[求助]面板数据做出来R方太小-经管之家官网！

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. xtset comm year
panel variable: comm (strongly balanced)
time variable: year, 2002 to 2006
delta: 1 unit

.
. sum tc vi

Variable | Obs Mean Std. Dev. Min Max
-------------+--------------------------------------------------------
tc | 4020 .6430636 .1557206 .1548404 .9941447
vi | 4020 .4504518 .2914263 3.03e-07 .9997568

.
. reg tc vi

Source | SS df MS Number of obs = 4020
-------------+------------------------------ F( 1, 4018) = 26.68
Model | .642918735 1 .642918735 Prob > F = 0.0000
Residual | 96.8134192 4018 .024094928 R-squared = 0.0066
Total | 97.4563379 4019 .024248902 Root MSE = .15523

------------------------------------------------------------------------------
tc | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
vi | .0434001 .0084019 5.17 0.000 .0269278 .0598723
_cons | .6235139 .0045075 138.33 0.000 .6146768 .6323511
------------------------------------------------------------------------------

.
. xi:xtreg tc vi i.year,fe
i.year _Iyear_2002-2006 (naturally coded; _Iyear_2002 omitted)

Fixed-effects (within) regression Number of obs = 4020
Group variable: comm Number of groups = 804

R-sq: within = 0.0043 Obs per group: min = 5
between = 0.0082 avg = 5.0
overall = 0.0046 max = 5

F(5,3211) = 2.79
corr(u_i, Xb) = -0.0768 Prob > F = 0.0160

------------------------------------------------------------------------------
tc | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
vi | -.0039905 .0018901 -2.11 0.035 -.0076965 -.0002845
_Iyear_2003 | .0005467 .0006965 0.78 0.433 -.0008189 .0019122
_Iyear_2004 | .0014861 .0006968 2.13 0.033 .0001199 .0028524
_Iyear_2005 | -.0002699 .000699 -0.39 0.699 -.0016404 .0011006
_Iyear_2006 | -.0004994 .0007047 -0.71 0.479 -.0018811 .0008822
_cons | .6446084 .0010294 626.22 0.000 .6425901 .6466267
-------------+----------------------------------------------------------------
sigma_u | .1553958
sigma_e | .0139442
rho | .99201223 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(803, 3211) = 616.04 Prob > F = 0.0000

.
. xi:xtreg tc vi i.year,re
i.year _Iyear_2002-2006 (naturally coded; _Iyear_2002 omitted)

Random-effects GLS regression Number of obs = 4020
Group variable: comm Number of groups = 804

R-sq: within = 0.0043 Obs per group: min = 5
between = 0.0082 avg = 5.0
overall = 0.0043 max = 5

Random effects u_i ~ Gaussian Wald chi2(5) = 12.97
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0237

------------------------------------------------------------------------------
tc | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
vi | -.0035127 .0018837 -1.86 0.062 -.0072046 .0001793
_Iyear_2003 | .0005561 .000697 0.80 0.425 -.0008101 .0019223
_Iyear_2004 | .0014971 .0006974 2.15 0.032 .0001303 .002864
_Iyear_2005 | -.0002522 .0006995 -0.36 0.718 -.0016233 .0011188
_Iyear_2006 | -.0004707 .0007052 -0.67 0.504 -.0018529 .0009114
_cons | .6443798 .0055537 116.03 0.000 .6334948 .6552648
-------------+----------------------------------------------------------------
sigma_u | .15463201
sigma_e | .0139442
rho | .99193376 (fraction of variance due to u_i)
------------------------------------------------------------------------------

.
. xttest0

Breusch and Pagan Lagrangian multiplier test for random effects

tc[comm,t] = Xb + u[comm] + e[comm,t]

Estimated results:
| Var sd = sqrt(Var)
---------+-----------------------------
tc | .0242489 .1557206
e | .0001944 .0139442
u | .0239111 .154632

Test: Var(u) = 0
chi2(1) = 7885.58
Prob > chi2 = 0.0000

.
. qui xtreg tc vi ,fe

. estimates store fe

. qui xtreg tc vi ,re

. estimates store re

. hausman fe

---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| fe re Difference S.E.
-------------+----------------------------------------------------------------
vi | -.003554 -.0030925 -.0004616 .0001518
------------------------------------------------------------------------------
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(1) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 9.25
Prob>chi2 = 0.0024

.
end of do-file

.

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本文标题：[求助]面板数据做出来R方太小

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