用xtoverid命令确定固定效应和随机效应

微微一笑123 发表于 2018-12-6 08:40
这个结果应该是拒绝随机效应的原假设，选择固定效应模型。陈强的高级计量上有。

请问以下楼主，我执行xt ...

遇到过，我去掉时间虚拟变量后就可以了，但不知道为什么

herstory1 发表于 2018-8-26 02:20
请问用xtoverid确定固定效应和随机效应的代码操作是什么？help看不懂……求大神教

quietly xtreg y x1 x2 x3,re r xtoverid

我不会偶遇自己男朋友了吧

不会偶遇我男票了吧，是LL吗

淮肆的酒徒 发表于 2016-10-3 13:15
自己顶一下

偶遇男票

nanker~ 发表于 2020-5-6 09:35
偶遇男票

？？？人在家中坐

微微一笑123 发表于 2018-12-6 08:40
这个结果应该是拒绝随机效应的原假设，选择固定效应模型。陈强的高级计量上有。

请问以下楼主，我执行xt ...

你好，我现在遇到这个问题了，请问你解决了吗

herstory1 发表于 2018-8-26 02:20
请问用xtoverid确定固定效应和随机效应的代码操作是什么？help看不懂……求大神教

在使用xtoverid命令之前，要以稳健的标准误来执行命令“xtreg，re”
xtreg x1 x2 x3 x4,re r
xtoverid
然后根据输出的结果进行选择即可。

A test of fixed vs. random effects can also be seen as a test of overidentifying
restrictions.  The fixed effects estimator uses the orthogonality conditions that
the regressors are uncorrelated with the idiosyncratic error e_it, i.e.,
E(X_it*e_it)=0.  The random effects estimator uses the additional orthogonality
conditions that the regressors are uncorrelated with the group-specific error u_i
(the "random effect"), i.e., E(X_it*u_i)=0.  These additional orthogonality
conditions are overidentifying restrictions.  The test is implemented by xtoverid
using the artificial regression approach described by Arellano (1993) and
Wooldridge (2002, pp. 290-91), in which a random effects equation is reestimated
augmented with additional variables consisting of the original regressors
transformed into deviations-from-mean form.  The test statistic is a Wald test of
the significance of these additional regressors.  A large-sample chi-squared test
statistic is reported with no degrees-of-freedom corrections.  Under conditional
homoskedasticity, this test statistic is asymptotically equivalent to the usual
Hausman fixed-vs-random effects test; with a balanced panel, the artificial
regression and Hausman test statistics are numerically equal.  See Arellano
(1993) for an exact statement and the example below for a demonstration.  Unlike
the Hausman version, the test reported by xtoverid extends straightforwardly to
heteroskedastic- and cluster-robust versions, and is guaranteed always to
generate a nonnegative test statistic.

原假设是  随机效应
拒绝原假设是  选择固定效应

laraljw 发表于 2020-6-28 00:23
在使用xtoverid命令之前，要以稳健的标准误来执行命令“xtreg，re”
xtreg x1 x2 x3 x4,re r
xtoverid
...

在使用xtoverid命令之前，要以稳健的标准误来执行命令“xtreg，re”
你好，这句话不太理解意思，请问具体stata怎么操作这句话呢