截面相关检验求助

紫瑜

1768

收藏 2014-05-07

悬赏 20 个论坛币未解决

我做了一个截面相关的检验
Pesaran's test of cross sectional independence =    3.525, Pr = 0.0004

Friedman's test of cross sectional independence = 31.701, Pr = 0.0004

Correlation matrix of residuals:
      c1    c2    c3    c4    c5    c6    c7    c8    c9    c10    c11
r1 1.0000
r2 0.5780 1.0000
r3 0.4156  -0.2972 1.0000
r4  -0.3848  -0.5735 0.0831 1.0000
r5 0.2299  -0.4234 0.7004 0.1704 1.0000
r6 0.5918 0.7302  -0.0295  -0.3544  -0.4346 1.0000
r7 0.6302 0.2016 0.6882  -0.1124 0.3383 0.4063 1.0000
r8  -0.5494  -0.4471 0.0427 0.4223  -0.0272  -0.4066  -0.1910 1.0000
r9 0.5917 0.3218 0.3605  -0.2975  -0.1103 0.8038 0.4752  -0.2174 1.0000
r10 0.6132 0.2974 0.3180 0.0185  -0.0735 0.7339 0.6059  -0.3819 0.7529 1.0000
r11 0.0429 0.5971  -0.6427  -0.0178  -0.7649 0.5476  -0.3426  -0.1841 0.1126 0.1812 1.0000

  Frees' test of cross sectional independence =    1.437
|--------------------------------------------------------|
  Critical values from Frees' Q distribution
                  alpha = 0.10 : 0.1521
                  alpha = 0.05 : 0.1996
                  alpha = 0.01 : 0.2928

Average absolute value of the off-diagonal elements =    0.379
前两个p值小于0.01，但最后一个frees检验如何看p值？如何表明是否存在截面相关？谢谢各位大神！