固定效应模式检验.doc

1.固定效应模式：Dependent Variable: CONS?Method: Pooled Least SquaresDate: 11/19/12 Time: 09:29Sample: 2001 2010Included observations: 10Cross-sections included: 11Total pool (balanced) observations: 110VariableCoefficientStd. Errort-StatisticProb.C-1529.470368.5850-4.1495730.0001INC?1.3007810.04326030.069180.0000Fixed Effects (Cross)_BJ-C2207.922_TJ-C1064.419_SH-C-2059.641_SD-C-2836.608_HEB-C-2028.924_XJ-C457.2595_HLJ-C-580.0284_SHX-C167.1974_SC-C7050.454_CQ-C-1122.297_ZJ-C-2319.754Effects SpecificationCross-section fixed (dummy variables)R-squared0.961396Mean dependent var8930.705Adjusted R-squared0.957063S.D. dependent var6166.115S.E. of regression1277.703Akaike info criterion17.24618Sum squared resid1.60E+08Schwarz criterion17.54078Log likelihood-936.5401Hannan-Quinn criter.17.36567F-statistic221.8704Durbin-Watson stat0.308232Prob(F-statistic)0.000000对固定效应模式进行F检验：Redundant Fixed Effects TestsPool: CONSTest cross-section fixed effectsEffects TestStatisticd.f.Prob.Cross-section F42.957330(10,98)0.0000Cross-section Chi-square185.165237100.0000Cross-section fixed effects test equation:Dependent Variable: CONS?Method: Panel Least SquaresDate: 11/19/12 Time: 09:30Sample: 2001 2010Included observations: 10Cross-sections included: 11Total pool (balanced) observations: 110VariableCoefficientStd. Errort-StatisticProb.C-3633.561675.2472-5.3810830.0000INC?1.5624360.07700620.289750.0000R-squared0.792177Mean dependent var8930.705Adjusted R-squared0.790253S.D. dependent var6166.115S.E. of regression2823.966Akaike info criterion18.74769Sum squared resid8.61E+08Schwarz criterion18.79679Log likelihood-1029.123Hannan-Quinn criter.18.76760F-statistic411.6739Durbin-Watson stat0.067771Prob(F-statistic)0.000000由检验结果可知：F检验原假设为一样的，由于P值为0.0000，所以拒绝原假设，则应采用固定效应回归2.随机效应模型：Dependent Variable: CONS?Method: Pooled EGLS (Cross-section random effects)Date: 11/19/12 Time: 09:31Sample: 2001 2010Included observations: 10Cross-sections included: 11Total pool (balanced) observations: 110Swamy and Arora estimator of component variancesVariableCoefficientStd. Errort-StatisticProb.C-1617.850809.8673-1.9976720.0483INC?1.3117710.04293930.549490.0000Random Effects (Cross)_BJ-C2114.319_TJ-C1029.902_SH-C-1985.768_SD-C-2744.888_HEB-C-1964.072_XJ-C461.4432_HLJ-C-543.1324_SHX-C190.8004_SC-C6816.674_CQ-C-1092.278_ZJ-C-2282.999Effects SpecificationS.D.RhoCross-section random2395.8250.7786Idiosyncratic random1277.7030.2214Weighted StatisticsR-squared0.893386Mean dependent var1485.152Adjusted R-squared0.892399S.D. dependent var3955.497S.E. of regression1297.507Sum squared resid1.82E+08F-statistic904.9989Durbin-Watson stat0.271669Prob(F-statistic)0.000000Unweighted StatisticsR-squared0.771788Mean dependent var8930.705Sum squared resid9.46E+08Durbin-Watson stat0.052227对随机效应模式进行豪斯曼检验：Correlated Random Effects - Hausman TestPool: CONSTest cross-section random effectsTest SummaryChi-Sq. StatisticChi-Sq. d.f.Prob.Cross-section random4.37392910.0365Cross-section random effects test comparisons:VariableFixedRandomVar(Diff.)Prob.INC?1.3007811.3117710.0000280.0365Cross-section random effects test equation:Dependent Variable: CONS?Method: Panel Least SquaresDate: 11/19/12 Time: 09:32Sample: 2001 2010Included observations: 10Cross-sections included: 11Total pool (balanced) observations: 110VariableCoefficientStd. Errort-StatisticProb.C-1529.470368.5850-4.1495730.0001INC?1.3007810.04326030.069180.0000Effects SpecificationCross-section fixed (dummy variables)R-squared0.961396Mean dependent var8930.705Adjusted R-squared0.957063S.D. dependent var6166.115S.E. of regression1277.703Akaike info criterion17.24618Sum squared resid1.60E+08Schwarz