[求助]高手帮忙分析一下hausman检验的结果

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收藏 2008-03-30

Correlated Random Effects - Hausman Test&nbsp;&nbsp;&nbsp;&nbsp; Pool: POOL01&nbsp;&nbsp;&nbsp;&nbsp; Test cross-section and period random effects&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Test Summary&nbsp;&nbsp;Chi-Sq. Statistic&nbsp;Chi-Sq. d.f.&nbsp;Prob. &nbsp;&nbsp;&nbsp;&nbsp; Cross-section random&nbsp;&nbsp;3.084449&nbsp; &nbsp;1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.0790 Period random&nbsp;&nbsp;0.315413&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.5744 Cross-section and period random&nbsp;&nbsp;3.482205&nbsp;&nbsp; &nbsp;1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.0620 &nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Cross-section random effects test comparisons:&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Variable&nbsp;Fixed&nbsp; &nbsp;Random &nbsp;Var(Diff.) &nbsp;Prob. &nbsp;&nbsp;&nbsp;&nbsp; S?&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; -0.193918&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; -0.013138&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.010596&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;0.0790 &nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Cross-section random effects test equation:&nbsp;&nbsp;&nbsp;&nbsp; Dependent Variable: GY?&nbsp;&nbsp;&nbsp;&nbsp; Method: Panel EGLS (Period random effects)&nbsp;&nbsp;&nbsp;&nbsp; Date: 03/30/08&nbsp;&nbsp; Time: 12:56&nbsp;&nbsp;&nbsp;&nbsp; Sample: 1989 2005&nbsp;&nbsp;&nbsp;&nbsp; Included observations: 17&nbsp;&nbsp;&nbsp;&nbsp; Cross-sections included: 72&nbsp;&nbsp;&nbsp;&nbsp; Total pool (balanced) observations: 1224&nbsp;&nbsp;&nbsp;&nbsp; Swamy and Arora estimator of component variances&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Variable&nbsp;Coefficient&nbsp;Std. Error&nbsp;t-Statistic&nbsp;Prob.&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; C&nbsp;0.256381&nbsp;0.064393&nbsp;3.981478&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.0001 S?&nbsp;-0.193918&nbsp;0.119061&nbsp;-1.628731&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;0.1036 &nbsp;&nbsp;&nbsp;&nbsp; &nbsp;Effects Specification&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;S.D.&nbsp; &nbsp;Rho&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Cross-section fixed (dummy variables)&nbsp;&nbsp;&nbsp;&nbsp; Period random&nbsp;&nbsp;&nbsp;0.064672&nbsp;0.0692 Idiosyncratic random&nbsp;&nbsp;&nbsp;0.237209&nbsp;0.9308 &nbsp;&nbsp;&nbsp;&nbsp; &nbsp;Weighted Statistics&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; R-squared&nbsp;0.060808&nbsp;&nbsp;&nbsp;&nbsp; Mean dependent var&nbsp;&nbsp;0.152084 Adjusted R-squared&nbsp;0.002058&nbsp;&nbsp;&nbsp;&nbsp; S.D. dependent var&nbsp;&nbsp;0.237409 S.E. of regression&nbsp;0.237165&nbsp;&nbsp;&nbsp;&nbsp; Sum squared resid&nbsp;&nbsp;64.74050 F-statistic&nbsp;1.035029&nbsp;&nbsp;&nbsp;&nbsp; Durbin-Watson stat&nbsp;&nbsp;2.217587 Prob(F-statistic)&nbsp;0.400608&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; &nbsp;Unweighted Statistics&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; R-squared&nbsp;0.055692&nbsp;&nbsp;&nbsp;&nbsp; Mean dependent var&nbsp;&nbsp;0.152084 Sum squared resid&nbsp;69.42466&nbsp;&nbsp;&nbsp;&nbsp; Durbin-Watson stat&nbsp;&nbsp;2.125597 &nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Period random effects test comparisons:&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Variable&nbsp;Fixed&nbsp; &nbsp;Random &nbsp;Var(Diff.) &nbsp;Prob. &nbsp;&nbsp;&nbsp;&nbsp; S?&nbsp;-0.015579&nbsp;-0.013138&nbsp;0.000019&nbsp;0.5744 &nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Period random effects test equation:&nbsp;&nbsp;&nbsp;&nbsp; Dependent Variable: GY?&nbsp;&nbsp;&nbsp;&nbsp; Method: Panel EGLS (Cross-section random effects)&nbsp;&nbsp;&nbsp;&nbsp; Date: 03/30/08&nbsp;&nbsp; Time: 12:56&nbsp;&nbsp;&nbsp;&nbsp; Sample: 1989 2005&nbsp;&nbsp;&nbsp;&nbsp; Included observations: 17&nbsp;&nbsp;&nbsp;&nbsp; Cross-sections included: 72&nbsp;&nbsp;&nbsp;&nbsp; Total pool (balanced) observations: 1224&nbsp;&nbsp;&nbsp;&nbsp; Swamy and Arora estimator of component variances&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Variable&nbsp;Coefficient&nbsp;Std. Error&nbsp;t-Statistic&nbsp;Prob.&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; C&nbsp;0.160463&nbsp;0.032970&nbsp;4.866967&nbsp;0.0000 S?&nbsp;-0.015579&nbsp;0.059990&nbsp;-0.259684&nbsp;0.7952 &nbsp;&nbsp;&nbsp;&nbsp; &nbsp;Effects Specification&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;S.D.&nbsp; &nbsp;Rho&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Cross-section random&nbsp;&nbsp;&nbsp;0.008000&nbsp;0.0011 Period fixed (dummy variables)&nbsp;&nbsp;&nbsp;&nbsp; Idiosyncratic random&nbsp;&nbsp;&nbsp;0.237209&nbsp;0.9989 &nbsp;&nbsp;&nbsp;&nbsp; &nbsp;Weighted Statistics&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; R-squared&nbsp;0.074178&nbsp;&nbsp;&nbsp;&nbsp; Mean dependent var&nbsp;&nbsp;0.152084 Adjusted R-squared&nbsp;0.061127&nbsp;&nbsp;&nbsp;&nbsp; S.D. dependent var&nbsp;&nbsp;0.245053 S.E. of regression&nbsp;0.237445&nbsp;&nbsp;&nbsp;&nbsp; Sum squared resid&nbsp;&nbsp;67.99460 F-statistic&nbsp;5.683884&nbsp;&nbsp;&nbsp;&nbsp; Durbin-Watson stat&nbsp;&nbsp;2.099954 Prob(F-statistic)&nbsp;0.000000&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; &nbsp;Unweighted Statistics&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; R-squared&nbsp;0.074095&nbsp;&nbsp;&nbsp;&nbsp; Mean dependent var&nbsp;&nbsp;0.152084 Sum squared resid&nbsp;68.07168&nbsp;&nbsp;&nbsp;&nbsp; Durbin-Watson stat&nbsp;&nbsp;2.097576 &nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Cross-section and period random effects test comparisons:&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Variable&nbsp;Fixed&nbsp; &nbsp;Random &nbsp;Var(Diff.) &nbsp;Prob. &nbsp;&nbsp;&nbsp;&nbsp; S?&nbsp;-0.208638&nbsp;-0.013138&nbsp;0.010976&nbsp;0.0620 &nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Cross-section and period random effects test equation:&nbsp;&nbsp;&nbsp;&nbsp; Dependent Variable: GY?&nbsp;&nbsp;&nbsp;&nbsp; Method: Panel Least Squares&nbsp;&nbsp;&nbsp;&nbsp; Date: 03/30/08&nbsp;&nbsp; Time: 12:56&nbsp;&nbsp;&nbsp;&nbsp; Sample: 1989 2005&nbsp;&nbsp;&nbsp;&nbsp; Included observations: 17&nbsp;&nbsp;&nbsp;&nbsp; Cross-sections included: 72&nbsp;&nbsp;&nbsp;&nbsp; Total pool (balanced) observations: 1224&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Variable&nbsp;Coefficient&nbsp;Std. Error&nbsp;t-Statistic&nbsp;Prob.&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; C&nbsp;0.264297&nbsp;0.065242&nbsp;4.051036&nbsp;0.0001 S?&nbsp;-0.208638&nbsp;0.120647&nbsp;-1.729319&nbsp;0.0840 &nbsp;&nbsp;&nbsp;&nbsp; &nbsp;Effects Specification&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Cross-section fixed (dummy variables)&nbsp;&nbsp;&nbsp;&nbsp; Period fixed (dummy variables)&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; R-squared&nbsp;0.131322&nbsp;&nbsp;&nbsp;&nbsp; Mean dependent var&nbsp;&nbsp;0.152084 Adjusted R-squared&nbsp;0.063971&nbsp;&nbsp;&nbsp;&nbsp; S.D. dependent var&nbsp;&nbsp;0.245181 S.E. of regression&nbsp;0.237209&nbsp;&nbsp;&nbsp;&nbsp; Akaike info criterion&nbsp;&nbsp;0.030185 Sum squared resid&nbsp;63.86441&nbsp;&nbsp;&nbsp;&nbsp; Schwarz criterion&nbsp;&nbsp;0.401736 Log likelihood&nbsp;70.52693&nbsp;&nbsp;&nbsp;&nbsp; F-statistic&nbsp;&nbsp;1.949807 Durbin-Watson stat&nbsp;2.236413&nbsp;&nbsp;&nbsp;&nbsp; Prob(F-statistic)&nbsp;&nbsp;0.000001 &nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;

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melodygd

2008-3-30 23:50:00

好像主要看第一段卡方检验结果，如果拒绝，则表示应该用随机效应

Correlated Random Effects - Hausman Test
Pool: POOL01
Test cross-section and period random effects
Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob.
Cross-section random 3.084449   1       0.0790
Period random 0.315413               1                  0.5744
Cross-section and period random 3.482205    1          0.0620

从你的这段结果中的prob来看，均>0.05,说明在0.05水平下接受,应该用固定效应模型。

不知道对不对？仅供参考