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1、Eviews 面板数据之固定效应模型在面板数据线性回归模型中,如果对于不同的截面或不同的时间序列,只是 模型的截距项是不同的,而模型的斜率系数是一样的,那么称此模型为固定效应 模型。固定效应模型分为三类:1. 个体固定效应模型 个体固定效应模型是对于不同的纵剖面时间序列个体只有截距项不同的 模型:y =九 +卩 x + uit i k kit it (1)k=2从时间和个体上看,面板数据回归模型的解释变量对被解释变量的边际影响 均是一样的,而且除模型的解释变量之外,影响被解释变量的其他所有未包括 在回归模型或不可观测的确定性变量的效应只是随个体变化而不随时间变化 时。检验:采用无约束模型和有约
2、束模型的回归残差平方和之比构造 F 统计量, 以检验设定个体固定效应模型的合理性。F模型的零假设:H :九二九 二九 二二九 二00 123N-1(RRSS - URSS)F = URSSN1 F (N -1, N (T -1) - K +1)/(NT - N - K +1)RRSS是有约束模型即混合数据回归模型的残差平方和,URSS是无约束 模型ANCOVA估计的残差平方和或者LSDV估计的残差平方和。实践:一、数据:19962002 年中国东北、华北、华东 15 个省级地区的居民家庭 人均消费 cp ,不变价格和人均收入 ip ,不变价格居民,利用数据1建立面板数据panel data工作
3、文件;2定义序列名并输入数据;3估计选择面板模型;4面板单位根检验。年人均消费consume和人均收入ine数据以及消费者价格指数 p 分别见表1,2和3 。表1 19962002年中国东北、华北、华东15个省级地区的居民家庭人均消费元数据人均消费1996199719981999200020012002CONSUMEAH3607.433693.553777.413901.814232.984517.654736.52CONSUMEBJ5729.526531.816970.837498.488493.498922.7210284.6CONSUMEFJ4248.474935.955181.4552
4、66.695638.746015.116631.68CONSUMEHB3424.354003.713834.434026.34348.474479.755069.28CONSUMEHLJ3110.923213.423303.153481.743824.444192.364462.08CONSUMEJL3037.323408.033449.743661.684020.874337.224973.88CONSUMEJS4057.54533.574889.435010.915323.185532.746042.6CONSUMEJX2942.113199.613266.813482.333623.56
5、3894.514549.32CONSUMELN3493.023719.913890.743989.934356.064654.425342.64CONSUMENMG2767.843032.33105.743468.993927.754195.624859.88CONSUMESD3770.994040.634143.964515.0550225252.415596.32CONSUMESH6763.126819.946866.418247.698868.199336.110464CONSUMESX3035.593228.713267.73492.983941.874123.014710.96CON
6、SUMETJ4679.615204.155471.015851.536121.046987.227191.96CONSUMEZJ5764.276170.146217.936521.547020.227952.398713.08表2 19962002年中国东北、华北、华东15个省级地区的居民家庭人均收入元数据人均收入1996199719981999200020012002INEAH4512.774599.274770.475064.65293.555668.86032.4INEBJ7332.017813.168471.989182.7610349.6911577.7812463.92INEFJ5
7、172.936143.646485.636859.817432.268313.089189.36INEHB4442.814958.675084.645365.035661.165984.826679.68INEHLJ3768.314090.724268.54595.144912.885425.876100.56INEJL3805.534190.584206.644480.0148105340.466260.16INEJS5185.795765.26017.856538.26800.237375.18177.64INEJX3780.24071.324251.424720.585103.58550
8、6.026335.64INELN4207.234518.14617.244898.615357.795797.016524.52INENMG3431.813944.674353.024770.535129.055535.896051INESD4890.285190.795380.085808.966489.977101.087614.36INESH8178.488438.898773.110931.6411718.0112883.4613249.8INESX3702.693989.924098.734342.614724.115391.056234.36INETJ5967.716608.397
9、110.547649.838140.58958.79337.56INEZJ6955.797358.727836.768427.959279.1610464.6711715.6表3 19962002年中国东北、华北、华东15个省级地区的消费者物价指数物价指数1996199719981999200020012002PAH109.9101.310097.8100.7100.599PBJ111.6105.3102.4100.6103.5103.198.2PFJ105.9101.799.799.1102.198.799.5PHB107.1103.598.498.199.7100.599PHLJ107.1
10、104.4100.496.898.3100.899.3PJL107.2103.799.29898.6101.399.5PJS109.3101.799.498.7100.1100.899.2PJX108.410210198.6100.399.5100.1PLN107.9103.199.398.699.910098.9PNMG107.6104.599.399.8101.3100.6100.2PSD109.6102.899.499.3100.2101.899.3PSH109.2102.8100101.5102.5100100.5PSX107.9103.198.699.6103.999.898.4PT
11、J109103.199.598.999.6101.299.6PZJ107.9102.899.798.810199.899.1二、1.输入操作:步骤:1FileNewWorkfile0FileEdit Object ViewPro-匚 Quick OptionsAdd-ins WindowHelpflewWorLcfile.匚 trl + N.0_p enDatabase.Ctrl+5frog ramSave As.Tert FileClose| Irriport卜步骤:2Start dateEnd date K步骤:3ObjectNew Object步骤:4Type of objectPool
12、步骤:5输入所有序列名称E Pool: POOLMODEL Workfile: UNTITLIED:Untitled - n View!Proc Object Print Name Freeze Estimate D-efine PooLGenr Sheet Cross Sec tidn. Identifi erz:tinier identi Ei ers below thi s line)AHBJFJHBHLJJLJ-SJXL忖NMGSDSHsxTJZJ步骤:6定义各变量点击shee输入consume? ine? p?回 Pool; POOLMODEL Workfile; UNTITLED;:Untitled -已 sc步骤:7将表1、2、3中的数据复制到Eviews中2.估计操作:obsCONSUME?INCOME?P?obsCONSUME?INCOME?P?AH-199E3607.430451Z77D109.9000AH-19973693.5504599.27D101.3000AH-19983777.410477(1.470100.0000AH-iggg3901.8105064.60097.80000AH-20004232.9805291550100.7000AH-20014517.6505663.800100.5000AH-2002