我正在尝试使用面板数据方法(池化、FE 和 RE)来估计 DiD 模型。该模型用于确定卡特尔的存在(E1
回归中的虚拟变量 -1
对于卡特尔时期和0
其他情况)是否影响所检查市场上鱼的消费价格(虚拟变量Cartel
-1
对于假定的卡特尔化市场,0
否则,有两个市场)总计。据我了解,在 DiD 回归中,我需要有一个方程E1
,Cartel
以及它们的交互项E1*Cartel
(以及一些控制变量 - FPI
(鱼价指数)和季度虚拟变量Q2
,Q3
和Q4
)。
这种结构可以很好地用于估计线性模型,但是当我尝试实际实现面板数据方法时,特别是 RE,R 给了我system is exactly singular
错误。如果我理解正确,这意味着两个虚拟变量完全共线。我测试了这个理论并得出结论,问题是由虚拟变量引起的Cartel
——当我将它添加到模型中时,它停止工作。我不明白为什么 - 如果这个变量实际上与另一个变量共线,那么常规lm
回归不应该也失败了吗?
任何意见是极大的赞赏。
这很好用:
m_E1 <- lm(Price_Index ~ E1 + Cartel + E1*Cartel + FPI + Q2 + Q3 + Q4,
data = fish_regr)
这些模型也是如此:
m.pooled <- plm(Price_Index ~ E1 + Cartel + E1*Cartel + FPI + Q2 + Q3 + Q4,
data = pdata, model = "pooling")
m.fixed <- plm(Price_Index ~ E1 + Cartel + E1*Cartel + FPI + Q2 + Q3 + Q4,
data = pdata, model = "within")
但这给了我错误:
m.random <- plm(Price_Index ~ E1 + Cartel + E1*Cartel + Q2 + Q3 + Q4,
data = pdata, model = "random")
这是面板数据(用 转换index = c("Market", "Month)
):
structure(list(Market = structure(c(1L, 1L, 1L, 1L, 1L, 1L, 1L,
1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L,
1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L,
1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L,
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, 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("RU", "UK"), class = "factor"),
Month = structure(c(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, 44L, 45L, 46L,
47L, 48L, 49L, 50L, 51L, 52L, 53L, 54L, 55L, 56L, 57L, 58L,
59L, 60L, 61L, 62L, 63L, 64L, 65L, 66L, 67L, 68L, 69L, 70L,
71L, 72L, 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, 44L, 45L, 46L, 47L, 48L,
49L, 50L, 51L, 52L, 53L, 54L, 55L, 56L, 57L, 58L, 59L, 60L,
61L, 62L, 63L, 64L, 65L, 66L, 67L, 68L, 69L, 70L, 71L, 72L
), .Label = c("2009-01-31", "2009-02-28", "2009-03-31", "2009-04-30",
"2009-05-31", "2009-06-30", "2009-07-31", "2009-08-31", "2009-09-30",
"2009-10-31", "2009-11-30", "2009-12-31", "2010-01-31", "2010-02-28",
"2010-03-31", "2010-04-30", "2010-05-31", "2010-06-30", "2010-07-31",
"2010-08-31", "2010-09-30", "2010-10-31", "2010-11-30", "2010-12-31",
"2011-01-31", "2011-02-28", "2011-03-31", "2011-04-30", "2011-05-31",
"2011-06-30", "2011-07-31", "2011-08-31", "2011-09-30", "2011-10-31",
"2011-11-30", "2011-12-31", "2012-01-31", "2012-02-29", "2012-03-31",
"2012-04-30", "2012-05-31", "2012-06-30", "2012-07-31", "2012-08-31",
"2012-09-30", "2012-10-31", "2012-11-30", "2012-12-31", "2013-01-31",
"2013-02-28", "2013-03-31", "2013-04-30", "2013-05-31", "2013-06-30",
"2013-07-31", "2013-08-31", "2013-09-30", "2013-10-31", "2013-11-30",
"2013-12-31", "2014-01-31", "2014-02-28", "2014-03-31", "2014-04-30",
"2014-05-31", "2014-06-30", "2014-07-31", "2014-08-31", "2014-09-30",
"2014-10-31", "2014-11-30", "2014-12-31"), class = "factor"),
Salmonoid = c(218.79, 225.98, 233.85, 239.88, 247.61, 256.19,
263.39, 265.7, 264.38, 261.32, 258.49, 257.18, 259.18, 262.27,
265.11, 266.43, 266.28, 266.95, 269.15, 270.19, 275.43, 280.21,
285.3, 292.06, 298.89, 301.78, 304.49, 307.23, 310.13, 310.77,
312.51, 311.66, 309.92, 308.76, 309.72, 310.08, 306.73, 307.17,
306.03, 305.09, 301.73, 299.08, 299.24, 300.39, 300.09, 299.19,
298.49, 299.38, 298.94, 299.72, 303.33, 305.38, 307.82, 309.52,
312.41, 318.07, 323.53, 326.11, 328.75, 332.44, 341.6, 347.65,
355.87, 363.61, 369.4, 372.36, 377.08, 386.36, 403.76, 418.74,
426, 445.29, 10.07, 11.69, 10.96, 11.77, 11.75, 11.28, 11.43,
11.4, 11.45, 11.53, 11.52, 11.45, 11.71, 12.74, 12.68, 13.04,
13.11, 13.72, 14.69, 14.6, 14.42, 15.29, 15.64, 15.83, 15.78,
15.66, 15.64, 14.47, 15.67, 15.55, 15.3, 14.9, 15.14, 15.75,
15.36, 14.5, 14.96, 16.39, 16.05, 15.87, 16.22, 15.69, 15.7,
16.13, 15.66, 15.96, 15.23, 16.19, 16.15, 14.52, 14.95, 14.53,
15.36, 15.7, 15.46, 15.49, 15.39, 16.44, 16.39, 16.34, 16.16,
17.09, 17.27, 16.41, 17.44, 17.14, 17.89, 17.29, 16.79, 17.11,
17.16, 16.75), E1 = c(0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L,
0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 1L, 1L, 1L, 1L, 1L, 1L, 1L,
1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L,
1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L,
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, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L,
1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L,
1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 0L, 0L, 0L,
0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L
), E2 = 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, 1L, 1L, 1L, 1L, 1L, 1L, 1L,
1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 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, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L,
1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 0L, 0L, 0L, 0L, 0L, 0L,
0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L), E4 = 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, 1L,
1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 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, 0L, 0L, 1L, 1L, 1L, 1L,
1L, 1L, 1L, 1L, 1L, 1L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L,
0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L), E3 = 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, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L,
1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L,
1L, 1L, 1L, 1L, 1L, 1L, 1L, 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, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L,
1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L,
1L, 1L, 1L, 1L), Cartel = c(1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L,
1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L,
1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L,
1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L,
1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L,
1L, 1L, 1L, 1L, 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, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L,
0L), Q2 = c(0L, 0L, 0L, 1L, 1L, 1L, 0L, 0L, 0L, 0L, 0L, 0L,
0L, 0L, 0L, 1L, 1L, 1L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L,
1L, 1L, 1L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 1L, 1L, 1L,
0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 1L, 1L, 1L, 0L, 0L, 0L,
0L, 0L, 0L, 0L, 0L, 0L, 1L, 1L, 1L, 0L, 0L, 0L, 0L, 0L, 0L,
0L, 0L, 0L, 1L, 1L, 1L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L,
1L, 1L, 1L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 1L, 1L, 1L,
0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 1L, 1L, 1L, 0L, 0L, 0L,
0L, 0L, 0L, 0L, 0L, 0L, 1L, 1L, 1L, 0L, 0L, 0L, 0L, 0L, 0L,
0L, 0L, 0L, 1L, 1L, 1L, 0L, 0L, 0L, 0L, 0L, 0L), Q3 = c(0L,
0L, 0L, 0L, 0L, 0L, 1L, 1L, 1L, 0L, 0L, 0L, 0L, 0L, 0L, 0L,
0L, 0L, 1L, 1L, 1L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 1L,
1L, 1L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 1L, 1L, 1L, 0L,
0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 1L, 1L, 1L, 0L, 0L, 0L, 0L,
0L, 0L, 0L, 0L, 0L, 1L, 1L, 1L, 0L, 0L, 0L, 0L, 0L, 0L, 0L,
0L, 0L, 1L, 1L, 1L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 1L,
1L, 1L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 1L, 1L, 1L, 0L,
0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 1L, 1L, 1L, 0L, 0L, 0L, 0L,
0L, 0L, 0L, 0L, 0L, 1L, 1L, 1L, 0L, 0L, 0L, 0L, 0L, 0L, 0L,
0L, 0L, 1L, 1L, 1L, 0L, 0L, 0L), Q4 = c(0L, 0L, 0L, 0L, 0L,
0L, 0L, 0L, 0L, 1L, 1L, 1L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L,
0L, 1L, 1L, 1L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 1L, 1L,
1L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 1L, 1L, 1L, 0L, 0L,
0L, 0L, 0L, 0L, 0L, 0L, 0L, 1L, 1L, 1L, 0L, 0L, 0L, 0L, 0L,
0L, 0L, 0L, 0L, 1L, 1L, 1L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L,
0L, 1L, 1L, 1L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 1L, 1L,
1L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 1L, 1L, 1L, 0L, 0L,
0L, 0L, 0L, 0L, 0L, 0L, 0L, 1L, 1L, 1L, 0L, 0L, 0L, 0L, 0L,
0L, 0L, 0L, 0L, 1L, 1L, 1L, 0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L,
0L, 1L, 1L, 1L), FPI = c(3, 3.2, 3.4, 3.7, 4.2, 4.1, 4.2,
3.4, 3.4, 3.1, 3.3, 3.4, 3.5, 4.2, 4.6, 5, 5.2, 4.9, 5, 5.1,
4.6, 4.5, 4.3, 5, 5, 5.2, 5.2, 5.5, 5, 4.1, 3.7, 3.4, 3.1,
2.7, 3, 3.3, 3.2, 3.5, 3.7, 3.7, 3.8, 3.4, 3.4, 3.6, 3.4,
3.3, 3.5, 4.1, 4.6, 4.9, 5, 5.5, 5.6, 5.3, 5.6, 5.2, 4, 4.5,
4.7, 5.9, 5.8, 5.7, 5.3, 5.5, 4.8, 4.3, 4.7, 4, 4, 4.1, 4.7,
5, 3, 3.2, 3.4, 3.7, 4.2, 4.1, 4.2, 3.4, 3.4, 3.1, 3.3, 3.4,
3.5, 4.2, 4.6, 5, 5.2, 4.9, 5, 5.1, 4.6, 4.5, 4.3, 5, 5,
5.2, 5.2, 5.5, 5, 4.1, 3.7, 3.4, 3.1, 2.7, 3, 3.3, 3.2, 3.5,
3.7, 3.7, 3.8, 3.4, 3.4, 3.6, 3.4, 3.3, 3.5, 4.1, 4.6, 4.9,
5, 5.5, 5.6, 5.3, 5.6, 5.2, 4, 4.5, 4.7, 5.9, 5.8, 5.7, 5.3,
5.5, 4.8, 4.3, 4.7, 4, 4, 4.1, 4.7, 5), Price_Index = c(0.713298341,
0.736739152, 0.762396896, 0.78205588, 0.807257197, 0.835229681,
0.858703094, 0.866234147, 0.861930688, 0.851954488, 0.842728132,
0.838457275, 0.844977668, 0.855051674, 0.864310632, 0.868614091,
0.868125061, 0.870309393, 0.877481824, 0.880872429, 0.897955857,
0.913539595, 0.930133994, 0.952172921, 0.974440061, 0.983862028,
0.99269716, 1.001630098, 1.011084667, 1.013171193, 1.018843934,
1.016072768, 1.010400026, 1.006618198, 1.009747987, 1.010921657,
1, 1.001434486, 0.997717863, 0.994653278, 0.983699019, 0.975059499,
0.97558113, 0.979330356, 0.978352297, 0.97541812, 0.973135983,
0.976037557, 0.974603071, 0.977146024, 0.988915333, 0.995598735,
1.003553614, 1.009095948, 1.018517915, 1.036970626, 1.054771297,
1.063182604, 1.071789522, 1.083819646, 1.113683044, 1.133407231,
1.160206044, 1.185439963, 1.2043165, 1.213966681, 1.229354807,
1.259609428, 1.316336843, 1.365174584, 1.388843608, 1.451732794,
0.694482759, 0.806206897, 0.755862069, 0.811724138, 0.810344828,
0.777931034, 0.788275862, 0.786206897, 0.789655172, 0.795172414,
0.794482759, 0.789655172, 0.807586207, 0.87862069, 0.874482759,
0.899310345, 0.904137931, 0.946206897, 1.013103448, 1.006896552,
0.994482759, 1.054482759, 1.07862069, 1.091724138, 1.088275862,
1.08, 1.07862069, 0.997931034, 1.080689655, 1.072413793,
1.055172414, 1.027586207, 1.044137931, 1.086206897, 1.059310345,
1, 1.031724138, 1.130344828, 1.106896552, 1.094482759, 1.11862069,
1.082068966, 1.082758621, 1.112413793, 1.08, 1.100689655,
1.050344828, 1.116551724, 1.113793103, 1.00137931, 1.031034483,
1.002068966, 1.059310345, 1.082758621, 1.066206897, 1.068275862,
1.06137931, 1.133793103, 1.130344828, 1.126896552, 1.114482759,
1.17862069, 1.191034483, 1.131724138, 1.202758621, 1.182068966,
1.233793103, 1.192413793, 1.157931034, 1.18, 1.183448276,
1.155172414)), .Names = c("Market", "Month", "Salmonoid",
"E1", "E2", "E4", "E3", "Cartel", "Q2", "Q3", "Q4", "FPI", "Price_Index"
), row.names = c("RU-2009-01-31", "RU-2009-02-28", "RU-2009-03-31",
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