回归结果小盘股投资策略

1、Correlated Random Effects - Hausman TestPool: Un titledTest cross -section random effectsTest SummaryChi -Sq.StatisticChi -Sq. d.f.Prob.Cross -section random0.10847310.7419* Warning: estimatedcross -sectionrandom effectsvarianee is zero.Cross -section randomeffects test comparisons:VariableFixedRand

2、omVar(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 (balaneed) observations: 628Varia

3、bleCoefficie ntStd. 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 regression0.008458A

4、kaike 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:

5、157VariableCoefficie ntStd. 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 resid0.017546Sch

6、warz criterion-6.196907Log likelihood491.5134F-statistic333.1283Durbin -Watson stat1.783377Prob(F -statistic)0.000000Dependent Variable: RSYH_SHDPMethod: Least SquaresDate: 07/01/10Time: 14:40Sample: 11/02/2009 6/08/2010Included observations:157VariableCoefficie ntStd. Errort-StatisticProb.C-0.00044

7、80.000394-1.1375950.2570RSCH_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-statistic1

8、579.412Durbin -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: 157VariableCoefficie ntStd. Errort-StatisticProb.C0.0020060.0009152.1928540.0298RSCH_SZXP0.8337630.05207116.01198

9、0.0000R-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)0.0000

10、00R-squared0.968527Adjusted R-squared0.968324S.E. of regression0.003091Sum squared resid0.001481Log likelihood685.5594Durbin -Watson stat1.925003Mean dependent var-0.000955S.D. dependent var0.017369Akaike info criterion-8.707763Schwarz criterion-8.668830F-statistic4769.805Prob(F -statistic)0.000000D

11、ependent Variable: RSYH_SZDPMethod: Least SquaresDate: 07/01/10Time: 14:42Sample: 11/02/2009 6/08/2010Included observations:157VariableCoefficie ntStd. Errort-StatisticProb.C0.0002300.0002470.9304620.3536RSCH_SZDP0.9722850.01407869.063770.0000Null Hypothesis: Un it root (in dividual un it root proce

12、ss)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_SZXPExoge nous variables: In dividual effectsAutomatic selection of maximum lagsAutomatic selection of lags based on SIC: 0Total (balaneed) observat

13、ions: 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 asymptotic n ormality.In termediate ADF test results RSCH? RSYH?

14、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 (balaneed) observations:628VariableCoefficie ntStd. 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-square