请问:对面板数据用工具变量法(2SLS)估计之前,是否必须对原数据进行一阶差分?虚拟变量需要一阶差分吗?如果工具变量中包含虚拟变量,命令语句是什么?
这是我用reg3命令运行的2SLS结果,
Two-stage least-squares regression
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Equation Obs Parms RMSE "R-sq" F-Stat P
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y 1374 18 11.77843 0.4404 72.31 0.0000
x1 1374 5 11.59362 0.6769 378.53 0.0000
x2 1374 7 8.4071 0.7818 443.94 0.0000
x3 1374 8 10.41335 0.2950 71.38 0.0000
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| Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
y |
x1 | .7176677 .1641255 4.37 0.000 .3959162 1.039419
x4 | .154446 .0402936 3.83 0.000 .0754545 .2334375
x2 | -.2819158 .1099606 -2.56 0.010 -.4974824 -.0663492
x3 | .8102713 .0947701 8.55 0.000 .624484 .9960586
x5 | .3738527 .0863277 4.33 0.000 .2046159 .5430895
|
x6 |
2 | -12.96043 2.141375 -6.05 0.000 -17.15838 -8.762479
3 | -15.41067 2.587649 -5.96 0.000 -20.4835 -10.33785
4 | -16.69198 2.472432 -6.75 0.000 -21.53893 -11.84503
5 | -13.28629 2.486733 -5.34 0.000 -18.16128 -8.411297
6 | -15.82416 2.561539 -6.18 0.000 -20.8458 -10.80252
7 | -7.949364 4.316468 -1.84 0.066 -16.41136 .5126362
9 | -16.41282 2.456488 -6.68 0.000 -21.22852 -11.59713
10 | -16.9424 2.468241 -6.86 0.000 -21.78114 -12.10367
11 | -8.811044 2.216985 -3.97 0.000 -13.15722 -4.464869
12 | -14.13628 2.425819 -5.83 0.000 -18.89185 -9.380707
13 | -14.06892 2.526424 -5.57 0.000 -19.02172 -9.116123
14 | -8.831466 2.293403 -3.85 0.000 -13.32745 -4.335481
15 | -2.024602 2.462727 -0.82 0.411 -6.85253 2.803325
|
_cons | -21.09128 10.92874 -1.93 0.054 -42.51598 .3334249
-------------+----------------------------------------------------------------
x1 |
x3 | -.5428219 .0614116 -8.84 0.000 -.6632132 -.4224305
x2 | .807544 .0320664 25.18 0.000 .744681 .870407
|
x7 |
2 | 5.448662 1.325705 4.11 0.000 2.849751 8.047574
3 | 2.637176 1.158927 2.28 0.023 .3652161 4.909136
4 | .6274761 1.146249 0.55 0.584 -1.61963 2.874582
|
_cons | 30.63993 4.683355 6.54 0.000 21.45868 39.82117
-------------+----------------------------------------------------------------
x2 |
y | .4990365 .0312878 15.95 0.000 .4377 .560373
x3 | .5336184 .0246106 21.68 0.000 .4853718 .5818651
|
x9 |
2 | 7.452748 .809049 9.21 0.000 5.866689 9.038807
3 | 7.814292 .8336816 9.37 0.000 6.179943 9.44864
4 | 7.298722 .9738443 7.49 0.000 5.389599 9.207845
5 | 3.158993 1.025242 3.08 0.002 1.149109 5.168877
现在如何进行过度性识别检验呢,为什么用xtivreg 命令运行就不行呢?另外过度识别检验命令xtoverid运行时总是显示“invalid subcommand xtoverid”