13第十三讲面板数据模型分析

第十三讲面板数据模型分析DependentVariable:CP?Method:PooledLeastSquaresDate:07/20/11Time:16:49Sample:19962002Includedobservations:7Cross-sectionsincluded:15Totalpool(balanced)observations:105VariableCoefficientStd.Errort-StatisticProb.C129.631363.692592.0352650.0444IP?0.7587260.00952279.681890.0000R-squared0.984036Meandependentvar4917.608AdjustedR-squared0.983881S.D.dependentvar1704.704S.E.ofregression216.4270Akaikeinfocriterion13.61125Sumsquaredresid4824588.Schwarzcriterion13.66180Loglikelihood-712.5905Hannan-Quinncriter.13.63173F-statistic6349.204Durbin-Watsonstat0.784107Prob(F-statistic)0.000000DependentVariable:CP?Method:PooledLeastSquaresDate:07/20/11Time:16:52Sample:19962002Includedobservations:7Cross-sectionsincluded:15Totalpool(balanced)observations:105VariableCoefficientStd.Errort-StatisticProb.C515.614281.596656.3190610.0000IP?0.6975610.01269254.960290.0000FixedEffects(Cross)AH--C-36.30583BJ--C537.5660FJ--C-47.64515HB--C-154.2367HLJ--C-169.7015JL--C24.50427JS--C-35.19587JX--C-319.6960LN--C106.4273NMG--C-209.5484SD--C-134.1145SH--C266.9859SX--C-74.88901TJ--C47.22940ZJ--C198.6202EffectsSpecificationCross-sectionfixed(dummyvariables)R-squared0.992488Meandependentvar4917.608AdjustedR-squared0.991222S.D.dependentvar1704.704S.E.ofregression159.7184Akaikeinfocriterion13.12414Sumsquaredresid2270386.Schwarzcriterion13.52855Loglikelihood-673.0173Hannan-Quinncriter.13.28802F-statistic783.8902Durbin-Watsonstat1.609517Prob(F-statistic)0.000000DependentVariable:CP?Method:PooledLeastSquaresDate:07/20/11Time:17:00Sample:19962002Includedobservations:7Cross-sectionsincluded:15Totalpool(balanced)observations:105VariableCoefficientStd.Errort-StatisticProb.C681.9314207.27573.2899720.0015IP?0.6712060.03275620.491040.0000FixedEffects(Cross)AH--C-68.63887BJ--C617.1561FJ--C-28.38084HB--C-177.6476HLJ--C-211.9239JL--C-18.15008JS--C-30.40811JX--C-360.1584LN--C74.35954NMG--C-252.6237SD--C-142.6968SH--C374.5439SX--C-120.3368TJ--C81.08757ZJ--C263.8181FixedEffects(Period)1996--C-75.329791997--C23.581471998--C-8.3345151999--C-38.772872000--C32.760802001--C-41.963512002--C108.0584EffectsSpecificationCross-sectionfixed(dummyvariables)Periodfixed(dummyvariables)R-squared0.993231Meandependentvar4917.608AdjustedR-squared0.991519S.D.dependentvar1704.704S.E.ofregression156.9924Akaikeinfocriterion13.13420Sumsquaredresid2045670.Schwarzcriterion13.69027Loglikelihood-667.5455Hannan-Quinncriter.13.35953F-statistic579.9690Durbin-Watsonstat1.433231Prob(F-statistic)0.000000DependentVariable:CP?Method:PooledEGLS(Two-wayrandomeffects)Date:07/20/11Time:17:05Sample:19962002Includedobservations:7Cross-sectionsincluded:15Totalpool(balanced)observations:105SwamyandAroraestimatorofcomponentvariancesVariableCoefficientStd.Errort-StatisticProb.C305.372489.323283.4187330.0009IP?0.7308770.01268557.617260.0000RandomEffects(Cross)AH--C3.705708BJ--C354.5957FJ--C-58.42670HB--C-101.1495HLJ--C-94.40187JL--C63.64190JS--C-33.47338JX--C-217.9298LN--C119.2634NMG--C-125.8632SD--C-100.0317SH--C106.3259SX--C-14.15146TJ--C3.594376ZJ--C94.30073RandomEffects(Period)1996--C10.104641997--C34.090861998--C10.726541999--C-15.205802000--C4.2831292001--C-42.439432002--C-1.559942EffectsSpecificationS.D.RhoCross-sectionrandom123.12250.3705Periodrandom33.230690.0270Idiosyncraticrandom156.99240.6025WeightedStatisticsR-squared0.969907Meandependentvar2011.382AdjustedR-squared0.969615S.D.dependentvar952.9177S.E.ofregression166.1057Sumsquaredresid2841883.F-statistic3319.749Durbin-Watsonstat1.203497Prob(F-statistic)0.000000UnweightedStatisticsR-squared0.982711Meandependentvar4917.608Sumsquaredresid5225256.Durbin-Watsonstat0.704224CorrelatedRandomEffects-HausmanTestPool:POOL01Testcross-sectionandperiodrandomeffectsTestSummaryChi-Sq.StatisticChi-Sq.d.f.Prob.Cross-sectionrandom16.68309110.0000Periodrandom5.97697010.0145Cross-sectionandperiodrandom3.90403110.0482Cross-sectionrandomeffectstestcomparisons:VariableFixedRandomVar(Diff.)Prob.IP?0.6952200.7308770.0000760.0000Cross-sectionrandomeffectstestequation:DependentVariable:CP?Method:PanelEGLS(Periodrandomeffects)Date:07/20/11Time:17:07Sample:19962002Includedobservations:7Cross-sectionsincluded:15Totalpool(balanced)observations:105SwamyandAroraestimatorofcomponentvariancesCoefficientStd.Errort-StatisticProb.C530.387698.374695.3915050.0000IP?0.6952200.01539945.147940.0000EffectsSpecificationS.D.RhoCross-sectionfixed(dummyvariables)Periodrandom33.230690.0429Idiosyncraticrandom156.99240.9571WeightedStatisticsR-squared0.992061Meandependentvar4917.608AdjustedR-squared0.990722S.D.dependentvar1627.063S.E.ofregression156.7187Sumsquaredresid2185908.F-statistic741.3911Durbin-Watsonstat1.545600Prob(F-statistic)0.000000UnweightedStatisticsR-squared0.992485Meandependentvar4917.608Sumsquaredresid2271254.Durbin-Watsonstat1.609880Periodrandomeffectstestcomparisons:VariableFixedRandomVar(Diff.)Prob.IP?0.7566850.7308770.0001110.0145Periodrandomeffectstestequation:DependentVariable:CP?Method:PanelEGLS(Cross-sectionrandomeffects)Date:07/20/11Time:17:07Sample:19962002Includ