sum it it1 dt1 gt1 cft
| Variable | Obs | Mean | Std. Dev. | Min | Max |
| | |
| it | 1998 | .0832613 | .134807 | -.3837973 | .8216538 |
| it1 | 1998 | .0946333 | .1402503 | -.3837973 | .8721095 |
| dt1 | 1998 | .4643617 | .1680077 | .0684844 | .9001655 |
| gt1 | 1998 | -.0054551 | .6564586 | -1.555564 | 2.517123 |
| cft | 1998 | .0662256 | .0775479 | -.1810507 | .3600312 |
regress it it1 dt1 gt1 cft
Source | SS df MS Number of obs = 1998
-------------+------------------------------ F( 4, 1993) = 71.71
Model | 4.56579675 4 1.14144919 Prob > F = 0.0000
Residual | 31.7255411 1993 .015918485 R-squared = 0.1258
-------------+------------------------------ Adj R-squared = 0.1241
Total | 36.2913378 1997 .018172928 Root MSE = .12617
------------------------------------------------------------------------------
it | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
it1 | .1687116 .0234238 7.20 0.000 .122774 .2146492
dt1 | -.082543 .0168539 -4.90 0.000 -.1155961 -.04949
gt1 | .0233332 .0050948 4.58 0.000 .0133415 .0333248
cft | .319183 .0373506 8.55 0.000 .2459327 .3924333
_cons | .0846146 .009103 9.30 0.000 .0667621 .102467
-------------------------------------------------------------
xi:xtreg it it1 dt1 gt1 cft i.year,fe
i.year _Iyear_2001-2006 (naturally coded; _Iyear_2001 omitted)
Fixed-effects (within) regression Number of obs = 1998
Group variable: company Number of groups = 333
R-sq: within = 0.1133 Obs per group: min = 6
between = 0.0934 avg = 6.0
overall = 0.0000 max = 6
F(9,1656) = 23.51
corr(u_i, Xb) = -0.6320 Prob > F = 0.0000
------------------------------------------------------------------------------
it | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
it1 | .0541041 .0263116 2.06 0.040 .0024965 .1057117
dt1 | -.3127219 .0347334 -9.00 0.000 -.3808478 -.244596
gt1 | -.0702787 .010142 -6.93 0.000 -.0901713 -.0503862
cft | .2236034 .0419513 5.33 0.000 .1413202 .3058865
_Iyear_2002 | -.0037339 .0090098 -0.41 0.679 -.0214057 .0139378
_Iyear_2003 | -.0064442 .0091742 -0.70 0.483 -.0244384 .01155
_Iyear_2004 | .0093567 .0094417 0.99 0.322 -.0091622 .0278757
_Iyear_2005 | -.0002629 .009849 -0.03 0.979 -.0195808 .0190549
_Iyear_2006 | .000966 .0101313 0.10 0.924 -.0189054 .0208375
_cons | .2081854 .0162801 12.79 0.000 .1762536 .2401172
-------------+----------------------------------------------------------------
sigma_u | .10917924
sigma_e | .11534182
rho | .47257298 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(332, 1656) = 2.10 Prob > F = 0.0000
.
.
.
. xi:xtreg it it1 dt1 gt1 cft i.year,re
i.year _Iyear_2001-2006 (naturally coded; _Iyear_2001 omitted)
Random-effects GLS regression Number of obs = 1998
Group variable: company Number of groups = 333
R-sq: within = 0.0109 Obs per group: min = 6
between = 0.5767 avg = 6.0
overall = 0.1370 max = 6
Random effects u_i ~ Gaussian Wald chi2(9) = 315.66
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
------------------------------------------------------------------------------
it | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
it1 | .1437765 .0240017 5.99 0.000 .0967339 .190819
dt1 | -.0657266 .0171307 -3.84 0.000 -.0993022 -.0321511
gt1 | .0284564 .0051972 5.48 0.000 .01827 .0386428
cft | .3220453 .0372327 8.65 0.000 .2490705 .39502
_Iyear_2002 | -.0086856 .0097604 -0.89 0.374 -.0278156 .0104443
_Iyear_2003 | -.0227694 .0098113 -2.32 0.020 -.0419993 -.0035396
_Iyear_2004 | -.0143972 .0099181 -1.45 0.147 -.0338363 .0050419
_Iyear_2005 | -.040167 .0100166 -4.01 0.000 -.0597993 -.0205347
_Iyear_2006 | -.039464 .0101472 -3.89 0.000 -.059352 -.0195759
_cons | .0999176 .0107153 9.32 0.000 .0789159 .1209193
-------------+----------------------------------------------------------------
sigma_u | 0
sigma_e | .11534182
rho | 0 (fraction of variance due to u_i)
------------------------------------------------------------------------------
. xttest0
Breusch and Pagan Lagrangian multiplier test for random effects
it[company,t] = Xb + u[company] + e[company,t]
Estimated results:
| Var sd = sqrt(Var)
---------+-----------------------------
it | .0181729 .134807
e | .0133037 .1153418
u | 0 0
Test: Var(u) = 0
chi2(1) = 1.92
Prob > chi2 = 0.1656
qui xtreg it it1 dt1 gt1 cft,fe
estimates store fe
qui xtreg it it1 dt1 gt1 cft,re
estimates store re
hausman fe
---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| fe re Difference S.E.
-------------+----------------------------------------------------------------
it1 | .0486486 .1687116 -.120063 .0086528
dt1 | -.3081782 -.082543 -.2256351 .0272443
gt1 | -.068016 .0233332 -.0913492 .008058
cft | .2220242 .319183 -.0971588 .0188305
------------------------------------------------------------------------------
b = consistent under Ho and Ha; obtained from xtreg
B = inconsistent under Ha, efficient under Ho; obtained from xtreg
Test: Ho: difference in coefficients not systematic
chi2(4) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 1443.37
Prob>chi2 = 0.0000
这里调整R2如此小，问题出在哪里呢？恳求高手指点！非常感谢！ [此贴子已经被作者于2007-10-15 0:34:00编辑过]
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