如何让GMM测试出现在stargazer中？

Question

我正在进行大量 GMM 回归，需要报告所有测试。我为此使用 plm 和 stargazer 包。

但是stargazer不直接提供这个测试，所以我写了很长的代码来添加这个测试。

我想向一个函数提供方程的名称，该函数进行所有这些测试并将它们直接添加到stargazer中。有人可以帮我构建这个功能吗？我相信它会帮助很多遇到同样问题的人。 :-)

library(plm)
library(stargazer)
library(stringr) 

data("EmplUK")
#these are my two GMM equations, "z1" and "z2" - from PLM manual
## Arellano Bond 91 table 4b 
z1 <- pgmm(dynformula(log(emp)~log(wage)+log(capital)+log(output),list(2,1,0,1)),
           data=EmplUK, effect="twoways", model="twosteps",
           gmm.inst=~log(emp),lag.gmm=list(c(2,99)))

## Blundell and Bond tab4 (cf DPD for OX p.12 col.4)
z2 <- pgmm(dynformula(log(emp)~log(wage)+log(capital),list(1,1,1)),
           data=EmplUK, effect="twoways", model="onestep",
           gmm.inst=~log(emp)+log(wage)+log(capital),lag.gmm=c(2,99),
           transformation="ld")

###########################################
#saving results of equation z1 and z2 - i would like to make a function on this part 
#########################################
Z1_summary<-summary(z1,robust=TRUE)
Z2_summary<-summary(z2,robust=TRUE)

#saving instruments
Z1_inst <- "~log(emp),lag.gmm=list(c(2,99))"
Z2_Inst <- "~log(emp)+log(wage)+log(capital),lag.gmm=c(2,99)"

Instruments <- c("Instr",Z1_inst,Z2_Inst)

#saving sargan results
sargan_est <- c("Sargan",
                round(Z1_summary$sargan$statistic,4),
                round(Z2_summary$sargan$statistic, 4))

sargan_p <- c("Sargan (p-value)",
              round(Z1_summary$sargan$p.value, 4),
              round(Z2_summary$sargan$p.value, 4))

good_sargan<-c("Conclusion about Sargan",
              ifelse(round(Z1_summary$sargan$p.value, 4)>0.05, "Good", "Bad"),
              ifelse(round(Z2_summary$sargan$p.value, 4)>0.05, "Good", "Bad"))

#saving ar1 results
AR1_est <- c("AR(1)",
             round(Z1_summary$m1$statistic, 2),
             round(Z2_summary$m1$statistic, 2))

AR1_pvalue <- c("AR(1) p-value",
                round(Z1_summary$m1$p.value, 4),
                round(Z2_summary$m1$p.value, 4))

#saving ar2 results
AR2_est <- c("AR(2)",
             round(Z1_summary$m2$statistic, 2),
             round(Z2_summary$m2$statistic, 2))

AR2_pvalue <- c("AR(2) p-value",
                round(Z1_summary$m2$p.value, 4),
                round(Z2_summary$m2$p.value, 4))

#saving wald results
Wald_Coef_est <- c("Wald Coef (df)",
       str_c(round(Z1_summary$wald.coef$statistic, 2),    " (", Z1_summary$wald.coef$parameter, ")"),
       str_c(round(Z2_summary$wald.coef$statistic, 2),    " (", Z2_summary$wald.coef$parameter, ")")
                   )

Wald_Coef_pvalue <- c("Wald Coef p-value",
                       round(Z1_summary$wald.coef$p.value, 4),
                       round(Z2_summary$wald.coef$p.value, 4))

Wald_Tim_est <- c("Wald Time (df)",
       str_c(round(Z1_summary$wald.td$statistic, 2),    " (", Z1_summary$wald.td$parameter, ")"),
       str_c(round(Z2_summary$wald.td$statistic, 2),    " (", Z2_summary$wald.td$parameter, ")")
                  )

Wald_Tim_pvalue <- c("Wald Time p-valor",
       round(Z1_summary$wald.td$p.value, 4),
       round(Z2_summary$wald.td$p.value, 4))

###########################
#showing results with stargazer

stargazer(z1,z2,
          column.labels = c("Eq z1", "Eq z2"),
          title= "2 GMM equations",
          align = TRUE,
          type = "text",
          digits = 4,
          no.space = TRUE,
          add.lines = list(Instruments,
                           sargan_est,
                           sargan_p,
                           good_sargan,
                           AR1_est,
                           AR1_pvalue,
                           AR2_est,
                           AR2_pvalue,
                           Wald_Coef_est,
                           Wald_Coef_pvalue,
                           Wald_Tim_est,
                           Wald_Tim_pvalue),
          notes="Sargan is considered good (acceptable) if its p-value is above 5%")

Answer 1

我认为编写函数不是一个好主意。下面是可以针对函数进行适当修改的代码。

# writing code to make a function to add more information to the stargazer GMM table
# will only involve wrapping this around a function and naming the function appropriately 
# and some changes to get the final stargazer output
# name here refers to the common name of the models which in the above example is z
# this can be one argument of the function you write
name <- "m"
# I assume that there are 5 different models
# so the value can be modified accordingly
k <- 5
  sargan_est <- NULL
  sargan_p <- NULL
  AR1_est <- NULL
  AR1_pvalue <- NULL
  AR2_est <- NULL
  AR2_pvalue <- NULL
  Wald_Coef_est <- NULL
  Wald_Coef_pvalue <- NULL
  sargan_est[1] <- c("Sargan")
  sargan_p[1] <- c("Sargan (p-value)")
  AR1_est[1] <- c("AR(1)")
  AR1_pvalue[1] <- c("AR(1) p-value")
  AR2_est[1] <- c("AR(2)")
  AR2_pvalue[1] <- c("AR(2) p-value")
  Wald_Coef_est[1] <- c("Wald Coef (df)")
  Wald_Coef_pvalue[1] <- c("Wald Coef p-value")
  for(i in 1:k){
    assign(paste0(name,i,"_summary"),summary(get(paste0(name,i)),robust=TRUE))
    sargan_est[i+1] <- c(round(get(paste0(name,i,"_summary"))$sargan$statistic,4))
    sargan_p[i+1] <- c(round(get(paste0(name,i,"_summary"))$sargan$p.value, 4))
    AR1_est[i+1] <- c(round(get(paste0(name,i,"_summary"))$m1$statistic, 2))
    AR1_pvalue[i+1] <- c(round(get(paste0(name,i,"_summary"))$m1$p.value, 4))
    AR2_est[i+1] <- c(round(get(paste0(name,i,"_summary"))$m2$statistic, 2))
    AR2_pvalue[i+1] <- c(round(get(paste0(name,i,"_summary"))$m2$p.value, 4))
    Wald_Coef_est[i+1] <- paste0(round(get(paste0(name,i,"_summary"))$wald.coef$statistic, 2)," (", get(paste0(name,i,"_summary"))$wald.coef$parameter, ")")
    Wald_Coef_pvalue[i+1] <- c(round(get(paste0(name,i,"_summary"))$wald.coef$p.value, 4))
  }
  # you must change the following code to correctly indicate the number of models that you are considering
  # I have not included some of the information that was put by the OP
  # but it is straightforward to suitably mmodify the model to do the same
stargazer(m1,m2,m3,m4,m5,
            column.labels = c("(1)", "(2)","(3)","(4)","(5)"),
            title= "GMM Panel Regression Models",
            model.numbers = FALSE,
            header = FALSE,
            align = TRUE,
            type = "text",
            digits = 3,
            no.space = TRUE,
            add.lines = list(sargan_est,
                             sargan_p,
                             AR1_est,
                             AR1_pvalue,
                             AR2_est,
                             AR2_pvalue,
                             Wald_Coef_est,
                             Wald_Coef_pvalue))

请注意，我修改了OP的代码，并且没有包含一些信息。但是，修改此代码以满足任何需要都是很简单的。