求教xtgls和xtreg

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看到文献中，hauseman检验完了用可行广义最小二乘法计量，应该是xtgls吧，那这和固定效应一样么，欢迎大家讨论

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关键词：xtgls xtreg REG hauseman 广义最小二乘法 求教 xtreg xtgls

给一个实例相互学习：

. xtgls lny lnK lnH lnh

Cross-sectional time-series FGLS regression

Coefficients: generalized least squares
Panels: homoskedastic
Correlation: no autocorrelation

Estimated covariances = 1 Number of obs = 580
Estimated autocorrelations = 0 Number of groups = 29
Estimated coefficients = 4 Time periods = 20
Wald chi2(3) = 41817.64
Log likelihood = 297.2711 Prob > chi2 = 0.0000

------------------------------------------------------------------------------
lny | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lnK | .8342499 .0110449 75.53 0.000 .8126023 .8558975
lnH | .2598012 .011067 23.48 0.000 .2381104 .2814921
lnh | .1848715 .0507405 3.64 0.000 .0854221 .284321
_cons | -.8035356 .1137101 -7.07 0.000 -1.026403 -.5806678
------------------------------------------------------------------------------

再给一个实例：

. xtgls lny lnK lnH lnh lnneng1 lnceng1 r3 ,igls
Iteration 1: tolerance = 0

Cross-sectional time-series FGLS regression

Coefficients: generalized least squares
Panels: homoskedastic
Correlation: no autocorrelation

Estimated covariances = 1 Number of obs = 580
Estimated autocorrelations = 0 Number of groups = 29
Estimated coefficients = 7 Time periods = 20
Wald chi2(6) = 43245.79
Log likelihood = 306.8788 Prob > chi2 = 0.0000

------------------------------------------------------------------------------
lny | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lnK | .8293805 .0128434 64.58 0.000 .8042079 .8545531
lnH | .250714 .012161 20.62 0.000 .2268789 .2745491
lnh | .150626 .0596467 2.53 0.012 .0337206 .2675314
lnneng1 | .2053183 .0648674 3.17 0.002 .0781805 .332456
lnceng1 | -.2082823 .0639306 -3.26 0.001 -.3335839 -.0829807
r3 | -.0643505 .0175545 -3.67 0.000 -.0987566 -.0299443
_cons | -.634309 .1343611 -4.72 0.000 -.897652 -.370966
------------------------------------------------------------------------------

[此贴子已经被作者于2007-5-29 16:17:10编辑过]

楼上显示的Panels:homoskedastic，这样的话是不是需要调整异方差，即:xtgls lny lnk lnH lnh , panels(h)

http://jinhe.xjtu.edu.cn:8080/dispbbs.asp?boardID=5&ID=254

https://bbs.pinggu.org/thread-229963-1-1.html&page=1