[面板数据求助] 请问为什么做混合面板数据回归的时候会因为共线性删掉我的行业和年度变量 [推广有奖]

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郑运慧

发表于 2020-6-10 17:22:46 |AI写论文

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请问为什么做混合面板数据回归的时候会因为共线性删掉我的行业和年度变量？
我本来有十六个行业虚拟变量，3个年度虚拟变量。最后都因为多重共线性，只剩下一半的行业虚拟变量，然后年度虚拟变量本来就要drop掉第一年，后来又因为多长共线性给我删掉了第三年，那这样是不是我就只有第二年这一年的数据参与了回归？？？太惨了吧
请问有什么方法可以改善吗？

. xi:xtreg  EVA- Manageshares TobinQ- CashFlow i.year i.IndustryCode,fe r
i.year          _Iyear_1-3       (naturally coded; _Iyear_1 omitted)
i.IndustryCode _IIndustryC_1-18 (_IIndustryC_1 for Industry~e==A omitted)
note: _Iyear_3 omitted because of collinearity
note: _IIndustryC_8 omitted because of collinearity
note: _IIndustryC_14 omitted because of collinearity
note: _IIndustryC_15 omitted because of collinearity
note: _IIndustryC_16 omitted because of collinearity

Fixed-effects (within) regression             Number of obs    =    4,092
Group variable: id                            Number of groups  =    1,908

R-sq:                                        Obs per group:
   within  = 0.3624                                        min =       1
   between = 0.1400                                        avg =       2.1
   overall = 0.1704                                        max =       3

                                             F(24,1907)       =       .
corr(u_i, Xb)  = -0.3588                      Prob > F       =       .

                                    (Std. Err. adjusted for 1,908 clusters in id)
-----------------------------------------------------------------------------------
               |             Robust
            EVA |    Coef. Std. Err.    t P>|t|    [95% Conf. Interval]
------------------+----------------------------------------------------------------
      lnPaytop3 | .1399136 .0510089    2.74 0.006    .0398745 .2399526
ICIsDeficiency |  -.5590765 1.233367 -0.45 0.650 -2.977968 1.859814
         Cross | .0304437 .0839942    0.36 0.717 -.1342865 .1951739
BalanceIndicators | .1030149 .1200337    0.86 0.391 -.1323963 .3384261
         Dual |  -.0766357 .0464414 -1.65 0.099    -.167717 .0144457
Managernumber |  -.0249206 .0112266 -2.22 0.027 -.0469383 -.0029028
   Manageshares | .0051201 .0497597    0.10 0.918    -.092469 .1027092
         TobinQ | .0407657 .0147094    2.77 0.006    .0119175 .0696139
         lnsize | .1274048 .1245484    1.02 0.306 -.1168606 .3716702
            Lev | .4600865 .4106709    1.12 0.263 -.3453249 1.265498
            Roa | 5.261696 .5229752 10.06 0.000    4.236033    6.28736
            Age |  -.0715419 .0175721 -4.07 0.000 -.1060045 -.0370793
      CashFlow | .0648383 .079683    0.81 0.416 -.0914367 .2211133
      _Iyear_2 | .0849315 .0204344    4.16 0.000    .0448553 .1250076
      _Iyear_3 |       0  (omitted)
_IIndustryC_2 | .7406656 .8713652    0.85 0.395 -.9682635 2.449595
_IIndustryC_3 | 1.146266 .8624099    1.33 0.184 -.5450999 2.837632
_IIndustryC_4 | 1.115927 .834666    1.34 0.181 -.5210268 2.752882
_IIndustryC_5 | .5815784 .8140351    0.71 0.475 -1.014914 2.178071
_IIndustryC_6 | .7648922 .9194592    0.83 0.406 -1.038359 2.568144
_IIndustryC_7 | 1.264004 .8676265    1.46 0.145 -.4375932    2.9656
_IIndustryC_8 |       0  (omitted)
_IIndustryC_9 | 1.284773 .8828671    1.46 0.146 -.4467134    3.01626
_IIndustryC_10 | 1.491552 .8880417    1.68 0.093 -.2500827 3.233187
_IIndustryC_11 | 2.707436 .9278919    2.92 0.004    .8876465 4.527226
_IIndustryC_12 | .1699979 .9236799    0.18 0.854 -1.641531 1.981527
_IIndustryC_13 | 1.005414 .8366831    1.20 0.230 -.6354963 2.646324
_IIndustryC_14 |       0  (omitted)
_IIndustryC_15 |       0  (omitted)
_IIndustryC_16 |       0  (omitted)
_IIndustryC_17 | 1.320527 1.158951    1.14 0.255 -.9524164 3.593471
_IIndustryC_18 | 1.651894 .8905585    1.85 0.064    -.094677 3.398465
         _cons |  -5.005559 2.639144 -1.90 0.058 -10.18147 .1703529
------------------+----------------------------------------------------------------
      sigma_u |  .95760193
      sigma_e |  .50392136
            rho |  .78313395 (fraction of variance due to u_i)
-----------------------------------------------------------------------------------

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