回归结果小盘股投资策略.doc

Correlated Random Effects - Hausman TestPool: UntitledTest cross-section random effectsTest SummaryChi-Sq. StatisticChi-Sq. d.f.Prob.Cross-section random0.10847310.7419* Warning: estimated cross-section random effects variance is zero.Cross-section random effects test comparisons:VariableFixedRandomVar(Diff.)Prob.RSCH?0.9679360.9676530.0000010.7419Cross-section random effects test equation:Dependent Variable: RSYH?Method: Panel Least SquaresDate: 07/04/10 Time: 12:17Sample: 11/02/2009 6/08/2010Included observations: 157Cross-sections included: 4Total pool (balanced) observations: 628VariableCoefficientStd. Errort-StatisticProb.C0.0006810.0003382.0127840.0446RSCH?0.9679360.02088746.342450.0000BZ?NANANANAEffects SpecificationCross-section fixed (dummy variables)R-squared0.776033Mean dependent var-0.000360Adjusted R-squared0.774233S.D. dependent var0.017801S.E. of regression0.008458Akaike info criterion-6.697859Sum squared resid0.044498Schwarz criterion-6.655414Log likelihood2109.128F-statistic431.0387Durbin-Watson stat1.781260Prob(F-statistic)0.000000Dependent Variable: RSYH_SHXPMethod: Least SquaresDate: 07/01/10 Time: 14:39Sample: 11/02/2009 6/08/2010Included observations: 157VariableCoefficientStd. Errort-StatisticProb.C0.0009500.0008511.1165430.2659RSCH_SHXP1.0566040.05789018.251800.0000R-squared0.682461Mean dependent var-3.57E-05Adjusted R-squared0.680412S.D. dependent var0.018820S.E. of regression0.010639Akaike info criterion-6.235840Sum squared resid0.017546Schwarz criterion-6.196907Log likelihood491.5134F-statistic333.1283Durbin-Watson stat1.783377Prob(F-statistic)0.000000Dependent Variable: RSYH_SHDPMethod: Least SquaresDate: 07/01/10 Time: 14:40Sample: 11/02/2009 6/08/2010Included observations: 157VariableCoefficientStd. Errort-StatisticProb.C-0.0004480.000394-1.1375950.2570RSCH_SHDP1.0645920.02678839.741810.0000R-squared0.910633Mean dependent var-0.001441Adjusted R-squared0.910056S.D. dependent var0.016416S.E. of regression0.004923Akaike info criterion-7.777057Sum squared resid0.003757Schwarz criterion-7.738124Log likelihood612.4990F-statistic1579.412Durbin-Watson stat1.730409Prob(F-statistic)0.000000Dependent Variable: RSYH_SZXPMethod: Least SquaresDate: 07/01/10 Time: 14:41Sample: 11/02/2009 6/08/2010Included observations: 157VariableCoefficientStd. Errort-StatisticProb.C0.0020060.0009152.1928540.0298RSCH_SZXP0.8337630.05207116.011980.0000R-squared0.623223Mean dependent var0.000990Adjusted R-squared0.620792S.D. dependent var0.018568S.E. of regression0.011434Akaike info criterion-6.091777Sum squared resid0.020264Schwarz criterion-6.052844Log likelihood480.2045F-statistic256.3835Durbin-Watson stat1.738163Prob(F-statistic)0.000000Dependent Variable: RSYH_SZDPMethod: Least SquaresDate: 07/01/10 Time: 14:42Sample: 11/02/2009 6/08/2010Included observations: 157VariableCoefficientStd. Errort-StatisticProb.C0.0002300.0002470.9304620.3536RSCH_SZDP0.9722850.01407869.063770.0000R-squared0.968527Mean dependent var-0.000955Adjusted R-squared0.968324S.D. dependent var0.017369S.E. of regression0.003091Akaike info criterion-8.707763Sum squared resid0.001481Schwarz criterion-8.668830Log likelihood685.5594F-statistic4769.805Durbin-Watson stat1.925003Prob(F-statistic)0.000000Null Hypothesis: Unit root (individual unit root process)Date: 07/01/10 Time: 12:41Sample: 11/02/2009 6/08/2010Series: RSCH_SHDP, RSCH_SHXP, RSCH_SZDP, RSCH_SZXP,RSYH_SHDP, RSYH_SHXP, RSYH_SZDP, RSYH_SZXPExogenous variables: Individual effectsAutomatic selection of maximum lagsAutomatic selection of lags based on SIC: 0Total (balanced) observations: 1248Cross-sections included: 8MethodStatisticProb.*ADF - Fisher Chi-square709.0400.0000ADF - Choi Z-stat-25.66430.0000* Probabilities for Fisher tests are computed using an asympotic Chi-square distribution. All other tests assume asymptoticnormality.Intermediate ADF test results RSCH? RSYH?SeriesProb.LagMax LagObsRSCH_SHDP0.0000013156RSCH_SHXP0.0000013156RSCH_SZDP0.0000013156RSCH_SZXP0.0000013156RSYH_SHDP0.0000013156RSYH_SHXP0.0000013156RSYH_SZDP0.0000013156RSYH_SZXP0.0000013156Dependent Variable: RSYH?Method: Pooled Least SquaresDate: 07/01/10 Time: 12:48Sample: 11/02/2009 6/08/2010Included observations: 157Cross-sections included: 4Total pool (balanced) observations: 628VariableCoefficientStd. Errort-StatisticProb.C-0.0001570.000478-0.3285230.7426RSCH?0.9676530.02087746.349340.0000BZ?0.0016750.0006752.4822630.0133R-squared0.775133Mean dependent var-0.000360Adjusted R-squar