- plm(inv~value+capital, data = Grunfeld, model = "random");  ## random effect
summary(grun.re)

## Hausman test
gw <- plm(inv~value+capital, data=Grunfeld, model="within")
gr <- plm(inv~value+capital, data=Grunfeld, model="random")
phtest(gw, gr)


grun.twfe <- plm(inv~value+capital, data=Grunfeld, model="within", effect="twoways")
tt = fixef(grun.twfe, type = "dmean"); ## effect = "time"
summary(tt)

### Variable coefficients model
data("Gasoline", package = "plm")
form <- lgaspcar ~ lincomep + lrpmg + lcarpcap
gasw <- plm(form, data = Gasoline, model = "within")
gasp <- plm(form, data = Gasoline, model = "pooling")
gasnp <- pvcm(form, data = Gasoline, model = "within")
pooltest(gasw, gasnp)
pooltest(gasp, gasnp)
pooltest(form, data = Gasoline, effect = "individual", model = "within")
pooltest(form, data = Gasoline, effect = "individual", model = "pooling")