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Copy pathKLEMSx_DynamicTL.R
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KLEMSx_DynamicTL.R
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Data4list <- split(KLEMS_4, KLEMS_4$Industry)
dlist4 <- lapply(seq_along(Data4list), function(x) as.data.frame(Data4list[[x]]))
lapply(seq_along(dlist4), function(x) {
assign(paste0("Data4.", x), Data4list[[x]], envir=.GlobalEnv)
}
)
#rm(list = ls()[grep("^Data2.", ls())])
#rm(list = ls()[grep("^Agg2.", ls())])
R2_4DDynamic <- data.frame(matrix(NA, ncol=13, nrow=160))
names(R2_4DDynamic) <- c("Industry", "R2_Eq1", "R2_Eq2", "R2_Eq3", "R2_Eq4", "Bg_Eq1", "Bg_Eq2",
"Bg_Eq3", "Bg_Eq4", "Mono", "Non-Mono", "Concavity", "Non-Concavity")
Coef_4DDynamic <- data.frame(matrix(NA, ncol=33, nrow=160))
names(Coef_4DDynamic) <- c("Industry",
"eq1_(Intercept)", "eq1_lnK", "eq1_lnL", "eq1_lnE", "eq1_lnM", "eq1_lnY", "eq1_t", "eq1_dK",
"eq2_(Intercept)", "eq2_lnK", "eq2_lnL", "eq2_lnE", "eq2_lnM", "eq2_lnY", "eq2_t", "eq2_dL",
"eq3_(Intercept)", "eq3_lnK", "eq3_lnL", "eq3_lnE", "eq3_lnM", "eq3_lnY", "eq3_t", "eq3_dE",
"eq4_(Intercept)", "eq4_lnK", "eq4_lnL", "eq4_lnE", "eq4_lnM", "eq4_lnY", "eq4_t", "eq4_dM")
Err_4DDynamic <- data.frame(matrix(NA, ncol=33, nrow=160))
names(Err_4DDynamic) <- c("Industry",
"eq1_(Intercept)", "eq1_lnK", "eq1_lnL", "eq1_lnE", "eq1_lnM", "eq1_lnY", "eq1_t", "eq1_dK",
"eq2_(Intercept)", "eq2_lnK", "eq2_lnL", "eq2_lnE", "eq2_lnM", "eq2_lnY", "eq2_t", "eq2_dL",
"eq3_(Intercept)", "eq3_lnK", "eq3_lnL", "eq3_lnE", "eq3_lnM", "eq3_lnY", "eq3_t", "eq3_dE",
"eq4_(Intercept)", "eq4_lnK", "eq4_lnL", "eq4_lnE", "eq4_lnM", "eq4_lnY", "eq4_t", "eq4_dM")
pval_4DDynamic <- data.frame(matrix(NA, ncol=33, nrow=160))
names(pval_4DDynamic) <- c("Industry",
"eq1_(Intercept)", "eq1_lnK", "eq1_lnL", "eq1_lnE", "eq1_lnM", "eq1_lnY", "eq1_t", "eq1_dK",
"eq2_(Intercept)", "eq2_lnK", "eq2_lnL", "eq2_lnE", "eq2_lnM", "eq2_lnY", "eq2_t", "eq2_dL",
"eq3_(Intercept)", "eq3_lnK", "eq3_lnL", "eq3_lnE", "eq3_lnM", "eq3_lnY", "eq3_t", "eq3_dE",
"eq4_(Intercept)", "eq4_lnK", "eq4_lnL", "eq4_lnE", "eq4_lnM", "eq4_lnY", "eq4_t", "eq4_dM")
GlobalTest <- data.frame(matrix(NA, ncol=17, nrow=0))
names(GlobalTest) <- c("Industry", "Country", "Year", "ActSK", "ActSL", "ActSE", "ActSM", "FitSK", "FitSL", "FitSE", "FitSM",
"ResSK", "ResSL", "ResSE", "ResSM", "Monotonicity", "Concavity")
for(i in c(1:160)){ #1:61
data <- get(paste0("Data4.",i))
success <- FALSE
data$pK <- data$K / data$Kc
data$pL <- data$L / data$Lc
data$pE <- data$E / data$Ec
data$pM <- data$M / data$Mc
data$pS <- data$S / data$Sc
data$pGO <- data$GO / data$GOc
data$TC <- data$K + data$L + data$E + data$M + data$S
data$SK <- data$K / data$TC
data$SL <- data$L / data$TC
data$SE <- data$E / data$TC
data$SM <- data$M / data$TC
data$SS <- data$S / data$TC
data$lnK <- log(data$pK/data$pS)
data$lnL <- log(data$pL/data$pS)
data$lnE <- log(data$pE/data$pS)
data$lnM <- log(data$pM/data$pS)
data$lnC <- log(data$TC/data$pS)
data$lnK2 <- 0.5*(data$lnK)^2
data$lnL2 <- 0.5*(data$lnL)^2
data$lnE2 <- 0.5*(data$lnE)^2
data$lnM2 <- 0.5*(data$lnM)^2
data$lnKL <- data$lnK*data$lnL
data$lnKE <- data$lnK*data$lnE
data$lnKM <- data$lnK*data$lnM
data$lnLE <- data$lnL*data$lnE
data$lnLM <- data$lnL*data$lnM
data$lnEM <- data$lnE*data$lnM
data$lnY <- log(data$GOc)
data$lnY2 <- 0.5*data$lnY^2
data$lnKY <- data$lnK*data$lnY
data$lnLY <- data$lnL*data$lnY
data$lnEY <- data$lnE*data$lnY
data$lnMY <- data$lnM*data$lnY
data$t <- data$Year - 2010
data$t2 <- 0.5*data$t^2
data$lnKt <- data$lnK*data$t
data$lnLt <- data$lnL*data$t
data$lnEt <- data$lnE*data$t
data$lnMt <- data$lnM*data$t
data$dK <- NA
data$dL <- NA
data$dE <- NA
data$dM <- NA
data$lnK1 <- NA
data$lnL1 <- NA
data$lnE1 <- NA
data$lnM1 <- NA
data$lnY1 <- NA
data$t1 <- NA
data$dK1 <- NA
data$dL1 <- NA
data$dE1 <- NA
data$dM1 <- NA
for(j in c(1:nrow(data))){
ann <- data$Year[j]
ctr <- data$Country[j]
ind <- data$Industry[j]
k1_id <- data$SK[data$Year == (ann - 1) & data$Country == ctr & data$Industry == ind]
l1_id <- data$SL[data$Year == (ann - 1) & data$Country == ctr & data$Industry == ind]
e1_id <- data$SE[data$Year == (ann - 1) & data$Country == ctr & data$Industry == ind]
m1_id <- data$SM[data$Year == (ann - 1) & data$Country == ctr & data$Industry == ind]
s1_id <- data$SS[data$Year == (ann - 1) & data$Country == ctr & data$Industry == ind]
k2_id <- data$SK[data$Year == (ann - 2) & data$Country == ctr & data$Industry == ind]
l2_id <- data$SL[data$Year == (ann - 2) & data$Country == ctr & data$Industry == ind]
e2_id <- data$SE[data$Year == (ann - 2) & data$Country == ctr & data$Industry == ind]
m2_id <- data$SM[data$Year == (ann - 2) & data$Country == ctr & data$Industry == ind]
s2_id <- data$SS[data$Year == (ann - 2) & data$Country == ctr & data$Industry == ind]
try(c(
data$dK[j] <- k1_id,
data$dL[j] <- l1_id,
data$dE[j] <- e1_id,
data$dM[j] <- m1_id,
data$dK1[j] <- k2_id,
data$dL1[j] <- l2_id,
data$dE1[j] <- e2_id,
data$dM1[j] <- m2_id), silent = TRUE)#- m2_id), silent = TRUE)
}
for(j in c(1:nrow(data))){
ann <- data$Year[j]
ctr <- data$Country[j]
ind <- data$Industry[j]
ln_k <- data$lnK[data$Year == (ann - 1) & data$Country == ctr & data$Industry == ind]
ln_l <- data$lnL[data$Year == (ann - 1) & data$Country == ctr & data$Industry == ind]
ln_e <- data$lnE[data$Year == (ann - 1) & data$Country == ctr & data$Industry == ind]
ln_m <- data$lnM[data$Year == (ann - 1) & data$Country == ctr & data$Industry == ind]
ln_y <- data$lnY[data$Year == (ann - 1) & data$Country == ctr & data$Industry == ind]
t1 <- data$t[data$Year == (ann - 1) & data$Country == ctr & data$Industry == ind]
try(c(
data$lnK1[j] <- ln_k, #- data$lnK[j],
data$lnL1[j] <- ln_l, #- data$lnL[j],
data$lnE1[j] <- ln_e, #- data$lnE[j],
data$lnM1[j] <- ln_m, #- data$lnM[j],
data$lnY1[j] <- ln_y, #- data$lnY[j],
data$t1[j] <- t1), silent = TRUE)# - data$lnY[j]), silent = TRUE)
}
data <- na.omit(data)
eq1 <- SK ~ lnK + lnL + lnE + lnM + lnY + t + dK #+ Country
eq2 <- SL ~ lnK + lnL + lnE + lnM + lnY + t + dL #+ Country
eq3 <- SE ~ lnK + lnL + lnE + lnM + lnY + t + dE #+ Country
eq4 <- SM ~ lnK + lnL + lnE + lnM + lnY + t + dM #+ Country
# eq1 <- SK ~ lnK + lnL + lnE + lnM + lnY + t + Country
# eq2 <- SL ~ lnK + lnL + lnE + lnM + lnY + t + Country
# eq3 <- SE ~ lnK + lnL + lnE + lnM + lnY + t + Country
# eq4 <- SM ~ lnK + lnL + lnE + lnM + lnY + t + Country
eqlist <- list (eq1, eq2, eq3, eq4)
restrict1 <- "eq1_lnL - eq2_lnK = 0"
restrict2 <- "eq1_lnE - eq3_lnK = 0"
restrict3 <- "eq1_lnM - eq4_lnK = 0"
restrict4 <- "eq2_lnE - eq3_lnL = 0"
restrict5 <- "eq2_lnM - eq4_lnL = 0"
restrict6 <- "eq3_lnM - eq4_lnE = 0"
restrict7 <- "eq1_dK - eq2_dL = 0"
restrict8 <- "eq1_dK - eq3_dE = 0"
restrict9 <- "eq1_dK - eq4_dM = 0"
#restrict10 <- "eq1_(Intercept) + eq2_(Intercept) + eq3_(Intercept) + eq4_(Intercept) = 1"
#restrict11 <- "eq1_lnY + eq2_lnY + eq3_lnY + eq4_lnY = 0"
#restrict16 <- "eq1_t + eq2_t + eq3_t + eq4_t = 0"
restrict <- c(restrict1, restrict2, restrict3, restrict4, restrict5, restrict6,
restrict7, restrict8, restrict9)#, restrict10, restrict11, restrict16)
inst1 <- ~lnK1 + lnL1 + lnE1 + lnM1 + lnY1 + t1 + dK1 #+ lnY
inst2 <- ~lnK1 + lnL1 + lnE1 + lnM1 + lnY1 + t1 + dL1 #+ lnY
inst3 <- ~lnK1 + lnL1 + lnE1 + lnM1 + lnY1 + t1 + dL1 #+ lnY
inst4 <- ~lnK1 + lnL1 + lnE1 + lnM1 + lnY1 + t1 + dM1 #+ lnY
inst <- list(inst1, inst2, inst3, inst4)
try(c(system_eqn <- systemfit(eqlist, data = data, method="3SLS", inst = inst,
method3sls="GMM", restrict.matrix = restrict, maxiter = 100),
R2 <- c((summary(system_eqn)[[10]][[1]])$r.squared, (summary(system_eqn)[[10]][[2]])$r.squared,
(summary(system_eqn)[[10]][[3]])$r.squared, (summary(system_eqn)[[10]][[4]])$r.squared,
pbgtest(SK ~ lnK + lnL + lnE + lnM + lnY + t + dK, order.by = data$Year, data=data, type = "Chisq")[4],
pbgtest(SL ~ lnK + lnL + lnE + lnM + lnY + t + dL, order.by = data$Year, data=data, type = "Chisq")[4],
pbgtest(SE ~ lnK + lnL + lnE + lnM + lnY + t + dE, order.by = data$Year, data=data, type = "Chisq")[4],
pbgtest(SM ~ lnK + lnL + lnE + lnM + lnY + t + dM, order.by = data$Year, data=data, type = "Chisq")[4]),
success <- TRUE
), silent = TRUE)
R2_4DDynamic[i,1] <- i
Coef_4DDynamic[i,1] <- i
Err_4DDynamic[i,1] <- i
pval_4DDynamic[i,1] <- i
if (success == FALSE | any(R2[1:4] < 0)){
print(i)
} else {
for (j in 1:8){
R2_4DDynamic[i,j+1] <- R2[j] #(summary(system_eqn)[[10]][[1]])$r.squared
}
for (j in 1:8){
Coef_4DDynamic[i,j+1] <- (summary(system_eqn)[[10]][[1]])$coefficients[j,1]
Coef_4DDynamic[i,j+9] <- (summary(system_eqn)[[10]][[2]])$coefficients[j,1]
Coef_4DDynamic[i,j+17] <- (summary(system_eqn)[[10]][[3]])$coefficients[j,1]
Coef_4DDynamic[i,j+25] <- (summary(system_eqn)[[10]][[4]])$coefficients[j,1]
Err_4DDynamic[i,j+1] <- (summary(system_eqn)[[10]][[1]])$coefficients[j,2]
Err_4DDynamic[i,j+9] <- (summary(system_eqn)[[10]][[2]])$coefficients[j,2]
Err_4DDynamic[i,j+17] <- (summary(system_eqn)[[10]][[3]])$coefficients[j,2]
Err_4DDynamic[i,j+25] <- (summary(system_eqn)[[10]][[4]])$coefficients[j,2]
pval_4DDynamic[i,j+1] <- (summary(system_eqn)[[10]][[1]])$coefficients[j,4]
pval_4DDynamic[i,j+9] <- (summary(system_eqn)[[10]][[2]])$coefficients[j,4]
pval_4DDynamic[i,j+17] <- (summary(system_eqn)[[10]][[3]])$coefficients[j,4]
pval_4DDynamic[i,j+25] <- (summary(system_eqn)[[10]][[4]])$coefficients[j,4]
}
N <- nrow(data)
Ntrue <- sum(((fitted(system_eqn)[,1] + fitted(system_eqn)[,2] + fitted(system_eqn)[,3] + fitted(system_eqn)[,4] < 1) &
(fitted(system_eqn)[,1] > 0 & fitted(system_eqn)[,2] > 0)) &
(fitted(system_eqn)[,3] > 0 & fitted(system_eqn)[,4] > 0))
Nfalse <- N - Ntrue
R2_4DDynamic[i,10] <- Ntrue
R2_4DDynamic[i,11] <- Nfalse
#nc <- length(unique(data$Country)) - 1
Lambda <- (summary(system_eqn)[[10]][[1]])$coefficients[8]
# Alpha_K <- (summary(system_eqn)[[10]][[1]])$coefficients[1] / (1 - Lambda)
# Alpha_L <- (summary(system_eqn)[[10]][[2]])$coefficients[1] / (1 - Lambda)
# Alpha_E <- (summary(system_eqn)[[10]][[3]])$coefficients[1] / (1 - Lambda)
# Alpha_M <- (summary(system_eqn)[[10]][[4]])$coefficients[1] / (1 - Lambda)
# Alpha_S <- 1 - Alpha_K - Alpha_L - Alpha_E - Alpha_S
Beta_KK <- (summary(system_eqn)[[10]][[1]])$coefficients[2]
Beta_KL <- (summary(system_eqn)[[10]][[1]])$coefficients[3]
Beta_KE <- (summary(system_eqn)[[10]][[1]])$coefficients[4]
Beta_KM <- (summary(system_eqn)[[10]][[1]])$coefficients[5]
Beta_KS <- - Beta_KK - Beta_KL - Beta_KE - Beta_KM
Beta_LK <- Beta_KL
Beta_LL <- (summary(system_eqn)[[10]][[2]])$coefficients[3]
Beta_LE <- (summary(system_eqn)[[10]][[2]])$coefficients[4]
Beta_LM <- (summary(system_eqn)[[10]][[2]])$coefficients[5]
Beta_LS <- - Beta_LK - Beta_LL - Beta_LE - Beta_LM
Beta_EK <- Beta_KE
Beta_EL <- Beta_LE
Beta_EE <- (summary(system_eqn)[[10]][[3]])$coefficients[4]
Beta_EM <- (summary(system_eqn)[[10]][[3]])$coefficients[5]
Beta_ES <- - Beta_EK - Beta_EL - Beta_EE - Beta_EM
Beta_MK <- Beta_KM
Beta_ML <- Beta_LM
Beta_ME <- Beta_EM
Beta_MM <- (summary(system_eqn)[[10]][[4]])$coefficients[5]
Beta_MS <- - Beta_MK - Beta_ML - Beta_ME - Beta_MM
Beta_SK <- Beta_KS
Beta_SL <- Beta_LS
Beta_SE <- Beta_ES
Beta_SM <- Beta_MS
Beta_SS <- - Beta_SK - Beta_SL - Beta_SE - Beta_SM
data$kk <- (Beta_KK * Lambda + data$SK^2 - data$SK)/data$SK
data$ll <- (Beta_LL * Lambda + data$SL^2 - data$SL)/data$SL
data$ee <- (Beta_EE * Lambda + data$SE^2 - data$SE)/data$SE
data$mm <- (Beta_MM * Lambda + data$SM^2 - data$SM)/data$SM
data$ss <- (Beta_SS * Lambda + data$SS^2 - data$SS)/data$SS
Ntrue <- sum((data$kk < 0 & data$ll < 0 & data$ee < 0 & data$mm < 0 & data$ss < 0))
Nfalse <- N - Ntrue
R2_4DDynamic[i,12] <- Ntrue
R2_4DDynamic[i,13] <- Nfalse
test <- data.frame(matrix(NA, ncol=17, nrow = N))
names(test) <- c("Industry", "Country", "Year", "ActSK", "ActSL", "ActSE", "ActSM",
"FitSK", "FitSL", "FitSE", "FitSM", "ResSK", "ResSL",
"ResSE", "ResSM", "Monotonicity", "Concavity")
test$Industry <- data$Industry
test$Country <- data$Country
test$Year <- data$Year
test$ActSK <- data$SK
test$ActSL <- data$SL
test$ActSE <- data$SE
test$ActSM <- data$SM
test$FitSK <- system_eqn$eq[[1]]$fitted.values
test$FitSL <- system_eqn$eq[[2]]$fitted.values
test$FitSE <- system_eqn$eq[[3]]$fitted.values
test$FitSM <- system_eqn$eq[[4]]$fitted.values
test$ResSK <- system_eqn$eq[[1]]$residuals
test$ResSL <- system_eqn$eq[[2]]$residuals
test$ResSE <- system_eqn$eq[[3]]$residuals
test$ResSM <- system_eqn$eq[[4]]$residuals
test$Monotonicity <- ((fitted(system_eqn)[,1] + fitted(system_eqn)[,2] + fitted(system_eqn)[,3] + fitted(system_eqn)[,4] < 1) &
(fitted(system_eqn)[,1] > 0 & fitted(system_eqn)[,2] > 0)) &
(fitted(system_eqn)[,3] > 0 & fitted(system_eqn)[,4] > 0)
test$Concavity <- (data$kk < 0 & data$ll < 0 & data$ee < 0 & data$mm < 0 & data$ss < 0)
GlobalTest <- rbind(GlobalTest, test)
}
}
write.csv(R2_4DDynamic, "R2_4DDynamic.csv")
write.csv(Coef_4DDynamic, "Coef_4DDynamic.csv")
write.csv(Err_4DDynamic, "Err_4DDynamic.csv")
write.csv(pval_4DDynamic, "pval_4DDynamic.csv")
rm(list = ls()[grep("^Data4.", ls())])
rm(list = ls()[grep("^Agg4.", ls())])
rm(dlist4)