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[面板数据求助] 请教高手:stata与Eviews输出结果之比较 [推广有奖]

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luyunhang 发表于 2005-4-19 22:03:00 |显示全部楼层

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固定效应模型(Greene书中译本第525页第5题)

stata的输出

xtreg y x, fe i(cop)

Fixed-effects (within) regression Number of obs = 30 Group variable (i) : cop Number of groups = 3

R-sq: within = 0.9478 Obs per group: min = 10 between = 0.8567 avg = 10.0 overall = 0.9209 max = 10

F(1,26) = 472.26 corr(u_i, Xb) = -0.2311 Prob > F = 0.0000

y Coef. Std. Err. t P>t [95% Conf. Interval] x 1.102192 .0507186 21.73 0.000 .9979381 1.206445 _cons -1.394325 .8230266 -1.69 0.102 -3.08608 .2974308 sigma_u 1.480319 sigma_e 1.7451362 rho .41844744 (fraction of variance due to u_i) F test that all u_i=0: F(2, 26) = 6.81 Prob > F = 0.0042

Eviews的输出

Dependent Variable: Y?

Method: Pooled Least Squares

Date: 01/16/05 Time: 19:11

Sample: 1901 1910

Included observations: 10

Number of cross-sections used: 3

Total panel (balanced) observations: 30

Variable

Coefficient

Std. Error

t-Statistic

Prob.

X?

1.102192

0.050719

21.73150

0.0000

Fixed Effects

_A--C

-1.468445

_B--C

-2.836192

_C--C

0.121662

R-squared

0.948088

Mean dependent var

15.09667

Adjusted R-squared

0.942098

S.D. dependent var

7.252441

S.E. of regression

1.745136

Sum squared resid

79.18302

Log likelihood

-57.12662

Durbin-Watson stat

1.783884

请问在Stata的输出结果中,Fixed Effects(固定效应)在哪里?

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关键词:EVIEWS Views Eview Stata view EVIEWS 结果 高手 Stata 输出

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学而时习之,不亦乐乎?
luyunhang 发表于 2005-4-19 23:09:00 |显示全部楼层

哦,原来可以增加两个虚拟变量!

. xtreg y x dummy1 dummy2

Random-effects GLS regression Number of obs = 30 Group variable (i) : cop Number of groups = 3

R-sq: within = 0.9478 Obs per group: min = 10 between = 1.0000 avg = 10.0 overall = 0.9481 max = 10

Random effects u_i ~ Gaussian Wald chi2(3) = 474.85 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000

------------------------------------------------------------------------------ y | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- x | 1.102192 .0507186 21.73 0.000 1.002785 1.201598 dummy1 | -1.590107 .790415 -2.01 0.044 -3.139292 -.0409223 dummy2 | -2.957853 .8018587 -3.69 0.000 -4.529467 -1.386239 _cons | .1216622 .8570955 0.14 0.887 -1.558214 1.801538 -------------+---------------------------------------------------------------- sigma_u | 0 sigma_e | 1.7451362 rho | 0 (fraction of variance due to u_i) ------------------------------------------------------------------------------

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luyunhang 发表于 2005-4-19 23:11:00 |显示全部楼层

Fixed-effects (within) regression Number of obs = 30 Group variable (i) : cop Number of groups = 3

R-sq: within = 0.9478 Obs per group: min = 10 between = 0.8567 avg = 10.0 overall = 0.9209 max = 10

F(1,26) = 472.26 corr(u_i, Xb) = -0.2311 Prob > F = 0.0000

------------------------------------------------------------------------------ y | Coef. Std. Err. t P>|t| [90% Conf. Interval] -------------+---------------------------------------------------------------- x | 1.102192 .0507186 21.73 0.000 1.015685 1.188698 _cons | -1.394325 .8230266 -1.69 0.102 -2.798093 .0094443 -------------+---------------------------------------------------------------- sigma_u | 1.480319 sigma_e | 1.7451362 rho | .41844744 (fraction of variance due to u_i) ------------------------------------------------------------------------------ F test that all u_i=0: F(2, 26) = 6.81 Prob > F = 0.0042

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