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 DependentVariable:CP? Method:PooledLeastSquares Date:07/20/11Time:16:49 Sample:19962002 Includedobservations:7 Cross-sectionsincluded:15 Totalpool(balanced)observations:105 Variable Coefficient Std.Errort-Statistic Prob. C 129.6313 63.692592.035265 0.0444 IP? 0.758726

2、0.00952279.68189 0.0000 R-squared 0.984036 Meandependentvar 4917.608 AdjustedR-squared 0.983881 S.D.dependentvar 1704.704 S.E.ofregression 216.4270 Akaikeinfocriterion 13.61125 Sumsquaredresid 4824588. Schwarzcriterion 13.66180 Loglikelihood -712.5905 Hannan-Quinncriter. 13.6317

3、3 F-statistic 6349.204 Durbin-Watsonstat 0.784107 Prob(F-statistic) 0.000000 DependentVariable:CP? Method:PooledLeastSquares Date:07/20/11Time:16:52 Sample:19962002 Includedobservations:7 Cross-sectionsincluded:15 Totalpool(balanced)observations:105 Variable Coefficient Std.Err

4、or t-Statistic Prob. C 515.6142 81.59665 6.319061 0.0000 IP? 0.697561 0.012692 54.96029 0.0000 FixedEffects(Cross) AH--C -36.30583 BJ--C 537.5660 FJ--C -47.64515 HB--C -154.2367 HLJ--C -169.7015 JL--C 24.50427 JS--C -35.19587

5、 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 EffectsSpecification Cross-sectionfixed(dummyvariables) R-squared 0.992488 Meandependentvar 4917.608 AdjustedR-squared 0.991222 S.D.dependentvar

6、 1704.704 S.E.ofregression 159.7184 Akaikeinfocriterion 13.12414 Sumsquaredresid 2270386. Schwarzcriterion 13.52855 Loglikelihood -673.0173 Hannan-Quinncriter. 13.28802 F-statistic 783.8902 Durbin-Watsonstat 1.609517 Prob(F-statistic) 0.000000 DependentVariable:CP? Method:P

7、ooledLeastSquares Date:07/20/11Time:17:00 Sample:19962002 Includedobservations:7 Cross-sectionsincluded:15 Totalpool(balanced)observations:105 Variable Coefficient Std.Error t-Statistic Prob. C 681.9314 207.2757 3.289972 0.0015 IP? 0.671206 0.032756 20.49104 0.0000 FixedEffects(

8、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 LN--C 74.35954 NMG--C -252.6237 SD--C -142.6968 SH--C 374.5439 SX--C -120.3

9、368 TJ--C 81.08757 ZJ--C 263.8181 FixedEffects(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 EffectsSpecification Cross-sectionfixed(dummyvariables) Periodfixed(dummyvariables) R-squared

10、0.993231 Meandependentvar 4917.608 AdjustedR-squared 0.991519 S.D.dependentvar 1704.704 S.E.ofregression 156.9924 Akaikeinfocriterion 13.13420 Sumsquaredresid 2045670. Schwarzcriterion 13.69027 Loglikelihood -667.5455 Hannan-Quinncriter. 13.35953 F-statistic 579.9690 Durbin-Wats

11、onstat 1.433231 Prob(F-statistic) 0.000000 DependentVariable:CP? Method:PooledEGLS(Two-wayrandomeffects) Date:07/20/11Time:17:05 Sample:19962002 Includedobservations:7 Cross-sectionsincluded:15 Totalpool(balanced)observations:105 SwamyandAroraestimatorofcomponentvariances Variable

12、 CoefficientStd.Error t-StatisticProb. C 305.3724 89.32328 3.418733 0.0009 IP? 0.730877 0.012685 57.61726 0.0000 RandomEffects(Cross) 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

13、.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 RandomEffects(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

14、Specification S.D.Rho Cross-sectionrandom 123.1225 0.3705 Periodrandom 33.23069 0.0270 Idiosyncraticrandom 156.9924 0.6025 WeightedStatistics R-squared 0.969907 Meandependentvar 2011.382 AdjustedR-squared 0.969615 S.D.dependentvar 952.9177 S.E.ofregression 166.1057 Sumsqu

15、aredresid 2841883. F-statistic 3319.749 Durbin-Watsonstat 1.203497 Prob(F-statistic) 0.000000 UnweightedStatistics R-squared 0.982711 Meandependentvar 4917.608 Sumsquaredresid 5225256. Durbin-Watsonstat 0.704224 CorrelatedRandomEffects-HausmanTest Pool:POOL01 Testcross-s

16、ectionandperiodrandomeffects TestSummary Chi-Sq. Statistic Chi-Sq.d.f. Prob. Cross-sectionrandom 16.683091 1 0.0000 Periodrandom 5.976970 1 0.0145 Cross-sectionandperiodrandom 3.904031 1 0.0482 Cross-sectionrandomeffectstestcomparisons: Variable Fixed Random Var(Diff.) Prob.

17、 IP? 0.695220 0.730877 0.000076 0.0000 Cross-sectionrandomeffectstestequation:DependentVariable:CP? Method:PanelEGLS(Periodrandomeffects) Date:07/20/11Time:17:07 Sample:19962002 Includedobservations:7 Cross-sectionsincluded:15 Totalpool(balanced)observations:105 SwamyandAroraestimator

18、ofcomponentvariances Coefficient Std.Error t-Statistic Prob. C 530.3876 98.37469 5.391505 0.0000 IP? 0.695220 0.015399 45.14794 0.0000 EffectsSpecification S.D. Rho Cross-sectionfixed(dummyvariables) Periodrandom 33.23069 0.0429 Idiosyncraticrandom 156.99

19、24 0.9571 WeightedStatistics R-squared 0.992061 Meandependentvar 4917.608 AdjustedR-squared 0.990722 S.D.dependentvar 1627.063 S.E.ofregression 156.7187 Sumsquaredresid 2185908. F-statistic 741.3911 Durbin-Watsonstat 1.545600 Prob(F-statistic)0.000000 UnweightedStatistics R-

20、squared0.992485Meandependentvar4917.608 Sumsquaredresid2271254.Durbin-Watsonstat1.609880 Periodrandomeffectstestcomparisons: VariableFixedRandomVar(Diff.)Prob. IP?0.7566850.7308770.0001110.0145 Periodrandomeffectstestequation:DependentVariable:CP? Method:PanelEGLS(Cross-sectionrandomeffects)Da

21、te:07/20/11Time:17:07 Sample:19962002 Includedobservations:7 Cross-sectionsincluded:15 Totalpool(balanced)observations:105 SwamyandAroraestimatorofcomponentvariances Coefficient Std.Error t-Statistic Prob. C 142.5120 105.2629 1.353868 0.1789 IP? 0.756685 0.016503 45.85180 0.0000

22、 EffectsSpecification S.D. Rho Cross-sectionrandom 123.1225 0.3808 Periodfixed(dummyvariables) Idiosyncraticrandom 156.9924 0.6192 WeightedStatistics R-squared 0.978647 Meandependentvar 4917.608 AdjustedR-squared 0.977106 S.D.dependentvar 1080.153 S.E.ofregr

23、ession 163.4363 Sumsquaredresid 2591008. F-statistic 635.0896 Durbin-Watsonstat 1.195934 Prob(F-statistic) 0.000000 UnweightedStatistics R-squared0.986049Meandependentvar4917.608 Sumsquaredresid 4216303.Durbin-Watsonstat 0.734927 Cross-sectionandperiodrandomeffectstestcomparis

24、ons: Variable Fixed RandomVar(Diff.)Prob. IP?0.6712060.7308770.0009120.0482 Cross-sectionandperiodrandomeffectstestequation:DependentVariable:CP? Method:PanelLeastSquares Date:07/20/11Time:17:07 Sample:19962002 Includedobservations:7 Cross-sectionsincluded:15 Totalpool(balanced)obse

25、rvations:105 Coefficient Std.Error t-Statistic Prob. C 681.9314 207.2757 3.289972 0.0015 IP? 0.671206 0.032756 20.49104 0.0000 EffectsSpecification Cross-sectionfixed(dummyvariables) Periodfixed(dummyvariables) R-squared 0.993231 Meandependentvar 4917.608 AdjustedR-squared 0.991519 S.D.dependentvar 1704.704 S.E.ofregression 156.9924 Akaikeinfocriterion 13.13420 Sumsquaredresid 2045670. Schwarzcriterion 13.69027 Loglikelihood -667.5455 Hannan-Quinncriter. 13.35953 F-statistic 579.9690 Durbin-Watsonstat 1.433231 Prob(F-statistic) 0.000000