. webuse invest2
. xtrc invest market stock
Random-coefficients regression Number of obs = 100
Group variable: company Number of groups = 5
Obs per group: min = 20
avg = 20.0
max = 20
Wald chi2(2) = 17.55
Prob > chi2 = 0.0002
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invest | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
market | .0807646 .0250829 3.22 0.001 .0316031 .1299261
stock | .2839885 .0677899 4.19 0.000 .1511229 .4168542
_cons | -23.58361 34.55547 -0.68 0.495 -91.31108 44.14386
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Test of parameter constancy: chi2(12) = 603.99 Prob > chi2 = 0.0000
最后一行的信息表明系数为常数的原假设被拒绝了。表明需要采用变系数模型。
至于变截距模型,其实就是在 Pooled OLS 基础上增加了 N-1 个虚拟变量,它所研究的问题与 xtrc 存在一定的差异。由于两个模型不是嵌套的(nested in each other),我还真不清楚还如何检验何者更为合适。
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