[讨论]STATA 专题讨论

今天网络出了毛病，一直都不能访问这个网站，真是急死我了。arlionn老师，我已经给您发了邮件。谢谢您的帮助！

我们学校也用这个，以后可以多多交流，谢谢楼主

以下是引用pudder在2005-11-2 5:55:52的发言：

感谢arllionn的答复！

继续求教：

1。请问应该如何“直接用矩阵进行运算”？能否简要说明一下？

2。我尝试着用xtgls命令，设定了异方差，但是结果并没有太大差别。您能否大概说下应该怎么做？如下：

我采用了一个简单的例子加以说明，结果如下，你可以换成任意的数据去验证。

==============Part1: codes =================

// to show that the Whithin estimator <===> GLS estimator for FDed data use "D:\stata8\ado\Examples\XTFiles\invest2.dta", clear qui tsset com time qui xtdes local N = r(N) local T = r(mean)

*--1--* set up dataset in matrix format mkmat invest , mat(Y) mkmat mark st, mat(X)

*--2--* Whithin estimation mat one = J(`T',1,1) mat One = J(`N'*`T',1,1) mat D = I(`N')#one mat Q = I(`N'*`T') - D*inv(D'*D)*D' mat beta_w = inv(X'*Q*X)*X'*Q*Y

*--3--* First Differenced data, estimated by GLS mat B = J(`T'-1,`T',0) mat B[1,1] = -1*I(`T'-1) mat B1 = B mat B = J(`T'-1,`T',0) mat B[1,2] = I(`T'-1) mat B2 = B mat B = B1 + B2

mat QB = I(`N')#B mat QQ = QB'*inv(QB*QB')*QB mat beta_f = inv(X'*QQ*X)*X'*QQ*Y

mat list beta_w /* Whithin estimator */ mat list beta_f /* GLS estimator for First differenced data */

==============Part2 Results===============

. mat list beta_w /* Whithin estimator */ beta_w[2,1] invest market .10597991 stock .34665958

. mat list beta_f /* GLS estimator for First differenced data */

beta_f[2,1] invest market .10597991 stock .34665958

证明的部分已经发到你的邮箱里。

ding!

arlionn:

建议你在这儿开了stata和计量经济学的版，由你人斑竹！因为这儿人气旺！

呵呵，我这点东西，还不都是雕虫小技，只是学习的过程中大家互相交流而已。人大论坛里高手如云，只是都比较内敛而已。其实，我有很多问题也是在这里看到有人提问才去思考的，人都是有惰性的。

不过还是感谢constant的支持。

http://jinhe.xjtu.edu.cn/bbs/list.asp?boardid=5

感谢arlionn的帮助！！！

请问应该如何检验 xtreg lny lnh lnk lnl, fe i (province), . reg Dlny Dlnh Dlnk Dlnl, 与 . xtgls Dlny Dlnh Dlnk Dlnl, p(h)结果不一样的原因?

. xtreg lny lnh lnk lnl, fe i (province)

Fixed-effects (within) regression Number of obs = 532 Group variable (i): province Number of groups = 28

R-sq: within = 0.9492 Obs per group: min = 19 between = 0.9739 avg = 19.0 overall = 0.9655 max = 19

F(3,501) = 3121.38 corr(u_i, Xb) = -0.4768 Prob > F = 0.0000

------------------------------------------------------------------------------ lny | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnh | .363275 .0427629 8.50 0.000 .2792583 .4472916 lnk | .6805351 .0119278 57.05 0.000 .6571004 .7039697 lnl | .5857636 .0683678 8.57 0.000 .4514408 .7200865 _cons | -.5523593 .4679209 -1.18 0.238 -1.471688 .3669698 -------------+---------------------------------------------------------------- sigma_u | .16018491 sigma_e | .11455977 rho | .66160712 (fraction of variance due to u_i) ------------------------------------------------------------------------------ F test that all u_i=0: F(27, 501) = 12.84 Prob > F =

. reg Dlny Dlnh Dlnk Dlnl

Source | SS df MS Number of obs = 504 -------------+------------------------------ F( 3, 500) = 96.02 Model | .524001283 3 .174667094 Prob > F = 0.0000 Residual | .909536002 500 .001819072 R-squared = 0.3655 -------------+------------------------------ Adj R-squared = 0.3617 Total | 1.43353729 503 .002849975 Root MSE = .04265

------------------------------------------------------------------------------ Dlny | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- Dlnh | .145337 .0344233 4.22 0.000 .0777048 .2129692 Dlnk | .2364523 .0139977 16.89 0.000 .2089508 .2639538 Dlnl | -.1021516 .0620731 -1.65 0.100 -.2241079 .0198047 _cons | .0615844 .0026323 23.40 0.000 .0564127 .0667561 ------------------------------------------------------------------------------

. xtgls Dlny Dlnh Dlnk Dlnl, p(h)

Cross-sectional time-series FGLS regression

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

Estimated covariances = 28 Number of obs = 504 Estimated autocorrelations = 0 Number of groups = 28 Estimated coefficients = 4 Time periods = 18 Wald chi2(3) = 417.28 Log likelihood = 919.7783 Prob > chi2 = 0.0000

------------------------------------------------------------------------------ Dlny | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- Dlnh | .145723 .0296073 4.92 0.000 .0876938 .2037522 Dlnk | .2468983 .0121668 20.29 0.000 .2230518 .2707448 Dlnl | -.0896344 .058913 -1.52 0.128 -.2051017 .025833 _cons | .0618981 .0023371 26.49 0.000 .0573175 .0664787 ------------------------------------------------------------------------------

发重了，请删除该贴。谢谢！

[此贴子已经被作者于2005-11-8 19:51:10编辑过]

看完 Greene（2000）chapter14 and chapter15, all the questions will be non-questions.