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| . xtreg p1 dg ds dt fg fs ft, re |
| Random-effects GLS regression Number of obs = 330 |
| Group variable: i Number of groups = 30 |
| R-sq: within = 0.2257 Obs per group: min = 11 |
| between = 0.7572 avg = 11.0 |
| overall = 0.6088 max = 11 |
| Wald chi2(6) = 109.77 |
| corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 |
| p1 Coef. Std. Err. z P>z [95% Conf. Interval] |
| dg .0111848 .0029551 3.78 0.000 .0053928 .0169767 |
| ds -12.64256 4.125702 -3.06 0.002 -20.72878 -4.556329 |
| dt .7687046 .3501209 2.20 0.028 .0824803 1.454929 |
| fg .0076898 .0045073 1.71 0.088 -.0011442 .0165239 |
| fs -1.079189 1.334719 -0.81 0.419 -3.69519 1.536813 |
| ft -.2296786 .4661017 -0.49 0.622 -1.143221 .683864 |
| _cons 760.8861 73.09908 10.41 0.000 617.6146 904.1577 |
| sigma_u 293.58827 |
| sigma_e 149.46782 |
| rho .79416142 (fraction of variance due to u_i) |
| . est store re |
| . xtreg p1 dg ds dt fg fs ft, fe |
| Fixed-effects (within) regression Number of obs = 330 |
| Group variable: i Number of groups = 30 |
| R-sq: within = 0.2304 Obs per group: min = 11 |
| between = 0.7418 avg = 11.0 |
| overall = 0.5704 max = 11 |
| F(6,294) = 14.67 |
| corr(u_i, Xb) = 0.6598 Prob > F = 0.0000 |
| p1 Coef. Std. Err. t P>t [95% Conf. Interval] |
| dg .0086808 .0028059 3.09 0.002 .0031586 .0142031 |
| ds -7.226417 4.020715 -1.80 0.073 -15.13945 .6866149 |
| dt .5928148 .3307276 1.79 0.074 -.0580789 1.243708 |
| fg .0078365 .0043386 1.81 0.072 -.0007021 .0163751 |
| fs -.9647257 1.238477 -0.78 0.437 -3.40213 1.472679 |
| ft -.2333571 .4358886 -0.54 0.593 -1.091215 .6245004 |
| _cons 724.6549 41.60323 17.42 0.000 642.777 806.5328 |
| sigma_u 532.70478 |
| sigma_e 149.46782 |
| rho .92701884 (fraction of variance due to u_i) |
| F test that all u_i=0: F(29, 294) = 63.95 Prob > F = 0.0000 |
| . est store fe |
| . hausman re fe |
| ---- Coefficients ---- |
| (b) (B) (b-B) sqrt(diag(V_b-V_B)) |
| re fe Difference S.E. |
| dg .0111848 .0086808 .0025039 .0009272 |
| ds -12.64256 -7.226417 -5.416139 .9248032 |
| dt .7687046 .5928148 .1758898 .1149081 |
| fg .0076898 .0078365 -.0001467 .0012216 |
| fs -1.079189 -.9647257 -.1144631 .497644 |
| ft -.2296786 -.2333571 .0036785 .1650815 |
| 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(6) = (b-B)'[(V_b-V_B)^(-1)](b-B) |
| = 110.91 |
| Prob>chi2 = 0.0000 |
选择固定效应模型
固定效应异方差检验结果如下：
| . xttest3 | |
| Modified Wald test for groupwise | heteroskedasticity |
| in fixed effect regression model | |
| H0: sigma(i)^2 = sigma^2 for all | i |
| chi2 (30) = 42557.67 | |
| Prob>chi2 = 0.0000 | |
表明存在异方差了。
怎么修正呢？
难道是用FGLS估计吗？
| . xtgls p1 dg ds dt fg fs ft, panel(heteroskedastic) | |
| Cross-sectional time-series FGLS regression | |
| Coefficients: generalized least squares | |
| Panels: heteroskedastic | |
| Correlation: no autocorrelation | |
| Estimated covariances = 30 Number of obs = | 330 |
| Estimated autocorrelations = 0 Number of groups = | 30 |
| Estimated coefficients = 7 Time periods = | 11 |
| Wald chi2(6) = | 590.00 |
| Prob > chi2 = | 0.0000 |
| p1 Coef. Std. Err. z P>z [95% Conf. | Interval] |
| dg .042909 .0035188 12.19 0.000 .0360123 | .0498056 |
| ds -29.51432 3.37747 -8.74 0.000 -36.13404 | -22.8946 |
| dt .1694073 .4048436 0.42 0.676 -.6240716 | .9628861 |
| fg .0108368 .0054424 1.99 0.046 .0001699 | .0215037 |
| fs -3.017731 1.849226 -1.63 0.103 -6.642148 | .6066857 |
| ft .4162204 .4940019 0.84 0.399 -.5520055 | 1.384446 |
| _cons 822.8147 52.76306 15.59 0.000 719.401 | 926.2284 |
这个结果还可以说是固定效应模型吗？
另外PCSE的结果如下：
| . xtpcse p1 dg ds dt fg fs ft | |
| Linear regression, correlated panels corrected | standard errors (PCSEs) |
| Group variable: i | Number of obs = 330 |
| Time variable: t | Number of groups = 30 |
| Panels: correlated (balanced) | Obs per group: min = 11 |
| Autocorrelation: no autocorrelation | avg = 11 |
| max = 11 | |
| Estimated covariances = 465 | R-squared = 0.6425 |
| Estimated autocorrelations = 0 | Wald chi2(6) = 289.94 |
| Estimated coefficients = 7 | Prob > chi2 = 0.0000 |
| Panel-corrected | |
| p1 Coef. Std. Err. z | P>z [95% Conf. Interval] |
| dg .0383731 .0054828 7.00 | 0.000 .027627 .0491193 |
| ds -32.65586 3.48672 -9.37 | 0.000 -39.48971 -25.82202 |
| dt -.0715003 .6054877 -0.12 | 0.906 -1.258234 1.115234 |
| fg .0172674 .0052236 3.31 | 0.001 .0070293 .0275054 |
| fs -4.399319 1.756286 -2.50 | 0.012 -7.841576 -.9570619 |
| ft 1.14975 .6960338 1.65 | 0.099 -.2144515 2.513951 |
| _cons 896.0825 38.4172 23.33 | 0.000 820.7862 971.3789 |
以上结果有什么区别？怎么选择？异方差问题怎么处理啊？
请高手指点一下，俺的课程论文快要的deadline啦。
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