arlionn 发表于 2008-3-1 08:17
sum sizegen dumsize = size>mean(size)xtreg y x if dumsizeest store g1xtreg y x if dumsize==0est st ...
连老师,您好。在面板数据分组回归时,譬如3年10只股票的数据(y,x1,x2,x3),如果按照某个自变量(如资产负债率x1)的值的大小分成高低两组回归,分组后的样本数据会是什么样式的呢?好像很可能出现截面单位和时间序列都不同的两组数据吧?还是有别的理解?请求连老师指点迷津。谢谢。下面有一例子。
code | year | Y | X1 | X2 |
000002 | 2010 | -0.0835 | 0.001917 | -0.48862779 |
000004 | 2010 | 0.1008 | 0.001609 | -0.30223528 |
000005 | 2010 | -0.1721 | 0.002366 | -0.11639507 |
000007 | 2010 | 0.1035 | 0.00338 | -0.23831020 |
000009 | 2010 | 0.2351 | 0.00357 | -0.10678309 |
000010 | 2010 | 0.0938 | 0.002412 | -0.21438179 |
000011 | 2010 | -0.1353 | 0.005043 | -0.49784946 |
000012 | 2010 | 0.2911 | 0.002791 | -0.07366886 |
000014 | 2010 | -0.1720 | 0.003903 | -0.42305395 |
000016 | 2010 | -0.1610 | 0.004063 | -0.03861552 |
000002 | 2011 | -0.0190 | 0.001985 | -0.27301307 |
000004 | 2011 | -0.1343 | 0.002443 | -0.38374252 |
000005 | 2011 | 0.0283 | 0.003469 | -0.18076600 |
000007 | 2011 | -0.0840 | 0.002061 | -0.24890881 |
000009 | 2011 | -0.1208 | 0.004727 | -0.21256503 |
000010 | 2011 | 0.0000 | 0.000449 | -0.12213001 |
000011 | 2011 | 0.0097 | 0.005564 | -0.49870220 |
000012 | 2011 | -0.2750 | 0.004194 | -0.14267728 |
000014 | 2011 | -0.2338 | 0.001198 | -0.46207582 |
000016 | 2011 | -0.1440 | 0.002326 | -0.08418869 |
000002 | 2012 | 0.1470 | 0.00164 | -0.29231428 |
000004 | 2012 | 0.0391 | 0.001978 | -0.37963752 |
000005 | 2012 | -0.0855 | 0.002607 | -0.36481717 |
000007 | 2012 | 0.3710 | 0.006205 | -0.23968926 |
000009 | 2012 | -0.0450 | 0.004691 | -0.23376867 |
000010 | 2012 | 0.1294 | 0.008309 | -0.06859786 |
000011 | 2012 | 0.1125 | 0.003307 | -0.46392706 |
000012 | 2012 | -0.0018 | 0.001788 | -0.20527172 |
000014 | 2012 | 0.3007 | 0.007912 | -0.63942665 |
000016 | 2012 | 0.0211 | 0.002061 | -0.10006364 |
上表表示10只股票的3年间的数据。已按x1从小到大排序了。
code | year | Y | X1 | X2 |
000002 | 2012 | 0.1470 | 0.00164 | -0.29231428 |
000002 | 2010 | -0.0835 | 0.001917 | -0.48862779 |
000002 | 2011 | -0.0190 | 0.001985 | -0.27301307 |
000004 | 2010 | 0.1008 | 0.001609 | -0.30223528 |
000004 | 2012 | 0.0391 | 0.001978 | -0.37963752 |
000004 | 2011 | -0.1343 | 0.002443 | -0.38374252 |
000005 | 2010 | -0.1721 | 0.002366 | -0.11639507 |
000005 | 2012 | -0.0855 | 0.002607 | -0.36481717 |
000007 | 2011 | -0.0840 | 0.002061 | -0.24890881 |
000010 | 2011 | 0.0000 | 0.000449 | -0.12213001 |
000010 | 2010 | 0.0938 | 0.002412 | -0.21438179 |
000012 | 2012 | -0.0018 | 0.001788 | -0.20527172 |
000014 | 2011 | -0.2338 | 0.001198 | -0.46207582 |
000016 | 2012 | 0.0211 | 0.002061 | -0.10006364 |
000016 | 2011 | -0.1440 | 0.002326 | -0.08418869 |
上表为低x1组样本情况
code | year | Y | X1 | X2 |
000005 | 2011 | 0.0283 | 0.003469 | -0.18076600 |
000007 | 2010 | 0.1035 | 0.00338 | -0.23831020 |
000007 | 2012 | 0.3710 | 0.006205 | -0.23968926 |
000009 | 2010 | 0.2351 | 0.00357 | -0.10678309 |
000009 | 2012 | -0.0450 | 0.004691 | -0.23376867 |
000009 | 2011 | -0.1208 | 0.004727 | -0.21256503 |
000010 | 2012 | 0.1294 | 0.008309 | -0.06859786 |
000011 | 2012 | 0.1125 | 0.003307 | -0.46392706 |
000011 | 2010 | -0.1353 | 0.005043 | -0.49784946 |
000011 | 2011 | 0.0097 | 0.005564 | -0.49870220 |
000012 | 2010 | 0.2911 | 0.002791 | -0.07366886 |
000012 | 2011 | -0.2750 | 0.004194 | -0.14267728 |
000014 | 2010 | -0.1720 | 0.003903 | -0.42305395 |
000014 | 2012 | 0.3007 | 0.007912 | -0.63942665 |
000016 | 2010 | -0.1610 | 0.004063 | -0.03861552 |
上表为X1高组样本情况。
分组后还是面板数据?该如何回归?该如何解释?