楼主用R计算双向固定效应面板数据分析时,分别使用了LSDV 与plm包中的plm函数进行了分析,发现同样是双向固定效应,两者得出的系数相同,但是R^2却不一样。不知能否有大神指点迷津 首先给出LSDV的代码与结果
命令: dallperyearex<- lm(growthrate1~loggdpt+logylop2+logylogp+publicrate+eprate+earate+humanrate+invrate+inexportrate+factor(provin)+factor
(year)-1,data=tot)
结果:summary(dallperyearex)
Call:
lm(formula = growthrate1 ~ loggdpt + logylop2 + logylogp + publicrate +
eprate + earate + humanrate + invrate + inexportrate + factor(provin) +
factor(year) - 1, data = tot)
Residuals:
Min 1Q Median 3Q Max
-0.039509 -0.009003 -0.000014 0.007823 0.045837
Coefficients:
Estimate Std. Error t value Pr(>|t|)
loggdpt 9.277e-02 3.333e-02 2.784 0.005821 **
logylop2 1.775e-02 4.673e-03 3.799 0.000186 ***
logylogp 9.488e-02 2.468e-02 3.844 0.000156 ***
publicrate -1.695e+00 4.533e-01 -3.738 0.000233 ***
eprate -1.910e-02 5.751e-02 -0.332 0.740104
earate -1.674e-01 8.363e-02 -2.001 0.046548 *
humanrate -5.779e-01 1.375e-01 -4.202 3.78e-05 ***
invrate -1.519e-04 6.642e-05 -2.287 0.023083 *
inexportrate 2.065e-02 1.271e-02 1.624 0.105761
Residual standard error: 0.01361 on 231 degrees of freedom
Multiple R-squared: 0.9884, Adjusted R-squared: 0.986
F-statistic: 409.5 on 48 and 231 DF, p-value: < 2.2e-16
下面是用plm函数所得出的结果
命令:fallperyearex<-plm(growthrate1~loggdpt+logylop2+logylogp+publicrate+eprate+earate+humanrate+invrate+inexportrate+pubinvedu,data=tot,index=c("provin","year"),effect="twoways",model="within")
结果:summary(fallperyearex)Twoways effects Within Model
Call:
plm(formula = growthrate1 ~ loggdpt + logylop2 + logylogp + publicrate +
eprate + earate + humanrate + invrate + inexportrate, data = tot,
effect = "twoways", model = "within", index = c("provin",
"year"))
Balanced Panel: n=31, T=9, N=279
Residuals :
Min. 1st Qu. Median 3rd Qu. Max.
-3.95e-02 -9.00e-03 -1.39e-05 7.82e-03 4.58e-02
Coefficients :
Estimate Std. Error t-value Pr(>|t|)
loggdpt 9.2773e-02 3.3328e-02 2.7836 0.0058213 **
logylop2 1.7754e-02 4.6730e-03 3.7992 0.0001857 ***
logylogp 9.4876e-02 2.4680e-02 3.8442 0.0001564 ***
publicrate -1.6946e+00 4.5329e-01 -3.7385 0.0002335 ***
eprate -1.9100e-02 5.7510e-02 -0.3321 0.7401039
earate -1.6735e-01 8.3630e-02 -2.0011 0.0465479 *
humanrate -5.7789e-01 1.3753e-01 -4.2019 3.783e-05 ***
invrate -1.5192e-04 6.6419e-05 -2.2873 0.0230828 *
inexportrate 2.0648e-02 1.2715e-02 1.6239 0.1057613
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Total Sum of Squares: 0.054434
Residual Sum of Squares: 0.042807
R-Squared : 0.21361
Adj. R-Squared : 0.17686
F-statistic: 6.9718 on 9 and 231 DF, p-value: 6.7889e-09
两者的变量估计系数是一样的,但如标红处所示,拟合优度却不同,求大神解惑。