STATA面板数据回归(固定效应-随机效应-Hausman检

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DnFFD.R2uR2r/=.n1/.1R2u/=.nTnK/F.n1;nTnK/(8.35)urFBreuschPagan1980OLSLMH0:2aD0v:s:H1:2a6D0LMDnT2.T1/264PniD1hPTtD1eiti2PniD1PTtD1e2it13752(8.36)LM1LMLMDnT2.T1/e0DD0ee0e12(8.37),ai8.2.12HausmanMundlak1978aiHausmanaiOLSGLSbOOLSGLSVar[bO]DVar[b]CVar[O]Cov[bO]Cov[bO]0(8.38)HausmanCov[.bO/;O]DCov[b;O]Var[O]D0(8.39)Cov[b;O]DVar[O](8.40)(8.40)(8.38)Var[bO]DVar[b]Var[O]D999(8.41)HausmanWaldWD[bO]0O9991[bO]2.K1/(8.42),O999.aixit88B-PHausman8.2.13yitDaiCxitCit(8.43)4yitD4xitC4it(8.44)itDit1Cuit,4itD4it1C4uitH0:D0v:s:6D04itDeitH0Corr.eit;eit1/D0:5(8.45)(8.44)OLSOeitOeit1OLSOO-0.5t9Baltagi(2001)10seexttest2andxttest38.2.4STATAPanelDatacompanyyearinvestmvalue11951755.94833.011952891.24924.9119531304.46241.7119541486.75593.621951588.22289.521952645.52159.421953641.02031.321954459.32115.59Wooldridge(2002,pp.282)STATAxtserial10STATAxttest18.2.1431951135.21819.431952157.32079.731953179.52371.631954189.62759.9............companyyearpaneldataSTATAtsset11tssetcompanyyearpanelvariable:company,1to5timevariable:time,1to20PanelDataPanelDataLaginvestinvestgenLag_invest=L.investcompanyyearinvestLag_investmvalue11951755.9.4833.011952891.2755.94924.9119531304.4891.26241.7119541486.71304.45593.621951588.2.2289.521952645.5588.22159.421953641.0645.52031.321954459.3641.02115.531951135.2.1819.431952157.3135.22079.731953179.5157.32371.631954189.6179.52759.9...............11Seehelptsset,whelptssetPanelData[whelpxt]8.2.15PanelDataPanelDataPanelData12xtdes8-1:xtdesPanelDataxtsumxttabxtsumsummarypooleddatalistsumdestabstathistogramkdensityPaneldataSTATA8.08-2xtreg12xtcountxtlistcountbyxtpatternxtcorrxtcorr28.2.168-2:STATA8.0PanelDataxtregFixed-,between-andrandom-effects,andpopulation-averagedlinearmodelsxtregarFixed-andr