options double crt nwidth=17,signif=9;
name grbi 'Grunfeld data - coefficients varying by i';

? by Clint Cummins 5/2003

const n,10 t,20 ystart,1935;
freq(panel,n=n,t=t,id=firm,time=year,start=ystart) a;
set nt = n*t;
smpl 1,nt;

? Data for all 10 firms, 20 years, in Boot and de Wit, IER (1960);
? downloaded from Springer-Verlag web page:
? http://www.springer.de/economics/samsup/baltagi , 10/99
? Data also printed in Maddala, Econometrics, 1977, p.214-215.
?
? The firm names (roughly in order by size) are G.M., U.S. Steel, G.E.,
? Chrysler, Atlantic Richfield (or Refining), I.B.M., Union Oil,
? Westinghouse, Goodyear, and Diamond Match.  This ordering may not
? match the data file used here.
? The years are 1935-1954.
? Variables are:
? INV = gross investment
? F = value of the firm, lagged by one year
? K = value of firm capital stock (plant and equipment), lagged by one year
?
read(file='grunfeld.dat') firm year inv f k;

? define lists here to specify model
list xid firm;   ? id variable (coded 1 to n)
set n = 10;
list y inv;
list xc f k;  ? vars with constant coefs
list xi c;  ? vars whose coefs vary by i

title 'Test 1: fixed individual effects';
? Benchmarks:  Baltagi(1995), p.20
?
? 2. Fixed Individual Effects / Within Firm
?           Baltagi           TSP
? F         .11012        .1101238041
? (SEdf)   (.01186)      (.0118566942)
? K         .31007        .3100653413
?          (.01735)      (.0173545028)
? LogL         ?     -1070.781026499
? 2. (SEdf) is the Standard Error, computed with the usual
?    degrees of freedom correction for t-statistics in OLS.

title 'check against OLS';
dummy firm;
ols y xc firm1-firm10;

title 'compute with Proc panbi';
Panbi y xc xi xid n;

title 'Test 2:  F varies by i';
list xc k c;
list xi f;
title 'OLS benchmark';
dot 1-10;
  f. = f*firm.;
enddot;
ols y xc f1-f10;
title 'Panbi version';
Panbi y xc xi xid n;

title 'Test 3:  F and C vary by i';
list xc k;
list xi f c;
title 'OLS benchmark';
dot 1-10;
  f. = f*firm.;
enddot;
ols y xc f1-f10 firm1-firm10;
title 'Panbi version';
Panbi y xc xi xid n;

Proc Panbi y xc xi xid n;
? Panel regression where some variables have
? coefficients which vary by i.
? The user specifies the following input arguments:
?  y = dependent variable
?  xc = list of RHS variables with constant coefs
?  xi = list of RHS variables with coefs which vary by i
?  xid = ID variable, coded 1 to N
?  N = scalar variable - number of individuals
? by Clint Cummins 5/03

local tvars i nxi dfr vcov yhat res bi;
list(prefix=t) tvars y xc;
local tvars;
dot tvars;	 ? create transformed variables
 . = 0;
enddot;
regopt(nocalc) het auto;  ? turn off diagnostics for faster regr.
supres smpl;
do i=1,n;
  select(noprint) xid=i;
  dot y xc;
    olsq(silent) . xi; 
	t. = @res;
  enddot;
enddo;
select 1;
regopt;
supres coef;
olsq tvars;
nosupres coef;
? correct df for SEs
length xi nxi;
set dfr = (@nob-@ncoef)/(@nob-@ncoef-nxi*n);
mat vcov = @vcov*dfr;
tstats(names=@rnms) @coef vcov;

title 'recover coefs which vary by i';
forcst yhat xc;
res = y-yhat;
list(prefix=b) bi xi;
local bi;
dot bi;
  . = 0;
enddot;
supres smpl;
do i=1,n;
  select(noprint) xid=i;
  olsq(silent) res xi;
  dot(index=kk) xi;
	b. = @coef(kk);
  enddot;
enddo;
select 1;
print bi;
?  If you need to do computations on bi, do them here.
endproc;