各位高手,本人初学Stata,有几个问题想请教大家。
1、Hausman检验到底用固定还是随机,是看最下面的 Prob>chi2 = 0.0018吗?如果是Prob>chi2=0.0000,那么就选用固定效应模型,只要是>0.0000,不管值有多小,比如我得到的结果是0.0018,也是不选用固定效应模型对吗?
2、使用固定效应模型进行回归后所得结果的分析,结果中为什么有两个Prob>F呢?分别是什么意思?
Fixed-effects (within) regression Number of obs = 676
Group variable: company Number of groups = 338
R-sq: within = 0.0715 Obs per group: min = 2
between = 0.0884 avg = 2.0
overall = 0.0578 max = 2
F(9,329) = 2.81
corr(u_i, Xb) = -0.6147
Prob > F = 0.0034
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tq | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
idq | .0620727 .0566382 1.10 0.274 -.0493461 .1734915
industry | (dropped)
duality | .0827559 .0983157 0.84 0.401 -.1106507 .2761626
boardsize | -.0488566 .0341936 -1.43 0.154 -.1161224 .0184092
idr | -.279878 .9093534 -0.31 0.758 -2.068759 1.509003
cr_10 | -1.97152 .7538113 -2.62 0.009 -3.454418 -.4886217
z | -.0010779 .0017019 -0.63 0.527 -.0044259 .0022701
lnsize | .9626486 .3468871 2.78 0.006 .280252 1.645045
lev | -.5836125 .341554 -1.71 0.088 -1.255518 .0882928
growth | -.0691763 .0295598 -2.34 0.020 -.1273264 -.0110262
_cons | -5.538873 3.157513 -1.75 0.080 -11.75033 .672588
-------------+----------------------------------------------------------------
sigma_u | 1.1266549
sigma_e | .5466338
rho | .80945277 (fraction of variance due to u_i)
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F test that all u_i=0: F(337, 329) = 3.75
Prob > F = 0.0000
3、随机效应GLS多元回归分析的结果, Prob > chi2 = 0.0000是表示模型的显著性水平吗?如果看变量的显著性水平是看 P>|z|吗?
Random-effects GLS regression Number of obs = 676 |
Group variable: company Number of groups = 338 |
| | | | | | | | |
R-sq: within = 0.0124 Obs per group: min = 2 |
between = 0.3460 avg = 2.0 |
overall = 0.2863 max = 2 |
| | | | | | | | |
Random effects u_i ~ Gaussian Wald chi2(10) = 158.48 |
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 |
| | | | | | | | |
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tq | Coef. Std. Err. z P>|z| [95% Conf. Interval] |
-------------+---------------------------------------------------------------- |
idq | .0885762 .0472432 1.87 0.061 -.0040188 .1811713 |
industry | -.0406336 .0143261 -2.84 0.005 -.0687123 -.012555 |
duality | -.0030425 .0627527 -0.05 0.961 -.1260355 .1199506 |
boardsize | -.018218 .020279 -0.90 0.369 -.0579641 .021528 |
idr | -.0113577 .6575841 -0.02 0.986 -1.300199 1.277483 |
cr_10 | -.4273047 .2812695 -1.52 0.129 -.9785828 .1239734 |
z | -.0022877 .0010472 -2.18 0.029 -.0043402 -.0002352 |
lnsize | -.8124726 .1003908 -8.09 0.000 -1.009235 -.6157102 |
lev | -1.027934 .2002732 -5.13 0.000 -1.420463 -.6354061 |
growth | -.0577863 .0268824 -2.15 0.032 -.1104749 -.0050977 |
_cons | 10.60775 .9045861 11.73 0.000 8.834791 12.3807 |
-------------+---------------------------------------------------------------- |
sigma_u | .64031226 | | | | | | |
sigma_e | .5466338 | | | | | | |
rho | .57843536 (fraction of variance due to u_i) | | |
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