求助,有两个问题: 1.面板tobit对数据有没有什么要求?需不需要做异方差、自相关等检验?
2.我试着做了下,这个结果能用吗?
我用的是n=566,T=8的一个面板数据。left-censored observations 只有8个,绝大部分未被观测,这个是不是就代表模型没意义?该如何改进? 求大神帮忙
xttobit dps logsize roe da cash ueps h10 hs,ll(0) nolog tobit
Random-effects tobit regression Number of obs = 2319
Group variable: id Number of groups = 566
Random effects u_i ~ Gaussian Obs per group: min = 1
avg = 4.1
max = 8
Wald chi2(7) = 1654.82
Log likelihood = 1742.2042 Prob > chi2 = 0.0000
------------------------------------------------------------------------------
dps | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
logsize | .0018505 .0114425 0.16 0.872 -.0205765 .0242774
roe | .007621 .000506 15.06 0.000 .0066293 .0086127
da | -.0023724 .0002323 -10.21 0.000 -.0028276 -.0019171
cash | .0001703 .0001077 1.58 0.114 -.0000407 .0003813
ueps | .0765855 .0037103 20.64 0.000 .0693134 .0838576
h10 | .0023356 .0002936 7.96 0.000 .0017601 .002911
hs | -.0140031 .0181319 -0.77 0.440 -.0495409 .0215347
_cons | -.1421917 .1095437 -1.30 0.194 -.3568935 .0725101
-------------+----------------------------------------------------------------
/sigma_u | .0828836 .0038753 21.39 0.000 .0752882 .0904789
/sigma_e | .0970726 .0016774 57.87 0.000 .0937849 .1003603
-------------+----------------------------------------------------------------
rho | .4216401 .0260733 .3713337 .4732606
------------------------------------------------------------------------------
Likelihood-ratio test of sigma_u=0: chibar2(01)= 414.73 Prob>=chibar2 = 0.000
Observation summary: 8 left-censored observations
2311 uncensored observations
0 right-censored observations