个人总结面板数据 stata_stata面板数据整理

个人总结面板数据 stata由刀豆文库小编整理，希望给你工作、学习、生活带来方便，猜你可能喜欢“stata面板数据整理”。

一、面板数据如何从混合最小二乘、固定效应、随即效应中选择

1、混合最小二乘、固定效应

.xtreg vol1 FI share1 share2 share3 , fe Fixed-effects(within)regreion Number of obs = 289Group variable: code Number of groups = 36R-sq: within = 0.0210 Obs per group: min = 7 between = 0.0259 avg = 8.0 overall = 0.0095 max = 11 F(4,249)= 1.34corr(u_i, Xb)=-0.7580 Prob > F = 0.2569 vol1 Coef.Std.Err.t P>|t| [95% Conf.Interval] FI.0274564.0192466 1.43 0.155-.0104505.0653634 share1.0043386.1112655 0.04 0.969-.2148029.2234801 share2.0075372.111155 0.07 0.946-.2113867.2264611 share3.0058343.1113069 0.05 0.958-.2133888.2250574 _cons-.5947285 11.1241-0.05 0.957-22.50405 21.31459 sigma_u.02625677 sigma_e.05223138 rho.20172957(fraction of variance due to u_i)F test that all u_i=0: F(35, 249)= 0.87 Prob > F = 0.6879

F检验，原假设为个固定效应都相同，拒绝则选择固定效应，反之为混合最小二乘。——此时选混合最小二乘

2、随即效应还是混合最小二乘

.xtreg roa_a stateshr size tl , reRandom-effects GLS regreion Number of obs = 77Group variable: id Number of groups = 14R-sq: within = 0.4859 Obs per group: min = 3 between = 0.8053 avg = 5.5 overall = 0.6927 max = 11Random effects u_i ~ Gauian Wald chi2(3)= 106.77corr(u_i, X)= 0(aumed)Prob > chi2 = 0.0000 roa_a Coef.Std.Err.z P>|z| [95% Conf.Interval] stateshr-.0023371.0011081-2.11 0.035-.0045089-.0001653 size.0008558.000203 4.22 0.000.0004578.0012537 tl-.1132165.0112583-10.06 0.000-.1352823-.0911507 _cons.0922799.0109761 8.41 0.000.0707672.1137926 sigma_u.00103144 sigma_e.00170742 rho.2673593(fraction of variance due to u_i)..xttest0Breusch and Pagan Lagrangian multiplier test for random effects roa_a[id,t] = Xb + u[id] + e[id,t] Estimated results: Var sd = sqrt(Var)roa_a.0000114.0033722 e 2.92e-06.0017074 u 1.06e-06.0010314 Test: Var(u)= 0 chi2(1)= 2.87 Prob > chi2 = 0.0903.原假设为var(u)=0，拒绝则采用随即效应——此时选随机

3、固定还是随即.hausman fe re Coefficients(b)(B)(b-B)sqrt(diag(V_b-V_B))fe re Difference S.E.stateshr-.0208393-.0416243.0207849.022253 size.0287271.0156759.0130511.0068713 tl.0134735.2663396-.252866.2696783 b = consistent under Ho and Ha;obtained from xtreg B = inconsistent under Ha, efficient under Ho;obtained from xtreg Test: Ho: difference in coefficients not systematic chi2(3)=(b-B)'[(V_b-V_B)^(-1)](b-B)= 3.61 Prob>chi2 = 0.3070

原假设为随机，拒绝则选固定——此时选随机

二、缩尾会使显著性降低