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论坛 计量经济学与统计论坛 五区 计量经济学与统计软件 Stata专版
4876 4
2012-04-21

大家好

想请教一下

我用fixed effect model跑出来的回归结果

F-statisticp值没有显示出一个确切的数字

而且用蓝字显示

我点进去看里面的说明:

Your estimation results show an F or chi2 model statistic reported to be missing. Stata has done that so as to not be misleading, not because there is something necessarily wrong with your model.

请问这代表我的回归结果是可靠的吗?

先谢谢大家喔!

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全部回复
2012-4-21 21:49:20
发现有更详细的解说

不过没有看很懂

   The VCE you have just estimated is not of sufficient rank to perform the
    model test.  As discussed in [R] test, the model test with clustered or
    survey data is distributed as F(k,d-k+1) or chi2(k), where k is the
    number of constraints and d=number of clusters or d=number of PSUs minus
    the number of strata.  Since the rank of the VCE is at most d and the
    model test reserves 1 degree of freedom for the constant, at most d-1
    constraints can be tested, so k must be less than d.  The model that you
    just fitted does not meet this requirement.

    To simplify the remaining discussion, let's consider the case of
    clustered data.  This discussion applies to survey estimation in general
    by substituting, "PSUs - strata" for "clusters".

    There is no mechanical problem with your model, but you need to consider
    carefully whether any of the reported standard errors mean anything.
    The theory that justifies the standard error calculation is asymptotic
    in the number of clusters, and we have just established that you are
    estimating at least as many parameters as you have clusters.

    That concern aside, the model test statistic issue is that you cannot
    simultaneously test that all coefficients are zero because there is not
    enough information.  You could test a subset, but not all, and so Stata
    refuses to report the overall model test statistic.

    Here note the degrees of freedom reported for the chi2 or F.  You might
    see chi2(6) or F(6, 5).  If you were to count the number of coefficients
    that would be constrained to 0 in a model test in this case, you would
    find that number to be greater than 6.  You could find out what that
    number is by reestimating the model parameters without the vce(robust)
    and vce(cluster clustvar) options (or, for the survey commands, using
    the corresponding non-svy estimator).  In any case, the 6 reported is
    the maximum number of coefficients that could be simultaneously tested.
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2016-4-7 22:09:41
你好,请问你的问题解决了吗?你知道怎么回事了吗?我和你遇到了同样的问题
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2017-11-30 22:59:27
请问楼主解决了吗?怎么解决的啊?
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2019-11-22 19:27:39
请问楼主解决了吗?我也遇到一样的问题,可否告知一下!谢谢了!
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