njulily 发表于 2011-6-16 23:17 
这种结果F值太小,似乎说明固定效应不显著,是不是应该用混合OLS ,或随机效应。
xtreg effi IOV STK CRED GDPP FDI Trade gov edu infra urban ecostruct market gmarket prod
> market factmarket finmarket institution, fe
note: gov omitted because of collinearity
Fixed-effects (within) regression Number of obs = 84
Group variable: year Number of groups = 3
R-sq: within = 0.3424 Obs per group: min = 27
between = 0.8918 avg = 28.0
overall = 0.3862 max = 29
F(16,65) = 2.12
corr(u_i, Xb) = -0.4491 Prob > F = 0.0179
------------------------------------------------------------------------------
effi | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
IOV | -.8756044 .3749653 -2.34 0.023 -1.624462 -.1267469
STK | 1.578028 1.837327 0.86 0.394 -2.091367 5.247423
CRED | .1352999 .0728125 1.86 0.068 -.0101166 .2807164
GDPP | 1.34e-06 9.83e-06 0.14 0.892 -.0000183 .000021
FDI | -.2123613 .1500955 -1.41 0.162 -.5121227 .0874002
Trade | 1.120155 1.299945 0.86 0.392 -1.476015 3.716325
gov | (omitted)
edu | .0459314 .0592087 0.78 0.441 -.0723165 .1641793
infra | .0055541 .1742016 0.03 0.975 -.3423505 .3534586
urban | -.6658665 .3316903 -2.01 0.049 -1.328298 -.0034353
ecostruct | .0309254 .5102659 0.06 0.952 -.9881459 1.049997
market | .0402726 .1393504 0.29 0.773 -.2380294 .3185746
gmarket | -.0785417 .0393777 -1.99 0.050 -.1571844 .0001011
prodmarket | .0440281 .0463751 0.95 0.346 -.0485895 .1366456
factmarket | -.0445671 .0483569 -0.92 0.360 -.1411424 .0520082
finmarket | -.0329314 .0234077 -1.41 0.164 -.0796799 .013817
institution | .0466363 .0325175 1.43 0.156 -.0183057 .1115782
_cons | .5421789 .5989178 0.91 0.369 -.6539424 1.7383
-------------+----------------------------------------------------------------
sigma_u | .04517448
sigma_e | .2060336
rho | .0458689 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(2, 65) = 0.25 Prob > F = 0.7792
最后一行检验结果:FE不显著。另外以上许多系数不显著,可能需要修正一下模型。
xtreg y x*
xttest0
*可实现RE的BP检验。