因变量是Risk,自变量是In, 控制了年份差距以后回归就自动把In给删除了?In是一个宏观变量,类似GDP增长率每个企业都一样,Risk是微观变量,每个企业有区别,这样做的结果是说我的宏观自变量对Risk实际上没有影响吗?如果没有控制年份差距,In对Risk 的影响是显著的。以下是研究结果,谢谢连老师!
xtreg Risk In Asset Debtratio dumyr*, fe
note: In omitted because of collinearity
note: dumyr6 omitted because of collinearity
Fixed-effects (within) regression Number of obs = 6498
Group variable: code1 Number of groups = 1083
R-sq: within = 0.0975 Obs per group: min = 6
between = 0.0166 avg = 6.0
overall = 0.0407 max = 6
F(7,5408) = 83.51
corr(u_i, Xb) = 0.0089 Prob > F = 0.0000
------------------------------------------------------------------------------
Risk | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
In | 0 (omitted)
Asset | -.0583756 .0155412 -3.76 0.000 -.0888426 -.0279085
Debtratio | .0618058 .0321258 1.92 0.054 -.0011736 .1247852
dumyr1 | .2179454 .0182062 11.97 0.000 .1822539 .2536369
dumyr2 | .2348878 .0175804 13.36 0.000 .2004232 .2693524
dumyr3 | .2382286 .0173067 13.77 0.000 .2043005 .2721567
dumyr4 | .2379443 .0170861 13.93 0.000 .2044486 .2714399
dumyr5 | .0049089 .0167917 0.29 0.770 -.0280095 .0378273
dumyr6 | 0 (omitted)
_cons | 1.314766 .338426 3.88 0.000 .6513151 1.978218
-------------+----------------------------------------------------------------
sigma_u | .56839638
sigma_e | .39014821
rho | .67974162 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(1082, 5408) = 12.42 Prob > F = 0.0000
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