sungmoo 发表于 2012-4-15 08:00 
把你的全部命令过程贴出来(也有必要贴出部分数据)
lrtest m_22_OLS m_22_fe
. reg V CF dCF dCF_t dNA dNA_t I dI dI_t D dD dD_t CAPEX dCAPEX dCAPEX_t dV C JLC JL
Source | SS df MS Number of obs = 1323
-------------+------------------------------ F( 18, 1304) = 46.57
Model | 1061.5771 18 58.9765057 Prob > F = 0.0000
Residual | 1651.53902 1304 1.26651765 R-squared = 0.3913
-------------+------------------------------ Adj R-squared = 0.3829
Total | 2713.11612 1322 2.05228148 Root MSE = 1.1254
------------------------------------------------------------------------------
V | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
CF | 4.130757 .6659335 6.20 0.000 2.824339 5.437175
dCF | -1.04165 .5362173 -1.94 0.052 -2.093593 .0102925
dCF_t | 1.074368 .3332344 3.22 0.001 .4206342 1.728102
dNA | 2.068786 .2736343 7.56 0.000 1.531975 2.605598
dNA_t | .6982187 .1457202 4.79 0.000 .4123469 .9840904
I | 1.670265 4.735301 0.35 0.724 -7.619377 10.95991
dI | -3.845376 8.06889 -0.48 0.634 -19.6748 11.98405
dI_t | 4.06274 4.860164 0.84 0.403 -5.471855 13.59734
D | 51.38918 4.729949 10.86 0.000 42.11004 60.66832
dD | 1.938958 5.254084 0.37 0.712 -8.368424 12.24634
dD_t | 20.46651 3.22363 6.35 0.000 14.14244 26.79057
CAPEX | -2.930474 .7539386 -3.89 0.000 -4.409539 -1.451408
dCAPEX | .813452 .7187615 1.13 0.258 -.5966035 2.223507
dCAPEX_t | -.3840313 .5114215 -0.75 0.453 -1.38733 .6192675
dV | -.2948644 .0172266 -17.12 0.000 -.3286593 -.2610696
C | 2.182336 .321561 6.79 0.000 1.551502 2.813169
JLC | 5.948252 2.044858 2.91 0.004 1.93668 9.959823
JL | -.5928229 .4611235 -1.29 0.199 -1.497448 .3118023
_cons | .8460131 .1205401 7.02 0.000 .6095394 1.082487
------------------------------------------------------------------------------
est store m_22_OLS
xtreg V CF dCF dCF_t dNA dNA_t I dI dI_t D dD dD_t CAPEX dCAPEX dCAPEX_t dV C JLC JL,fe
Fixed-effects (within) regression Number of obs = 1323
Group variable: id Number of groups = 505
R-sq: within = 0.6303 Obs per group: min = 1
between = 0.0201 avg = 2.6
overall = 0.1439 max = 4
F(18,800) = 75.77
corr(u_i, Xb) = -0.2901 Prob > F = 0.0000
------------------------------------------------------------------------------
V | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
CF | 1.848391 .9236121 2.00 0.046 .0354016 3.66138
dCF | -.8383154 .5140472 -1.63 0.103 -1.847356 .1707252
dCF_t | -.1133521 .3125083 -0.36 0.717 -.7267852 .5000809
dNA | 1.092761 .2551497 4.28 0.000 .5919187 1.593603
dNA_t | 1.161044 .1276641 9.09 0.000 .9104475 1.41164
I | 34.33713 9.455368 3.63 0.000 15.77687 52.89739
dI | -8.101918 7.582592 -1.07 0.286 -22.98604 6.782207
dI_t | 17.68806 4.90385 3.61 0.000 8.062126 27.31399
D | 30.37134 7.048796 4.31 0.000 16.53502 44.20766
dD | 5.388799 5.146271 1.05 0.295 -4.71299 15.49059
dD_t | 5.974623 2.886221 2.07 0.039 .3091627 11.64008
CAPEX | -2.656657 1.118258 -2.38 0.018 -4.851724 -.46159
dCAPEX | 1.636184 .7044302 2.32 0.020 .2534342 3.018934
dCAPEX_t | .338595 .465658 0.73 0.467 -.5754607 1.252651
dV | -.4066044 .0127717 -31.84 0.000 -.4316745 -.3815344
C | -.8360194 .5410057 -1.55 0.123 -1.897978 .225939
JLC | 10.83465 2.01831 5.37 0.000 6.872843 14.79646
JL | -1.870985 .5109195 -3.66 0.000 -2.873886 -.8680841
_cons | 1.579346 .2182882 7.24 0.000 1.150861 2.007832
-------------+----------------------------------------------------------------
sigma_u | 1.2533456
sigma_e | .75464153
rho | .73393069 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(504, 800) = 4.17 Prob > F = 0.0000
. est store m_22_fe
lrtest m_22_OLS m_22_fe
df(unrestricted) = df(restricted) = 19