弄了一套面板数据用GS2SLSXT跑结果,但是始终找不到霍斯曼检验在哪里。导致很难在固定效应和随机效应里做选择。然而看了别人的文章里的的确确又有霍斯曼检验,有没有懂GS2SLS面板的大佬告诉我。。
这个方法的霍斯曼检验怎么看啊?或者怎么做?
在线等,挺急的。
附带部分跑出来的结果,篇幅略长:
------------------------------------------------------------------------------ Sample Size = 3990 | Cross Sections Number = 285 Wald Test = 2035.0424 | P-Value > Chi2(10) = 0.0000 F-Test = 203.5042 | P-Value > F(10 , 3695) = 0.0000 (Buse1973) R2 = 0.9724 | Raw Moments R2 = 0.9994 (Buse 1973) R2 Adj = 0.9702 | Raw Moments R2 Adj = 0.9994 Root MSE (Sigma) = 0.0866 | Log Likelihood Function = 4252.7798 ------------------------------------------------------------------------------ - R2h= 0.4962 R2h Adj= 0.4561 F-Test = 391.90 P-Value > F(10 , 3695)0.0000 ------------------------------------------------------------------------------ lnpm | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- w1y_lnpm | 2.496871 .0586992 42.54 0.000 2.381785 2.611957 te | .1683395 .0832826 2.02 0.043 .0050551 .3316238 te2 | -.0322673 .0576436 -0.56 0.576 -.1452836 .0807491 lngdp | -.218456 .0547116 -3.99 0.000 -.325724 -.111188 lngdp2 | .0094666 .0027627 3.43 0.001 .00405 .0148832 lnpop | -.0911371 .0268275 -3.40 0.001 -.1437352 -.038539 industry | .0095133 .0122821 0.77 0.439 -.014567 .0335936 enef | .0347728 .0159616 2.18 0.029 .0034783 .0660673 reg_2 | .0260678 .0086097 3.03 0.002 .0091876 .0429479 fdi | .2146754 .0986278 2.18 0.030 .0213051 .4080458 _cons | 1.716571 .3286105 5.22 0.000 1.072295 2.360847 ------------------------------------------------------------------------------ * Y = LHS Dependent Variable: 1 =lnpm * Yi = RHS Endogenous Variables: 1 =w1y_lnpm * Xi = RHS Exogenous Vars: 9 = te te2 lngdp lngdp2 lnpop industry enef reg_2 fdi * Z = Overall Instrumental Variables: 36: te te2 lngdp lngdp2 lnpop industry enef reg_2 fdi w1x_te w1x_te2 w1x_lngdpw1x_ > lngdp2 w1x_lnpop w1x_industry w1x_enefw1x_reg_2 w1x_fdi w2x_te w2x_te2 w2x_lngdp w2x > _lngdp2 w2x_lnpop w2x_industryw2x_enef w2x_reg_2 w2x_fdi w3x_te w3x_te2 w3x_lngdp w3 > x_lngdp2 w3x_lnpop w3x_industryw3x_enef w3x_reg_2 w3x_fdi ------------------------------------------------------------------------------ RhoValue = 2.4969 F Test = 1809.370 P-Value > F(1, 3695) 0.0000 ------------------------------------------------------------------------------ ============================================================================== * Panel Model Selection Diagnostic Criteria ============================================================================== - Log Likelihood Function LLF = 4252.7798 --------------------------------------------------------------------------- - Akaike Information Criterion (1974) AIC = 0.0070 - Akaike Information Criterion (1973) Log AIC = -4.9641 --------------------------------------------------------------------------- - Schwarz Criterion (1978) SC = 0.0071 - Schwarz Criterion (1978) Log SC = -4.9467 --------------------------------------------------------------------------- - Amemiya Prediction Criterion (1969) FPE = 0.0075 - Hannan-Quinn Criterion (1979) HQ = 0.0070 - Rice Criterion (1984) Rice = 0.0070 - Shibata Criterion (1981) Shibata = 0.0070 - Craven-Wahba Generalized Cross Validation(1979) GCV = 0.0070 ------------------------------------------------------------------------------ ============================================================================== *** Spatial Panel Aautocorrelation Tests ============================================================================== Ho:Error has No Spatial AutoCorrelation Ha:Error has Spatial AutoCorrelation - GLOBAL Moran MI = 0.1494 P-Value >Z(57.907) 0.0000 - GLOBAL Geary GC = 0.6872 P-Value >Z(-26.980) 0.0000 - GLOBAL Getis-Ords GO = -0.0572 P-Value > Z(-57.907) 0.0000 ------------------------------------------------------------------------------ - Moran MI Error Test = 153.1916 P-Value > Z( 5.9e+04) 0.0000 ------------------------------------------------------------------------------ - LM Error (Burridge) =2802.3755 P-Value > Chi2(1) 0.0000 - LM Error (Robust) =2749.8991 P-Value > Chi2(1) 0.0000 ------------------------------------------------------------------------------ Ho:Spatial Lagged Dependent Variable has No Spatial AutoCorrelation Ha:Spatial Lagged Dependent Variable has Spatial AutoCorrelation - LM Lag (Anselin) = 57.2181 P-Value >Chi2(1) 0.0000 - LM Lag (Robust) = 4.7417 P-Value >Chi2(1) 0.0294 ------------------------------------------------------------------------------ Ho:No General Spatial AutoCorrelation Ha: General SpatialAutoCorrelation - LM SAC (LMErr+LMLag_R) =2807.1172 P-Value > Chi2(2) 0.0000 - LM SAC (LMLag+LMErr_R) =2807.1172 P-Value > Chi2(2) 0.0000 ------------------------------------------------------------------------------ ============================================================================== *** Panel Heteroscedasticity Tests ============================================================================== Ho:Panel Homoscedasticity - Ha: Panel Heteroscedasticity - Engle LM ARCH Test AR(1): E2 = E2_1 = 80.3176 P-Value >Chi2(1) 0.0000 ------------------------------------------------------------------------------ - Hall-Pagan LM Test: E2 = Yh = 187.7873 P-Value > Chi2(1) 0.0000 - Hall-Pagan LM Test: E2 = Yh2 = 147.0786 P-Value > Chi2(1) 0.0000 - Hall-Pagan LM Test: E2 = LYh2 = 199.9204 P-Value > Chi2(1) 0.0000 ------------------------------------------------------------------------------ - Harvey LM Test: LogE2 = X = 229.2414 P-Value > Chi2(2) 0.0000 - Wald Test: LogE2 = X = 565.6302 P-Value > Chi2(1) 0.0000 - Glejser LM Test: |E| = X = 546.8923 P-Value > Chi2(2) 0.0000 - Breusch-Godfrey Test: E = E_1 X = 297.5730 P-Value >Chi2(1) 0.0000 ------------------------------------------------------------------------------ - Machado-Santos-Silva Test: Ev=Yh Yh2 = 378.0057 P-Value > Chi2(2) 0.0000 - Machado-Santos-Silva Test: Ev=X = 424.7381 P-Value > Chi2(10) 0.0000 ------------------------------------------------------------------------------ - White Test - Koenker(R2): E2 = X = 273.0098 P-Value > Chi2(10) 0.0000 - White Test - B-P-G (SSR): E2 = X =1093.7265 P-Value > Chi2(10) 0.0000 ------------------------------------------------------------------------------ - White Test - Koenker(R2): E2 = X X2 = 352.9341 P-Value > Chi2(19) 0.0000 - White Test - B-P-G (SSR): E2 = X X2 =1413.9176 P-Value > Chi2(19) 0.0000 ------------------------------------------------------------------------------ - White Test - Koenker(R2): E2 = X X2 XX=476.1559 P-Value > Chi2(64) 0.0000 - White Test - B-P-G (SSR): E2 = X X2XX=1907.5662 P-Value > Chi2(64)0.0000 ------------------------------------------------------------------------------ - Cook-Weisberg LM Test: E2/S2n = Yh = 752.3098 P-Value > Chi2(1) 0.0000 - Cook-Weisberg LM Test: E2/S2n = X =1093.7265 P-Value > Chi2(10) 0.0000 ------------------------------------------------------------------------------ *** Single Variable Tests (E2/Sig2): - Cook-Weisberg LM Test: w1y_lnpm = 806.4195 P-Value > Chi2(1)0.0000 - Cook-Weisberg LM Test: te = 99.7176 P-Value > Chi2(1) 0.0000 - Cook-Weisberg LM Test: te2 = 57.6101 P-Value > Chi2(1) 0.0000 - Cook-Weisberg LM Test: lngdp = 19.7578 P-Value > Chi2(1) 0.0000 - Cook-Weisberg LM Test: lngdp2 = 17.4820 P-Value > Chi2(1) 0.0000 - Cook-Weisberg LM Test: lnpop = 727.4137 P-Value > Chi2(1)0.0000 - Cook-Weisberg LM Test: industry = 136.7348 P-Value > Chi2(1)0.0000 - Cook-Weisberg LM Test: enef = 0.1767 P-Value > Chi2(1) 0.6742 - Cook-Weisberg LM Test: reg_2 = 80.1822 P-Value > Chi2(1) 0.0000 - Cook-Weisberg LM Test: fdi = 77.0610 P-Value > Chi2(1) 0.0000 ------------------------------------------------------------------------------ *** Single Variable Tests: - King LM Test: w1y_lnpm = 717.1680 P-Value >Chi2(1) 0.0000 - King LM Test: te = 109.3983 P-Value> Chi2(1) 0.0000 - King LM Test: te2 = 109.3765 P-Value >Chi2(1) 0.0000 - King LM Test: lngdp = 15.3377 P-Value > Chi2(1) 0.0001 - King LM Test: lngdp2 = 15.3385 P-Value > Chi2(1) 0.0001 - King LM Test: lnpop = 473.3858 P-Value >Chi2(1) 0.0000 - King LM Test: industry = 217.2139 P-Value >Chi2(1) 0.0000 - King LM Test: enef = 8.8220 P-Value > Chi2(1) 0.0030 - King LM Test: reg_2 = 89.8124 P-Value > Chi2(1) 0.0000 - King LM Test: fdi = 137.2226 P-Value >Chi2(1) 0.0000 ------------------------------------------------------------------------------ ============================================================================== * Panel Groupwise Heteroscedasticity Tests ============================================================================== Ho:Panel Homoscedasticity - Ha: Panel Groupwise Heteroscedasticity - Lagrange Multiplier LM Test =4041.1390 P-Value > Chi2(284) 0.0000 - Likelihood Ratio LR Test =2647.4100 P-Value > Chi2(284) 0.0000 - Wald Test = 2.93e+04 P-Value > Chi2(285) 0.0000 ------------------------------------------------------------------------------ ============================================================================== * Panel Non Normality Tests ============================================================================== Ho:Normality - Ha: Non Normality ------------------------------------------------------------------------------ *** Non Normality Tests: - Jarque-Bera LM Test =6182.5157 P-Value > Chi2(2) 0.0000 - White IM Test =6187.2399 P-Value > Chi2(2) 0.0000 - Doornik-Hansen LM Test =1734.9555 P-Value > Chi2(2) 0.0000 - Geary LM Test = -6.8296 P-Value > Chi2(2) 0.0329 - Anderson-Darling Z Test = 20.2321 P > Z(13.685) 1.0000 - D'Agostino-Pearson LM Test = 664.6234 P-Value > Chi2(2) 0.0000 ------------------------------------------------------------------------------ *** Skewness Tests: - Srivastava LM Skewness Test = 172.8333 P-Value > Chi2(1) 0.0000 - Small LM Skewness Test = 154.7900 P-Value > Chi2(1) 0.0000 - Skewness Z Test = 12.4415 P-Value > Chi2(1) 0.0000 ------------------------------------------------------------------------------ *** Kurtosis Tests: - Srivastava Z Kurtosis Test = 77.5221 P-Value > Z(0,1) 0.0000 - Small LM Kurtosis Test = 509.8334 P-Value > Chi2(1) 0.0000 - Kurtosis Z Test = 22.5795 P-Value > Chi2(1) 0.0000 ------------------------------------------------------------------------------ Skewness Coefficient = 0.5098 - Standard Deviation= 0.0388 Kurtosis Coefficient = 9.0124 - Standard Deviation= 0.0775 ------------------------------------------------------------------------------ Runs Test: (1780) Runs - (1968)Positives - (2022) Negatives Standard Deviation Runs Sig(k) = 31.5735 , Mean Runs E(k) = 2.0e+03 95% Conf. Interval [E(k)+/- 1.96* Sig(k)] = ( 1.9e+03 , 2.1e+03 ) ------------------------------------------------------------------------------
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