如题,用面板VAR得到以下结果
GMM Estimation
Final GMM Criterion Q(b) = 5.14e-34
Initial weight matrix: Identity
GMM weight matrix: Robust
No. of obs = 1952
No. of panels = 13
Ave. no. of T = 150.154
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
MRet0 |
MRet0 |
L1. | .0803745 .0565799 1.42 0.155 -.03052 .191269
L2. | -.07911 .0560137 -1.41 0.158 -.1888947 .0306748
L3. | -.1415174 .0515135 -2.75 0.006 -.242482 -.0405529
|
MRet1 |
L1. | .0864256 .0575772 1.50 0.133 -.0264236 .1992748
L2. | .1971886 .0580567 3.40 0.001 .0833995 .3109777
L3. | .1736418 .0532941 3.26 0.001 .0691873 .2780964
-------------+----------------------------------------------------------------
MRet1 |
MRet0 |
L1. | .0454181 .0488803 0.93 0.353 -.0503855 .1412217
L2. | -.0246202 .0459671 -0.54 0.592 -.1147141 .0654738
L3. | -.0905424 .0441092 -2.05 0.040 -.1769949 -.0040899
|
MRet1 |
L1. | .0627695 .0521537 1.20 0.229 -.0394498 .1649888
L2. | .1568243 .050051 3.13 0.002 .0587262 .2549225
L3. | .09172 .0476696 1.92 0.054 -.0017107 .1851506
------------------------------------------------------------------------------
Instruments : l(1/3).(MRet0 MRet1)
求教:
1.从哪里看整体模型是否合适? 模型结果没有R2,没有F值。2
2.我想检验一下 模型1,也就是以MRet0为被解释变量(表的上半部分的估计结果)时,MRet1的1-3阶滞后项的系数之和,与模型2,以MRet1为被解释变量(表的下半部分估计结果)时,MRet0的1-3阶滞后项的系数之和,是否相等? 看我参考的文献说是做的F检验,在stata里面应该怎么对此进行检验呢?
跪求高人解答,困扰了我很久了。