0

我有一个pdata.frame来自 plm 库的 df 格式:

library(plm)

   head(df) :  

       Company Year Kapitalinkomster Bank.o.kassa
3-1920       3 1920         1.388520    0.5520765
3-1921       3 1921         1.251319    0.6952595
3-1922       3 1922         1.001186    0.9812447
3-1923       3 1923         1.056346    1.4212759
3-1924       3 1924         1.451935    0.9596924
3-1925       3 1925         1.435478    0.2283118

dim(df) :
[1] 1196    4


str(df) :
Classes ‘pdata.frame’ and 'data.frame': 1196 obs. of  4 variables:
 $ Company         : Factor w/ 42 levels "3","4","5","6",..: 1 1 1 1 1 1 1 1 1 1 ...
  ..- attr(*, "index")='data.frame':    1196 obs. of  2 variables:
  .. ..$ Company: Factor w/ 42 levels "3","4","5","6",..: 1 1 1 1 1 1 1 1 1 1 ...
  .. ..$ Year   : Factor w/ 62 levels "1887","1888",..: 34 35 36 37 38 39 40 41 42 43 ...
  ..- attr(*, "names")= chr  "3-1920" "3-1921" "3-1922" "3-1923" ...
 $ Year            : Factor w/ 62 levels "1887","1888",..: 34 35 36 37 38 39 40 41 42 43 ...
  ..- attr(*, "index")='data.frame':    1196 obs. of  2 variables:
  .. ..$ Company: Factor w/ 42 levels "3","4","5","6",..: 1 1 1 1 1 1 1 1 1 1 ...
  .. ..$ Year   : Factor w/ 62 levels "1887","1888",..: 34 35 36 37 38 39 40 41 42 43 ...
  ..- attr(*, "names")= chr  "3-1920" "3-1921" "3-1922" "3-1923" ...
 $ Kapitalinkomster:Classes 'pseries', 'numeric'  atomic [1:1196] 1.39 1.25 1 1.06 1.45 ...
  .. ..- attr(*, "index")='data.frame': 1196 obs. of  2 variables:
  .. .. ..$ Company: Factor w/ 42 levels "3","4","5","6",..: 1 1 1 1 1 1 1 1 1 1 ...
  .. .. ..$ Year   : Factor w/ 62 levels "1887","1888",..: 34 35 36 37 38 39 40 41 42 43 ...
 $ Bank.o.kassa    :Classes 'pseries', 'numeric'  atomic [1:1196] 0.552 0.695 0.981 1.421 0.96 ...
  .. ..- attr(*, "index")='data.frame': 1196 obs. of  2 variables:
  .. .. ..$ Company: Factor w/ 42 levels "3","4","5","6",..: 1 1 1 1 1 1 1 1 1 1 ...
  .. .. ..$ Year   : Factor w/ 62 levels "1887","1888",..: 34 35 36 37 38 39 40 41 42 43 ...
 - attr(*, "index")='data.frame':   1196 obs. of  2 variables:
  ..$ Company: Factor w/ 42 levels "3","4","5","6",..: 1 1 1 1 1 1 1 1 1 1 ...
  ..$ Year   : Factor w/ 62 levels "1887","1888",..: 34 35 36 37 38 39 40 41 42 43 ...

我尝试做一个两步动态随机面板数据模型,如 plm tutorial pdf on page 23: plm vignette

dynamicrandom=pgmm(Kapitalinkomster~lag(Kapitalinkomster,1)+Bank.o.kassa|lag(Kapitalinkomster,2:99),
                   data=df,effect="twoways",model="twosteps")

然后我得到这个error

Error in solve.default(Reduce("+", A1)) : 
  system is computationally singular: reciprocal condition number = 8.46296e-2

traceback()
3: solve.default(Reduce("+", A1))
2: solve(Reduce("+", A1))
1: pgmm(Kapitalinkomster ~ lag(Kapitalinkomster, 1) + Bank.o.kassa | 
       lag(Kapitalinkomster, 2:99), data = datapd, effect = "individual", 
       model = "twosteps")

我觉得很奇怪。

如果我尝试pgmm使用较小的数据集运行,其中所有“不必要的”变量都被删除,

dim(ph)
[1] 300   4

rownames(ph)=NULL

head(ph)
  Company Year Kapitalinkomster Bank.o.kassa
1       3 1920         1.388520    0.5520765
2       3 1921         1.251319    0.6952595
3       3 1922         1.001186    0.9812447
4       3 1923         1.056346    1.4212759
5       3 1924         1.451935    0.9596924
6       3 1925         1.435478    0.2283118

我得到错误

Error in yX[[1]] : subscript out of bounds
In addition: Warning message:
In `[.data.frame`(index, as.numeric(rownames(mf)), ) :
  NAs introduced by coercion

有人知道为什么pgmm不为我工作吗?

这是

    dput(df[1:60,])
structure(list(Company = structure(c(1L, 1L, 1L, 1L, 1L, 1L, 
1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 2L, 2L, 2L, 2L, 2L, 
2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 
2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 
2L, 2L, 2L, 2L, 2L, 2L), .Names = c("3-1920", "3-1921", "3-1922", 
"3-1923", "3-1924", "3-1925", "3-1926", "3-1927", "3-1928", "3-1929", 
"3-1930", "3-1931", "3-1932", "3-1933", "3-1934", "3-1935", "3-1936", 
"4-1887", "4-1888", "4-1889", "4-1890", "4-1891", "4-1892", "4-1893", 
"4-1894", "4-1895", "4-1896", "4-1897", "4-1898", "4-1899", "4-1900", 
"4-1901", "4-1902", "4-1903", "4-1904", "4-1905", "4-1906", "4-1907", 
"4-1908", "4-1909", "4-1910", "4-1911", "4-1912", "4-1913", "4-1914", 
"4-1915", "4-1916", "4-1917", "4-1918", "4-1919", "4-1920", "4-1921", 
"4-1922", "4-1923", "4-1924", "4-1925", "4-1926", "4-1927", "4-1928", 
"4-1929"), .Label = c("3", "4", "5", "6", "10", "12", "14", "19", 
"20", "21", "25", "26", "29", "33", "34", "35", "40", "43", "45", 
"46", "47", "48", "49", "57", "58", "59", "60", "62", "64", "65", 
"68", "69", "71", "72", "73", "74", "76", "77", "79", "80", "83", 
"84"), class = c("pseries", "factor")), Year = structure(c(34L, 
35L, 36L, 37L, 38L, 39L, 40L, 41L, 42L, 43L, 44L, 45L, 46L, 47L, 
48L, 49L, 50L, 1L, 2L, 3L, 4L, 5L, 6L, 7L, 8L, 9L, 10L, 11L, 
12L, 13L, 14L, 15L, 16L, 17L, 18L, 19L, 20L, 21L, 22L, 23L, 24L, 
25L, 26L, 27L, 28L, 29L, 30L, 31L, 32L, 33L, 34L, 35L, 36L, 37L, 
38L, 39L, 40L, 41L, 42L, 43L), .Names = c("3-1920", "3-1921", 
"3-1922", "3-1923", "3-1924", "3-1925", "3-1926", "3-1927", "3-1928", 
"3-1929", "3-1930", "3-1931", "3-1932", "3-1933", "3-1934", "3-1935", 
"3-1936", "4-1887", "4-1888", "4-1889", "4-1890", "4-1891", "4-1892", 
"4-1893", "4-1894", "4-1895", "4-1896", "4-1897", "4-1898", "4-1899", 
"4-1900", "4-1901", "4-1902", "4-1903", "4-1904", "4-1905", "4-1906", 
"4-1907", "4-1908", "4-1909", "4-1910", "4-1911", "4-1912", "4-1913", 
"4-1914", "4-1915", "4-1916", "4-1917", "4-1918", "4-1919", "4-1920", 
"4-1921", "4-1922", "4-1923", "4-1924", "4-1925", "4-1926", "4-1927", 
"4-1928", "4-1929"), .Label = c("1887", "1888", "1889", "1890", 
"1891", "1892", "1893", "1894", "1895", "1896", "1897", "1898", 
"1899", "1900", "1901", "1902", "1903", "1904", "1905", "1906", 
"1907", "1908", "1909", "1910", "1911", "1912", "1913", "1914", 
"1915", "1916", "1917", "1918", "1919", "1920", "1921", "1922", 
"1923", "1924", "1925", "1926", "1927", "1928", "1929", "1930", 
"1931", "1932", "1933", "1934", "1935", "1936", "1937", "1938", 
"1939", "1940", "1941", "1942", "1943", "1944", "1945", "1946", 
"1947", "1948"), class = c("pseries", "factor")), Kapitalinkomster = structure(c(1.3885195254922, 
1.25131942960191, 1.00118642574671, 1.05634611761787, 1.45193473728394, 
1.43547824494178, 1.38055601480859, 1.34933328550615, 1.28899624736276, 
0.76598077860797, 0.655935113492874, 0.774737637154851, 1.25108435851729, 
1.47671292146985, 1.34370424443801, 1.32632101821461, 1.51421133098558, 
1.26164769097955, 0.955087391528799, 1.12112930644918, 6.97097381553989, 
7.79692376727096, 6.75239407150735, 2.08849093781665, 2.59292961541875, 
3.11050340941574, 2.96014979405135, 5.52806493525727, 4.2921092782187, 
4.6719464983905, 3.83041286491572, 4.07770060833387, 4.25073315665221, 
4.3909964974014, 4.11259760549932, 4.28222569526617, 3.79412435277674, 
4.01135863256581, 4.3810637384393, 4.45988129747339, 4.44638766670966, 
4.09501035463032, 4.71990150360464, 4.67768296668679, 4.4802955128012, 
5.04020000347546, 5.12446555871404, 4.75796798559771, 7.5561386506949, 
4.88420437113848, 4.84541975371883, 5.18996412420159, 5.17554303094439, 
5.39663296271381, 5.61129389005161, 5.33778018090439, 5.49889317435039, 
5.24776724759386, 4.83822195731842, 4.90661955903865), .Names = c("3-1920", 
"3-1921", "3-1922", "3-1923", "3-1924", "3-1925", "3-1926", "3-1927", 
"3-1928", "3-1929", "3-1930", "3-1931", "3-1932", "3-1933", "3-1934", 
"3-1935", "3-1936", "4-1887", "4-1888", "4-1889", "4-1890", "4-1891", 
"4-1892", "4-1893", "4-1894", "4-1895", "4-1896", "4-1897", "4-1898", 
"4-1899", "4-1900", "4-1901", "4-1902", "4-1903", "4-1904", "4-1905", 
"4-1906", "4-1907", "4-1908", "4-1909", "4-1910", "4-1911", "4-1912", 
"4-1913", "4-1914", "4-1915", "4-1916", "4-1917", "4-1918", "4-1919", 
"4-1920", "4-1921", "4-1922", "4-1923", "4-1924", "4-1925", "4-1926", 
"4-1927", "4-1928", "4-1929")), Aktiebolag = structure(c(0L, 
0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 
0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 
0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 
0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L), .Names = c("3-1920", 
"3-1921", "3-1922", "3-1923", "3-1924", "3-1925", "3-1926", "3-1927", 
"3-1928", "3-1929", "3-1930", "3-1931", "3-1932", "3-1933", "3-1934", 
"3-1935", "3-1936", "4-1887", "4-1888", "4-1889", "4-1890", "4-1891", 
"4-1892", "4-1893", "4-1894", "4-1895", "4-1896", "4-1897", "4-1898", 
"4-1899", "4-1900", "4-1901", "4-1902", "4-1903", "4-1904", "4-1905", 
"4-1906", "4-1907", "4-1908", "4-1909", "4-1910", "4-1911", "4-1912", 
"4-1913", "4-1914", "4-1915", "4-1916", "4-1917", "4-1918", "4-1919", 
"4-1920", "4-1921", "4-1922", "4-1923", "4-1924", "4-1925", "4-1926", 
"4-1927", "4-1928", "4-1929")), Bank.o.kassa = structure(c(0.552076466710613, 
0.695259455479398, 0.981244655715202, 1.42127589620433, 0.959692448821232, 
0.228311793009368, 0.30871924158571, 2.69943145432275, 3.04368302717424, 
3.05290552372935, 4.24442587875512, 2.43324032807521, 4.69502073549705, 
4.21425554491043, 3.43802415683905, 1.91228479124126, 0.183612711919672, 
1.93873324222939, 0.658324934241255, 1.65583430229754, 8.16610788753491, 
10.6696930067877, 6.20505938433427, 0.768959064173528, 2.47147653520727, 
1.4749677888885, 2.1905085760638, 10.4511636424978, 18.4910241070292, 
15.5739616534392, 11.4808752327392, 7.18593926102981, 4.79510448317011, 
2.85703955642673, 1.82405600468293, 1.14336459853929, 1.91224006506971, 
1.86664771087767, 3.29991106032535, 3.01042462888444, 6.84688859551067, 
4.5949838689742, 4.95776617931262, 6.01761059832527, 5.12621851069932, 
2.36515966545918, 2.50574176281981, 1.88913570646181, 2.12361708504312, 
1.70295644658185, 0.237788523257187, 3.94594260772663, 0.514660379058555, 
0.63723501085728, 0.163482237867645, 0.197324873476979, 0.692618649628274, 
0.316872042668265, 1.67508648494876, 0.142354356664425), .Names = c("3-1920", 
"3-1921", "3-1922", "3-1923", "3-1924", "3-1925", "3-1926", "3-1927", 
"3-1928", "3-1929", "3-1930", "3-1931", "3-1932", "3-1933", "3-1934", 
"3-1935", "3-1936", "4-1887", "4-1888", "4-1889", "4-1890", "4-1891", 
"4-1892", "4-1893", "4-1894", "4-1895", "4-1896", "4-1897", "4-1898", 
"4-1899", "4-1900", "4-1901", "4-1902", "4-1903", "4-1904", "4-1905", 
"4-1906", "4-1907", "4-1908", "4-1909", "4-1910", "4-1911", "4-1912", 
"4-1913", "4-1914", "4-1915", "4-1916", "4-1917", "4-1918", "4-1919", 
"4-1920", "4-1921", "4-1922", "4-1923", "4-1924", "4-1925", "4-1926", 
"4-1927", "4-1928", "4-1929")), Obligationer = structure(c(0, 
0.710619775236431, 0.569764858043086, 0.663694337104649, 0.761033448298168, 
0.319840031930296, 0.312307395488807, 0.0346835018362475, 0.0330125633514856, 
0.0188647549138383, 0.0151764700315497, 0.018196428174861, 0.0300829419881919, 
9.20824963171287, 8.09476461975424, 7.33591599214263, 10.3237519153303, 
23.4587496564246, 8.34307628014455, 8.21105338961859, 19.3630967796124, 
18.5571303656964, 26.520466175308, 7.10867944326549, 6.98218342383004, 
6.27961874258339, 5.04505474511001, 6.80023508002221, 8.77338607338471, 
8.86362404959709, 7.75977758606352, 10.3435727294857, 9.89547857880742, 
9.53223792314849, 11.9082814125304, 12.8046506505709, 15.1592108784811, 
15.398922387006, 15.1136243789378, 14.6794808956586, 14.2827955517189, 
14.7029129176851, 15.5305565249781, 14.9495702592336, 13.5321062823358, 
16.9791185495982, 27.5452432427652, 35.5636383102538, 31.5779522681227, 
31.3394353672748, 38.0906430075851, 39.4360188809573, 40.2139304909776, 
40.592971239732, 37.6076781083026, 34.5895784054617, 31.8919927541514, 
29.1162189615666, 26.8061925543101, 27.0963897344843), .Names = c("3-1920", 
"3-1921", "3-1922", "3-1923", "3-1924", "3-1925", "3-1926", "3-1927", 
"3-1928", "3-1929", "3-1930", "3-1931", "3-1932", "3-1933", "3-1934", 
"3-1935", "3-1936", "4-1887", "4-1888", "4-1889", "4-1890", "4-1891", 
"4-1892", "4-1893", "4-1894", "4-1895", "4-1896", "4-1897", "4-1898", 
"4-1899", "4-1900", "4-1901", "4-1902", "4-1903", "4-1904", "4-1905", 
"4-1906", "4-1907", "4-1908", "4-1909", "4-1910", "4-1911", "4-1912", 
"4-1913", "4-1914", "4-1915", "4-1916", "4-1917", "4-1918", "4-1919", 
"4-1920", "4-1921", "4-1922", "4-1923", "4-1924", "4-1925", "4-1926", 
"4-1927", "4-1928", "4-1929")), Lån = structure(c(21.8552046760463, 
16.9354631519048, 14.1079257359718, 16.7908540878211, 21.8125358015014, 
22.7049393024745, 22.9845270523343, 20.6327272995821, 20.2367766482934, 
9.0730433268189, 8.76280146788203, 8.45831605254012, 18.5583384882304, 
16.0227874442418, 14.4469141085505, 16.2948078954055, 18.4678621483242, 
34.8801647613554, 12.8718995058876, 26.2903301206017, 64.6032084887766, 
61.4639536152419, 57.7399633611202, 24.4863080781916, 27.8232438432077, 
30.3833412076318, 30.0677530506136, 65.1444741565493, 56.6516443429197, 
60.315684852254, 56.4199996064144, 60.1715597365204, 65.0667857507308, 
69.0349764486106, 66.422363861315, 67.6453246293749, 65.7992995302202, 
65.8377134866222, 70.3265356626504, 71.1633761722355, 67.0366584836927, 
68.6845898885332, 69.184192353293, 68.9082294008192, 67.774846884622, 
75.1563302426472, 63.307097388227, 55.885346238016, 56.7374120385912, 
56.4914905969678, 52.7731271340091, 48.12682459542, 49.3502034782439, 
49.1867624617933, 52.8503985776916, 55.3039715920661, 57.9145523998424, 
60.7339335739289, 59.9731465741533, 49.3913672299458), .Names = c("3-1920", 
"3-1921", "3-1922", "3-1923", "3-1924", "3-1925", "3-1926", "3-1927", 
"3-1928", "3-1929", "3-1930", "3-1931", "3-1932", "3-1933", "3-1934", 
"3-1935", "3-1936", "4-1887", "4-1888", "4-1889", "4-1890", "4-1891", 
"4-1892", "4-1893", "4-1894", "4-1895", "4-1896", "4-1897", "4-1898", 
"4-1899", "4-1900", "4-1901", "4-1902", "4-1903", "4-1904", "4-1905", 
"4-1906", "4-1907", "4-1908", "4-1909", "4-1910", "4-1911", "4-1912", 
"4-1913", "4-1914", "4-1915", "4-1916", "4-1917", "4-1918", "4-1919", 
"4-1920", "4-1921", "4-1922", "4-1923", "4-1924", "4-1925", "4-1926", 
"4-1927", "4-1928", "4-1929")), Aktier = structure(c(3.07318204837309, 
2.07446311309404, 1.43295861797836, 0.510917006044213, 0.585849402603378, 
0.565762106856816, 0.276425856457835, 0.264148494973398, 0.251422678300478, 
58.0164377288786, 15.2785505467049, 52.7552822254383, 3.38621830653397, 
3.04972648885867, 0.847461182502024, 3.72584362278638, 0.214291913995251, 
0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 
0, 0, 0, 0, 0, 0, 0, 0.880242370615362, 0.782706137309241, 0.690115718443861, 
0.800097690345683, 1.06271791918577, 0.834468719186235, 0.0962303485314691, 
0.0884637193545766, 0.084862230936858, 0.0802494456090769, 0.0744384419445548, 
0.07795889974169, 0.0732881714498627, 0.064264352555926, 12.4266612039723
), .Names = c("3-1920", "3-1921", "3-1922", "3-1923", "3-1924", 
"3-1925", "3-1926", "3-1927", "3-1928", "3-1929", "3-1930", "3-1931", 
"3-1932", "3-1933", "3-1934", "3-1935", "3-1936", "4-1887", "4-1888", 
"4-1889", "4-1890", "4-1891", "4-1892", "4-1893", "4-1894", "4-1895", 
"4-1896", "4-1897", "4-1898", "4-1899", "4-1900", "4-1901", "4-1902", 
"4-1903", "4-1904", "4-1905", "4-1906", "4-1907", "4-1908", "4-1909", 
"4-1910", "4-1911", "4-1912", "4-1913", "4-1914", "4-1915", "4-1916", 
"4-1917", "4-1918", "4-1919", "4-1920", "4-1921", "4-1922", "4-1923", 
"4-1924", "4-1925", "4-1926", "4-1927", "4-1928", "4-1929")), 
    Placeringar.andra.ftg = structure(c(28.0431221549195, 25.9545126815565, 
    24.0242448095517, 31.3234881936435, 39.255978576323, 42.1621242692298, 
    43.6032738316212, 45.4357566594961, 46.598249907364, 28.4981460177937, 
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    2.01166483245572, 1.92960283356866, 1.89400279726231, 1.83065143079271, 
    1.8441365039718, 1.74778438036979, 1.70553412657279, 1.74014123634787, 
    1.57422476543071), .Names = c("3-1920", "3-1921", "3-1922", 
    "3-1923", "3-1924", "3-1925", "3-1926", "3-1927", "3-1928", 
    "3-1929", "3-1930", "3-1931", "3-1932", "3-1933", "3-1934", 
    "3-1935", "3-1936", "4-1887", "4-1888", "4-1889", "4-1890", 
    "4-1891", "4-1892", "4-1893", "4-1894", "4-1895", "4-1896", 
    "4-1897", "4-1898", "4-1899", "4-1900", "4-1901", "4-1902", 
    "4-1903", "4-1904", "4-1905", "4-1906", "4-1907", "4-1908", 
    "4-1909", "4-1910", "4-1911", "4-1912", "4-1913", "4-1914", 
    "4-1915", "4-1916", "4-1917", "4-1918", "4-1919", "4-1920", 
    "4-1921", "4-1922", "4-1923", "4-1924", "4-1925", "4-1926", 
    "4-1927", "4-1928", "4-1929")), Fodringar = structure(c(13.4091880009393, 
    11.4007737009461, 8.85180109245837, 10.5207294715513, 11.8554668691406, 
    11.6406790162891, 10.8301249257183, 10.5342894550549, 10.2725808443785, 
    0.0712700398569951, 19.6151778087924, 4.08751075071719, 8.5369441404377, 
    7.22244542654346, 5.74211168867129, 5.00624411086692, 5.70750325407667, 
    11.7113734113266, 21.5391725460311, 17.601114228451, 3.05187896774013, 
    5.56912149567179, 5.47086167639443, 15.6851978435924, 14.9119890182211, 
    15.0092045884117, 12.6228928396926, 0.442201848780838, 0.662413501667926, 
    0.849732956673642, 1.47202590554835, 1.56431397609731, 1.65711491625151, 
    1.7323412708195, 1.85220571392917, 1.93390958786632, 1.84134615133785, 
    1.99887445786696, 1.83728108674151, 2.46597909355305, 3.73562846025962, 
    3.76713685012398, 1.96943185869625, 2.29567819454465, 2.17585138923596, 
    3.4385473363555, 4.04443383630046, 4.4787124078019, 5.91953337740812, 
    6.7714060177497, 1.06707862774494, 1.14746124710284, 1.05345153517615, 
    0.952153564360688, 0.945755278051777, 1.05282199902918, 1.32354993575186, 
    1.31741363057881, 1.29531376381482, 2.49542755736025), .Names = c("3-1920", 
    "3-1921", "3-1922", "3-1923", "3-1924", "3-1925", "3-1926", 
    "3-1927", "3-1928", "3-1929", "3-1930", "3-1931", "3-1932", 
    "3-1933", "3-1934", "3-1935", "3-1936", "4-1887", "4-1888", 
    "4-1889", "4-1890", "4-1891", "4-1892", "4-1893", "4-1894", 
    "4-1895", "4-1896", "4-1897", "4-1898", "4-1899", "4-1900", 
    "4-1901", "4-1902", "4-1903", "4-1904", "4-1905", "4-1906", 
    "4-1907", "4-1908", "4-1909", "4-1910", "4-1911", "4-1912", 
    "4-1913", "4-1914", "4-1915", "4-1916", "4-1917", "4-1918", 
    "4-1919", "4-1920", "4-1921", "4-1922", "4-1923", "4-1924", 
    "4-1925", "4-1926", "4-1927", "4-1928", "4-1929")), Reala.tillgångar = structure(c(24.1236303297959, 
    37.4986675879214, 46.6429235423771, 35.4664214060824, 21.107906639929, 
    19.0801609856783, 18.4927931928856, 17.5395655673799, 17.1966584758689, 
    0, 34.7674001114172, 7.96457079858135, 15.6705819482217, 
    14.1133809273624, 28.0736200437156, 26.5998804921383, 25.6518212731437, 
    1.95963811345151, 56.5875267336955, 46.2416679590312, 0.482603187490813, 
    0.398935965859933, 0.307217480627311, 51.950855570777, 47.8111071795339, 
    46.8528676724846, 50.0737907885199, 15.4355247525754, 14.2093849840859, 
    13.3958115562226, 22.7149659643704, 20.7346142968668, 18.5855162710402, 
    16.8434048009947, 17.9930930075424, 16.4727505336486, 15.2879033748912, 
    14.8978419576271, 9.42264781134492, 8.68073920966838, 8.09802890881811, 
    8.2503764746835, 8.35805308372005, 7.82891154707734, 11.1718677682141, 
    0.0111751265820557, 0.00993685427215673, 0.00876137160323813, 
    0.009999421233499, 0.0321994407601129, 5.19895399696667, 
    5.06909968623497, 5.74993956248165, 5.65223190455595, 5.47608036625753, 
    5.80844475706357, 5.67763062110834, 5.30082678935982, 6.52809468404085, 
    6.31727899750595), .Names = c("3-1920", "3-1921", "3-1922", 
    "3-1923", "3-1924", "3-1925", "3-1926", "3-1927", "3-1928", 
    "3-1929", "3-1930", "3-1931", "3-1932", "3-1933", "3-1934", 
    "3-1935", "3-1936", "4-1887", "4-1888", "4-1889", "4-1890", 
    "4-1891", "4-1892", "4-1893", "4-1894", "4-1895", "4-1896", 
    "4-1897", "4-1898", "4-1899", "4-1900", "4-1901", "4-1902", 
    "4-1903", "4-1904", "4-1905", "4-1906", "4-1907", "4-1908", 
    "4-1909", "4-1910", "4-1911", "4-1912", "4-1913", "4-1914", 
    "4-1915", "4-1916", "4-1917", "4-1918", "4-1919", "4-1920", 
    "4-1921", "4-1922", "4-1923", "4-1924", "4-1925", "4-1926", 
    "4-1927", "4-1928", "4-1929")), Övriga.tillgångar = structure(c(8.94359632321529, 
    4.73024053386131, 3.38913668790429, 3.30261960154855, 3.66153681338318, 
    3.29818249453177, 3.19182850390819, 2.85939756735457, 2.36761585526891, 
    1.26933260800861, 0.266044096705159, 0.445934574945972, 0.624009436206777, 
    0.613077026094302, 0.507436262108836, 0.507399597336736, 
    0.454853858310495, 26.0513408152126, 0, 0, 4.33310468884518, 
    3.34116555074217, 3.75643192221575, 0, 0, 0, 0, 1.72640051957453, 
    1.21214699091261, 1.00118493181342, 0.152355704864146, 0, 
    0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0.219109164892739, 0.422000717554878, 
    0.852726180937993, 0.573182072341244, 0.677056811951724, 
    0.371422443252653, 0.101430023434196, 0.166757801571104, 
    1.09974800113887, 0.999780790501637, 1.04570455542704, 1.12928342698615, 
    0.673912359406274, 1.43591270387502, 1.91776034982839, 0.556296154636263
    ), .Names = c("3-1920", "3-1921", "3-1922", "3-1923", "3-1924", 
    "3-1925", "3-1926", "3-1927", "3-1928", "3-1929", "3-1930", 
    "3-1931", "3-1932", "3-1933", "3-1934", "3-1935", "3-1936", 
    "4-1887", "4-1888", "4-1889", "4-1890", "4-1891", "4-1892", 
    "4-1893", "4-1894", "4-1895", "4-1896", "4-1897", "4-1898", 
    "4-1899", "4-1900", "4-1901", "4-1902", "4-1903", "4-1904", 
    "4-1905", "4-1906", "4-1907", "4-1908", "4-1909", "4-1910", 
    "4-1911", "4-1912", "4-1913", "4-1914", "4-1915", "4-1916", 
    "4-1917", "4-1918", "4-1919", "4-1920", "4-1921", "4-1922", 
    "4-1923", "4-1924", "4-1925", "4-1926", "4-1927", "4-1928", 
    "4-1929"))), .Names = c("Company", "Year", "Kapitalinkomster", 
"Aktiebolag", "Bank.o.kassa", "Obligationer", "Lån", "Aktier", 
"Placeringar.andra.ftg", "Fodringar", "Reala.tillgångar", "Övriga.tillgångar"
), index = structure(list(Company = structure(c(1L, 1L, 1L, 1L, 
1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 2L, 2L, 2L, 
2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 
2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L, 
2L, 2L, 2L, 2L, 2L, 2L, 2L, 2L), .Label = c("3", "4"), class = "factor"), 
    Year = structure(c(34L, 35L, 36L, 37L, 38L, 39L, 40L, 41L, 
    42L, 43L, 44L, 45L, 46L, 47L, 48L, 49L, 50L, 1L, 2L, 3L, 
    4L, 5L, 6L, 7L, 8L, 9L, 10L, 11L, 12L, 13L, 14L, 15L, 16L, 
    17L, 18L, 19L, 20L, 21L, 22L, 23L, 24L, 25L, 26L, 27L, 28L, 
    29L, 30L, 31L, 32L, 33L, 34L, 35L, 36L, 37L, 38L, 39L, 40L, 
    41L, 42L, 43L), .Label = c("1887", "1888", "1889", "1890", 
    "1891", "1892", "1893", "1894", "1895", "1896", "1897", "1898", 
    "1899", "1900", "1901", "1902", "1903", "1904", "1905", "1906", 
    "1907", "1908", "1909", "1910", "1911", "1912", "1913", "1914", 
    "1915", "1916", "1917", "1918", "1919", "1920", "1921", "1922", 
    "1923", "1924", "1925", "1926", "1927", "1928", "1929", "1930", 
    "1931", "1932", "1933", "1934", "1935", "1936"), class = "factor")), .Names = c("Company", 
"Year"), row.names = c(NA, -60L), class = "data.frame"), row.names = c("3-1920", 
"3-1921", "3-1922", "3-1923", "3-1924", "3-1925", "3-1926", "3-1927", 
"3-1928", "3-1929", "3-1930", "3-1931", "3-1932", "3-1933", "3-1934", 
"3-1935", "3-1936", "4-1887", "4-1888", "4-1889", "4-1890", "4-1891", 
"4-1892", "4-1893", "4-1894", "4-1895", "4-1896", "4-1897", "4-1898", 
"4-1899", "4-1900", "4-1901", "4-1902", "4-1903", "4-1904", "4-1905", 
"4-1906", "4-1907", "4-1908", "4-1909", "4-1910", "4-1911", "4-1912", 
"4-1913", "4-1914", "4-1915", "4-1916", "4-1917", "4-1918", "4-1919", 
"4-1920", "4-1921", "4-1922", "4-1923", "4-1924", "4-1925", "4-1926", 
"4-1927", "4-1928", "4-1929"), class = c("pdata.frame", "data.frame"
))

此致

4

1 回答 1

1

由于您包含所有滞后,因此|lag(Kapitalinkomster,2:99)您使仪器矩阵太大。这导致矩阵的秩不足。从线性面板模型的一般 GMM 公式可以看出这一点。例如,JM Wooldridge 的“横截面和面板数据的计量经济学分析”第 8 章第 190 页。简单(且不正确)的解释是,通过包含太多滞后,您得到的列多于行。尝试减少 中的滞后数,|lag(Kapitalinkomster,2:99)最多使用两个或三个。

于 2014-01-29T08:14:17.567 回答