在对全国29个地区11个连续年份做面板数据分析时,选用相同的解释变量和被解释变量,但是:
豪斯曼检验的结果:
b = consistent under Ho and Ha; obtained from xtreg
B = inconsistent under Ha, efficient under Ho; obtained from xtreg
Test: Ho: difference in coefficients not systematic
chi2(4) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 20.81
Prob>chi2 = 0.0003
(V_b-V_B is not positive definite)
应该是固定效应优于随机效应吧?
固定效应结果:
R-sq: within = 0.6478 Obs per group: min = 11
between = 0.6773 avg = 11.0
overall = 0.6128 max = 11
F(3,287) = 175.99
corr(u_i, Xb) = 0.5340 Prob > F = 0.0000
------------------------------------------------------------------------------
lny | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
X1| .2412674 .019244 12.54 0.000 .2033901 .2791447
X2 | .2003239 .1899184 1.05 0.292 -.1734858 .5741335
X3 | -.5905467 .122056 -4.84 0.000 -.8307851 -.3503083
_cons | 7.188519 .4079087 17.62 0.000 6.385648 7.991391
-------------+----------------------------------------------------------------
sigma_u | .36240227
sigma_e | .08648628
rho | .94611634 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(28, 287) = 116.53 Prob > F = 0.0000
随机效应结果:
R-sq: within = 0.6467 Obs per group: min = 11
between = 0.6973 avg = 11.0
overall = 0.6351 max = 11
Random effects u_i ~ Gaussian Wald chi2(3) = 537.31
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
lny | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
x1 | .2326735 .0194109 11.99 0.000 .1946288 .2707182
X2 | .3884143 .1877992 2.07 0.039 .0203347 .7564939
X3| -.6415152 .1234153 -5.20 0.000 -.8834047 -.3996257
_cons | 6.847403 .4109459 16.66 0.000 6.041964 7.652842
-------------+----------------------------------------------------------------
sigma_u | .27405846
sigma_e | .08648628
rho | .90943135 (fraction of variance due to u_i)
X2在RE中显著,但在FE中不显著。似乎表明,RE比FE要好。
而X2又是课题中的关键变量,不能丢弃。
请问,我应该选哪种模型?如果能用固定效应,是不是调整下解释变量的形式会好些,比如加入交叉项或滞后项有用吗?
第一次发帖,紧急求助,希望各位高手们不吝赐教~