以下是引用lukeice在2007-1-31 20:47:00的发言: 你用的面板数据模型是什么?
Fixed Effect?
如果是,
符号不同是正常的,
因为在FE模型中,你剔除了固定效果;
而OLS估计就是有偏的。
恭喜你,你也许是得到了有趣的发现!
谢谢您。
关键是我们是如何取舍结果呢?如果符号不同,其经济含义就不同的。
OLS:
reg lngdp lnziben lnrenli jiaoyi
Source | SS df MS Number of obs = 206
-------------+------------------------------ F( 3, 202) = 230.92
Model | 22.405809 3 7.46860301 Prob > F = 0.0000
Residual | 6.53313413 202 .032342248 R-squared = 0.7742
-------------+------------------------------ Adj R-squared = 0.7709
Total | 28.9389431 205 .141165576 Root MSE = .17984
------------------------------------------------------------------------------
lngdp | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lnziben | .6305782 .0310074 20.34 0.000 .5694386 .6917178
lnrenli | .4865001 .1325911 3.67 0.000 .2250599 .7479403
jiaoyi | .2054489 .0636243 3.23 0.001 .0799959 .330902
_cons | 1.56149 .323377 4.83 0.000 .9238624 2.199117
------------------------------------------------------------------------------
PANEL DATA:
xtreg lngdp lnziben lnrenli jiaoyi,fe
Fixed-effects (within) regression Number of obs = 206
Group variable (i): diqu Number of groups = 19
R-sq: within = 0.8292 Obs per group: min = 8
between = 0.4789 avg = 10.8
overall = 0.6339 max = 11
F(3,184) = 297.76
corr(u_i, Xb) = -0.3768 Prob > F = 0.0000
------------------------------------------------------------------------------
lngdp | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lnziben | .8394926 .0358939 23.39 0.000 .7686761 .9103092
lnrenli | .2477823 .1191919 2.08 0.039 .0126238 .4829409
jiaoyi | -.0774143 .0786784 -0.98 0.326 -.232642 .0778135
_cons | -.099759 .2914722 -0.34 0.733 -.6748164 .4752983
-------------+----------------------------------------------------------------
sigma_u | .21868982
sigma_e | .12023762
rho | .7678782 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(18, 184) = 14.88 Prob > F = 0.0000
解释变量jiaoyi符号变成了负的。而这不符合我的经济涵义啊?xiexie