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1、1、F 检验，可以检验到底是 pooled ols 还是 fixed model2、xttest0 是检验到底是 pooled ols 还是 random model3、hausman 是检验到底是 fixed model 还是 random model，其 H0：是不可观测效应与 X 是不相关的，应采用 random effect 模型估计；H1：不可观测效应与 X 是相关的，应采用 fixed effect 模型估计-以下是引用 YUZCP 在 2007-2-6 22:16:00 的发言：如果根据 HAUSMAN 检验选择模型不符合经济涵义呢？这时应该根据经济涵义来选择模型吗？谢谢斑竹能够
2、回答。如果这个显著性水平往往是人为定的，如果正好是 5%左右，而两个模型都有经济含义，只是回归系数大小略有不同，应该如果选择模型呢？在加入一个解释变量后，一个模型的解释力即 R2明显上升了，而这个模型又不是符合 LM 和 HAUSMAN 检验的 ，这时应该根据哪个标准来选择？是否符合经济含义，不是统计检验决定的。在你建立模型以前，就应该确定那些变量是应该放入的。那和检验无关。-xtreg lnjishu lnjingfei jiaoyi,feFixed-effects (within) regression Number of obs = 23Group variable (i): diqu
3、Number of groups = 12R-sq: within = 0.6373 Obs per group: min = 1 between = 0.9329 avg = 1.9 overall = 0.8944 max = 2 F(2,9) = 7.91corr(u_i, Xb) = 0.3553 Prob F = 0.0104- lnjishu | Coef. Std. Err. t P|t| 95% Conf. Interval-+- lnjingfei | .6619254 .1903613 3.48 0.007 .2312982 1.092553 jiaoyi | .89972
4、6 .6327677 1.42 0.189 -.5316939 2.331146 _cons | -.2279501 .9540045 -0.24 0.817 -2.386058 1.930158-+- sigma_u | .46090868 sigma_e | .447694 rho | .51454089 (fraction of variance due to u_i)-F test that all u_i=0: F(11, 9) = 0.96 Prob F = 0.5313. xtreg lnjishu lnjingfei jiaoyi,reRandom-effects GLS re
5、gression Number of obs = 23Group variable (i): diqu Number of groups = 12R-sq: within = 0.6222 Obs per group: min = 1 between = 0.9643 avg = 1.9 overall = 0.9134 max = 2Random effects u_i Gaussian Wald chi2(2) = 210.94corr(u_i, X) = 0 (assumed) Prob chi2 = 0.0000- lnjishu | Coef. Std. Err. z P|z| 95
6、% Conf. Interval-+- lnjingfei | .9236558 .1024741 9.01 0.000 .7228101 1.124501 jiaoyi | .6860679 .1667696 4.11 0.000 .3592055 1.01293 _cons | -1.373571 .4579633 -3.00 0.003 -2.271162 -.4759794-+- sigma_u | 0 sigma_e | .447694 rho | 0 (fraction of variance due to u_i)-. . xttest0Breusch and Pagan Lag
7、rangian multiplier test for random effects: lnjishudiqu,t = Xb + udiqu + ediqu,t Estimated results: | Var sd = sqrt(Var) -+- lnjishu | 2.061713 1.435867 e | .2004299 .447694 u | 0 0 Test: Var(u) = 0 chi2(1) = 0.47 Prob chi2 = 0.4918. xthausmanEstimate of sigma_u = 0, random-effects estimator has deg
8、enerated to pooledOLS and the Wald test from xthausman may not be appropriate. See R hausmanfor a more general implementation of the Hausman test.r(459);这种情况下应该选择FE？如果选择 FE，那么回归系数不符合偶的经济学涵义。谢谢。-xthaus 拒绝执行 hausman test 当矩阵没有正定解(positive definite), 因此 STATA 推荐常用的 hausman 命令。-stata8 以后 hausman 检验是用 ha
9、usman 命令xtreg y x, feest store fixedxtreg y x,reest store randomhausman fixed-xtreg lnchanzhi lnziben lnrenshu jiaoyi,feFixed-effects (within) regression Number of obs = 38Group variable (i): diqu Number of groups = 19R-sq: within = 0.9315 Obs per group: min = 2 between = 0.9600 avg = 2.0 overall = 0.9530
