. xtreg lny lnh lnk lnl, fe i (province)
Fixed-effects (within) regression Number of obs = 532 Group variable (i): province Number of groups = 28
R-sq: within = 0.9492 Obs per group: min = 19 between = 0.9739 avg = 19.0 overall = 0.9655 max = 19
F(3,501) = 3121.38 corr(u_i, Xb) = -0.4768 Prob > F = 0.0000
------------------------------------------------------------------------------ lny | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnh | .363275 .0427629 8.50 0.000 .2792583 .4472916 lnk | .6805351 .0119278 57.05 0.000 .6571004 .7039697 lnl | .5857636 .0683678 8.57 0.000 .4514408 .7200865 _cons | -.5523593 .4679209 -1.18 0.238 -1.471688 .3669698 -------------+---------------------------------------------------------------- sigma_u | .16018491 sigma_e | .11455977 rho | .66160712 (fraction of variance due to u_i) ------------------------------------------------------------------------------ F test that all u_i=0: F(27, 501) = 12.84 Prob > F = 0.0000
. sort province year
. for var lny lnh lnk lnl: qui by province: g DX=X[_n]-X[_n-1]
-> qui by province: g Dlny=lny[_n]-lny[_n-1]
-> qui by province: g Dlnh=lnh[_n]-lnh[_n-1]
-> qui by province: g Dlnk=lnk[_n]-lnk[_n-1]
-> qui by province: g Dlnl=lnl[_n]-lnl[_n-1]
. reg Dlny Dlnh Dlnk Dlnl
Source | SS df MS Number of obs = 504 -------------+------------------------------ F( 3, 500) = 96.02 Model | .524001283 3 .174667094 Prob > F = 0.0000 Residual | .909536002 500 .001819072 R-squared = 0.3655 -------------+------------------------------ Adj R-squared = 0.3617 Total | 1.43353729 503 .002849975 Root MSE = .04265
------------------------------------------------------------------------------ Dlny | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- Dlnh | .145337 .0344233 4.22 0.000 .0777048 .2129692 Dlnk | .2364523 .0139977 16.89 0.000 .2089508 .2639538 Dlnl | -.1021516 .0620731 -1.65 0.100 -.2241079 .0198047 _cons | .0615844 .0026323 23.40 0.000 .0564127 .0667561 ------------------------------------------------------------------------------
. xtgls Dlny Dlnh Dlnk Dlnl
Cross-sectional time-series FGLS regression
Coefficients: generalized least squares Panels: homoskedastic Correlation: no autocorrelation
Estimated covariances = 1 Number of obs = 504 Estimated autocorrelations = 0 Number of groups = 28 Estimated coefficients = 4 Time periods = 18 Wald chi2(3) = 290.36 Log likelihood = 876.839 Prob > chi2 = 0.0000
------------------------------------------------------------------------------ Dlny | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- Dlnh | .145337 .0342865 4.24 0.000 .0781368 .2125373 Dlnk | .2364523 .013942 16.96 0.000 .2091265 .2637782 Dlnl | -.1021516 .0618263 -1.65 0.098 -.223329 .0190257 _cons | .0615844 .0026218 23.49 0.000 .0564457 .0667231 ------------------------------------------------------------------------------
[此贴子已经被作者于2005-11-1 19:34:14编辑过]