新手小白求教，论文用的STATA（是一个师姐帮助编辑的命令），现在导师提了新问题求教

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收藏 2019-10-06

新人小白紧急求教。在写论文，数据啥的都是自己整理的，因为对STATA几乎一窍不通，于是之前一个师姐帮着写了一段命令，得出了部分结论。现在外方导师提出了新的问题，我就不知道咋整理。貌似是需要修改或添加之前师姐写的命令。我把之前的命令导出结果汇报出来，然后把外方导师的问题也发出来。请老师们不吝指导，多谢多谢。

. use "C:\Users\notti\Desktop\panel.dta", clear
. do "C:\Users\notti\Desktop\panel.do"
. cd "C:\Users\notti\Desktop"
C:\Users\notti\Desktop
. clear
. import excel "目标企业财务数据全.xls",firstrow
. drop in 1
(1 observation deleted)
. destring _all, replace
序号 already numeric; no replace
股票名称 contains nonnumeric characters; no replace
证券代码 has all characters numeric; replaced as long
会计期间 contains nonnumeric characters; no replace
资产总计 has all characters numeric; replaced as double
短期借款 has all characters numeric; replaced as double
(683 missing values generated)
长期借款 has all characters numeric; replaced as double
(2193 missing values generated)
负债合计 has all characters numeric; replaced as double
(1 missing value generated)
实收资本或股本 has all characters numeric; replaced as double
资本公积 has all characters numeric; replaced as double
(5 missing values generated)
盈余公积 has all characters numeric; replaced as double
(21 missing values generated)
未分配利润 has all characters numeric; replaced as double
少数股东权益 has all characters numeric; replaced as double
(2753 missing values generated)
所有者权益合计 has all characters numeric; replaced as double
净利润 has all characters numeric; replaced as double
ROE has all characters numeric; replaced as double
Asset has all characters numeric; replaced as double
Equityfinancingrate has all characters numeric; replaced as double
Debtfinancingrate has all characters numeric; replaced as double
Endogenousfinancingrate has all characters numeric; replaced as double
Assetgrowthrate has all characters numeric; replaced as double
(66 missing values generated)
DUM has all characters numeric; replaced as byte
. duplicates drop 股票名称会计期间,force
Duplicates in terms of 股票名称会计期间
(3,597 observations deleted)
.
.
. rename 会计期间 date
.
. gen year=substr(date,1,4)
. gen month=substr(date,6,2)
.
. gen quarter=.
(3,605 missing values generated)
. destring month,replace
month has all characters numeric; replaced as byte
. replace quarter=04 if month==12
(772 real changes made)
. replace quarter=03 if month==9
(773 real changes made)
. replace quarter=02 if month==6
(773 real changes made)
. replace quarter=01 if month==3
(772 real changes made)
. drop if quarter==.
(515 observations deleted)
. destring year quarter,replace
year has all characters numeric; replaced as int
quarter already numeric; no replace
.
. gen date2=yq(year,quarter)
. format date2 %tq
.
. rename 股票名称 id
. *设定面板结构
. xtset 证券代码 date2
   panel variable:  证券代码 (unbalanced)
      time variable:  date2, 2015q4 to 2018q3
            delta:  1 quarter
.
. gen lasset=ln(Asset)
. gen l1ROE=l.ROE
(258 missing values generated)
. *xtline ROE
.
.
. findit logout
. *描述性统计表
. logout, save(summary)  word replace:tabstat ROE lasset Equityfinancingrate Debtfinancingrate /*
> */Endogenousfinancingrate Assetgrowthrate DUM,stat(mean p50 sd max min) c(s)
variable |    mean    p50       sd    max    min
-------------+--------------------------------------------------
      ROE | -.0062939  .0192537  1.230277  2.465212 -46.40431
   lasset |  22.58278  22.47339  1.191642  26.28774  19.66508
Equityfina~e |  .6373304  .6695688  .3335581       1  -6.62198
Debtfinanc~e |  .1094083  .0783635  .1196442  .8571863       0
Endogenous~e |  .0957957  .1089636  .6439946 .755443 -17.78893
Assetgrowt~e |  -.068594 -.1687937  1.371248  34.52889 -.9940772
      DUM |  .3106796       0  .4628468       1       0
----------------------------------------------------------------
summary.rtf
dir
.
. *面板回归 xtreg
. xtreg ROE lasset Equityfinancingrate Debtfinancingrate /*
> */Endogenousfinancingrate Assetgrowthrate DUM,fe
note: DUM omitted because of collinearity
Fixed-effects (within) regression             Number of obs    =    3,024
Group variable: 证券代码                      Number of groups  =       258
R-sq:                                        Obs per group:
   within  = 0.0267                                        min =       8
   between = 0.0016                                        avg =    11.7
   overall = 0.0017                                        max =       12
                                             F(5,2761)       =    15.15
corr(u_i, Xb)  = -0.7342                      Prob > F       =    0.0000
-----------------------------------------------------------------------------------------
                  ROE |    Coef. Std. Err.    t P>|t|    [95% Conf. Interval]
------------------------+----------------------------------------------------------------
               lasset |  -.0867875 .0707009 -1.23 0.220 -.2254194 .0518444
Equityfinancingrate | 2.830594 .3400175    8.32 0.000    2.16388 3.497309
   Debtfinancingrate | 1.708028 .482442    3.54 0.000    .7620441 2.654011
Endogenousfinancingrate |  -1.119337 .1350002 -8.29 0.000 -1.384049 -.8546255
      Assetgrowthrate | .0156649 .0172084    0.91 0.363 -.0180777 .0494076
                  DUM |       0  (omitted)
               _cons | .0690197 1.541818    0.04 0.964 -2.954213 3.092252
------------------------+----------------------------------------------------------------
            sigma_u |  .68272882
            sigma_e |  1.2094248
                  rho |  .24165912 (fraction of variance due to u_i)
-----------------------------------------------------------------------------------------
F test that all u_i=0: F(257, 2761) = 1.59                Prob > F = 0.0000
. est store fe
.
.
. findit outreg2
. logout, save(result)  word replace:esttab re ,se r2 mtitle star(* 0.1 ** 0.05 *** 0.01)
estimation result re not found
r(111);
end of do-file
r(111);
.
外方导师提出的问题如下：
You need to re-estimate the model again and take into account the fixedeffects and random effects. I can see from the table that the dummy variablehas been dropped due to collinearity. You need to check your series for Unitroots using panel unit roots tests such as ADF, Fisher etc.

请教老师们，我该如何在STATA用通过输入新命令，回答外放老师提出的问题呢，多谢多谢。