13第十三講 面板數(shù)據(jù)模型分析

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1、第十三講 面板數(shù)據(jù)模型分析 Dependent Variable: CP? Method: Pooled Least Squares Date: 07/20/11 Time: 16:49 Sample: 1996 2002 Included observations: 7 Cross-sections included: 15 Total pool (balanced) observations: 105 Variable Coefficient Std. Error t-Statistic Prob. C 129.6313 63.69259 2.035265 0

2、.0444 IP? 0.758726 0.009522 79.68189 0.0000 R-squared 0.984036 Mean dependent var 4917.608 Adjusted R-squared 0.983881 S.D. dependent var 1704.704 S.E. of regression 216.4270 Akaike info criterion 13.61125 Sum squared resid 4824588. Schwarz criterion 13.66180 Log likelihood -71

3、2.5905 Hannan-Quinn criter. 13.63173 F-statistic 6349.204 Durbin-Watson stat 0.784107 Prob(F-statistic) 0.000000 Dependent Variable: CP? Method: Pooled Least Squares Date: 07/20/11 Time: 16:52 Sample: 1996 2002 Included observations: 7 Cross-sections included: 15 Total pool (bal

4、anced) observations: 105 Variable Coefficient Std. Error t-Statistic Prob. C 515.6142 81.59665 6.319061 0.0000 IP? 0.697561 0.012692 54.96029 0.0000 Fixed Effects (Cross) AH--C -36.30583 BJ--C 537.5660 FJ--C -47.64515 HB--C -154.2367 HLJ--C -

5、169.7015 JL--C 24.50427 JS--C -35.19587 JX--C LN--C NMG--C SD--C SH--C SX--C TJ--C ZJ--C -319.6960 106.4273 -209.5484 -134.1145 266.9859 -74.88901 47.22940 198.6202 Effects Specification Cross-section fixed (dummy variables) R-squared 0.992488 Mean depend

6、ent var 4917.608 Adjusted R-squared 0.991222 S.D. dependent var 1704.704 S.E. of regression 159.7184 Akaike info criterion 13.12414 Sum squared resid 2270386. Schwarz criterion 13.52855 Log likelihood -673.0173 Hannan-Quinn criter. 13.28802 F-statistic 783.8902 Durbin-Watson stat

7、 1.609517 Prob(F-statistic) 0.000000 Dependent Variable: CP? Method: Pooled Least Squares Date: 07/20/11 Time: 17:00 Sample: 1996 2002 Included observations: 7 Cross-sections included: 15 Total pool (balanced) observations: 105 Variable Coefficient Std. Error t-Statistic Prob.

8、C 681.9314 207.2757 3.289972 0.0015 IP? 0.671206 0.032756 20.49104 0.0000 Fixed Effects (Cross) AH--C -68.63887 BJ--C 617.1561 FJ--C -28.38084 HB--C -177.6476 HLJ--C -211.9239 JL--C -18.15008 JS--C -30.40811 JX--C -360.1584

9、 LN--C 74.35954 NMG--C -252.6237 SD--C -142.6968 SH--C 374.5439 SX--C -120.3368 TJ--C 81.08757 ZJ--C 263.8181 Fixed Effects (Period) 1996--C -75.32979 1997--C 23.58147 1998--C -8.334515 1999--C -38.77287 2000--C 32.76080 2001--C -41.96351 2002--C 108.0584

10、 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared 0.993231 Mean dependent var 4917.608 Adjusted R-squared 0.991519 S.D. dependent var 1704.704 S.E. of regression 156.9924 Akaike info criterion 13.13420 Sum squared resid 2045670.

11、Schwarz criterion 13.69027 Log likelihood -667.5455 Hannan-Quinn criter. 13.35953 F-statistic 579.9690 Durbin-Watson stat 1.433231 Prob(F-statistic) 0.000000 Dependent Variable: CP? Method: Pooled EGLS (Two-way random effects) Date: 07/20/11 Time: 17:05 Sample: 1996 2002 Includ

12、ed observations: 7 Cross-sections included: 15 Total pool (balanced) observations: 105 Swamy and Arora estimator of component variances Variable Coefficient Std. Error t-Statistic Prob. C 305.3724 89.32328 3.418733 0.0009 IP? 0.730877 0.012685 57.61726 0.0000 Random Effects (Cross

13、) AH--C 3.705708 BJ--C 354.5957 FJ--C -58.42670 HB--C -101.1495 HLJ--C -94.40187 JL--C 63.64190 JS--C -33.47338 JX--C -217.9298 LN--C 119.2634 NMG--C -125.8632 SD--C -100.0317 SH--C 106.3259 SX--C -14.15146 TJ--C 3.594376 ZJ--C 94.30073 Random Effects (

14、Period) 1996--C 10.10464 1997--C 34.09086 1998--C 10.72654 1999--C -15.20580 2000--C 4.283129 2001--C -42.43943 2002--C -1.559942 Effects Specification S.D. Rho Cross-section random 123.1225 0.3705 Period random 33.23069 0.0270 Idiosyncratic random 156.9924 0.6025

15、 Weighted Statistics R-squared 0.969907 Mean dependent var 2011.382 Adjusted R-squared 0.969615 S.D. dependent var 952.9177 S.E. of regression 166.1057 Sum squared resid 2841883. F-statistic 3319.749 Durbin-Watson stat 1.203497 Prob(F-statistic) 0.000000 Unweighted Statistics

16、 R-squared 0.982711 Mean dependent var 4917.608 Sum squared resid 5225256. Durbin-Watson stat 0.704224 Correlated Random Effects - Hausman Test Pool: POOL01 Test cross-section and period random effects Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Cross-section random 16.6

17、83091 1 0.0000 Period random 5.976970 1 0.0145 Cross-section and period random 3.904031 1 0.0482 Cross-section random effects test comparisons: Variable Fixed Random Var(Diff.) Prob. IP? 0.695220 0.730877 0.000076 0.0000 Cross-section random effects test equation: Dependent

18、 Variable: CP? Method: Panel EGLS (Period random effects) Date: 07/20/11 Time: 17:07 Sample: 1996 2002 Included observations: 7 Cross-sections included: 15 Total pool (balanced) observations: 105 Swamy and Arora estimator of component variances Coefficient Std. Error t-Statistic Prob.

19、C 530.3876 98.37469 5.391505 0.0000 IP? 0.695220 0.015399 45.14794 0.0000 Effects Specification S.D. Rho Cross-section fixed (dummy variables) Period random 33.23069 0.0429 Idiosyncratic random 156.9924 0.9571 Weighted Statistics R-squared 0.992061 Mean dep

20、endent var 4917.608 Adjusted R-squared 0.990722 S.D. dependent var 1627.063 S.E. of regression 156.7187 Sum squared resid 2185908. F-statistic 741.3911 Durbin-Watson stat 1.545600 Unweighted Statistics R-squared 0.992485 Mean dependent var 4917.608 Sum squared resid 2271254. Durbin-W

21、atson stat 1.609880 Period random effects test comparisons: Variable Fixed Random Var(Diff.) Prob. IP? 0.756685 0.730877 0.000111 0.0145 Period random effects test equation: Dependent Variable: CP? Method: Panel EGLS (Cross-section random effects) Date: 07/20/11 Time: 17:07 Sample: 1996 2002

22、Included observations: 7 Cross-sections included: 15 Total pool (balanced) observations: 105 Swamy and Arora estimator of component variances Coefficient Std. Error t-Statistic Prob. C 142.5120 105.2629 1.353868 0.1789 IP? 0.756685 0.016503 45.85180 0.0000 Effects Specification

23、 S.D. Rho Cross-section random 123.1225 0.3808 Period fixed (dummy variables) Idiosyncratic random 156.9924 0.6192 Weighted Statistics R-squared 0.978647 Mean dependent var 4917.608 Adjusted R-squared 0.977106 S.D. dependent var 1080.153 S.E. of regression 163

24、.4363 Sum squared resid 2591008. F-statistic 635.0896 Durbin-Watson stat 1.195934 Prob(F-statistic) 0.000000 Unweighted Statistics Sum squared resid 4216303. Durbin-Watson stat 0.734927 Cross-section and period random effects test comparisons: Variable Fixed Random Var(Diff.) P

25、rob. IP? 0.671206 0.730877 0.000912 0.0482 Cross-section and period random effects test equation: Dependent Variable: CP? Method: Panel Least Squares Date: 07/20/11 Time: 17:07 Sample: 1996 2002 Included observations: 7 Cross-sections included: 15 Total pool (balanced) observations: 10

26、5 Coefficient Std. Error t-Statistic Prob. C 681.9314 207.2757 3.289972 0.0015 IP? 0.671206 0.032756 20.49104 0.0000 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared 0.993231 Mean dependent var 4917.608 Adjusted R-squared

27、 0.991519 S.D. dependent var 1704.704 S.E. of regression 156.9924 Akaike info criterion 13.13420 Sum squared resid 2045670. Schwarz criterion 13.69027 Log likelihood -667.5455 Hannan-Quinn criter. 13.35953 F-statistic 579.9690 Durbin-Watson stat 1.433231 Prob(F-statistic) 0.000000