1、Estimation with STATA Arlion notes series No 8 Chp8 Panel Data B X A Panel H 3 y 7 b 7 h V L m 7 h V c y B s K b V O Y z 7 h 9 B T 1 b b 8 1 e 8 2 B 8 2 1 r Fixed Effect Model 8 2 2 r Random Effect Model 8 3 1 M 1 8 4 Panel Data 8 5 j Panel Data 8 6 d Panel Data x 8 7 Panel VAR 8 8 Stata8 0 L C Pane
2、l Data P STATA8 0 q L C 9 b X 4 Panel Data i T company year invest mvalue 1 1951 755 9 4833 0 1 1952 891 2 4924 9 1 1953 1304 4 6241 7 1 1954 1486 7 5593 6 2 1951 588 2 2289 5 2 1952 645 5 2159 4 2 1953 641 0 2031 3 2 1954 459 3 2115 5 3 1951 135 2 1819 4 3 1952 157 3 2079 7 3 1953 179 5 2371 6 3 19
3、54 189 6 2759 9 null null null null M company year s Y M H W M b A Y V M V d b panel data i T b y N P STATA8 0 9 1 Y v 6 arlion Estimation with STATA Arlion notes series No 8 A M H W M s Y I 7 tsset 1 7 T tsset panelvar timevar 1 Panel Data t k m u s r r obtained from xtreg B inconsistent under Ha e
4、fficient under Ho obtained from xtreg Test Ho difference in coefficients not systematic chi2 2 b B V b V B 1 b B 8 6 n Greene 4 th chp14 pp576 b Y v 6 arlion Estimation with STATA Arlion notes series No 8 2366 62 Prob chi2 0 0000 T V L V 7 r a b Breusch Pagan 1980 5 OLS 9 LM d 9 L r 7 0 H 2 0 u 1 H
5、2 0 u T L 5 V i r b d 9 i I n u i d M M 1 y N 9 T V B I b STATA V r 9 N b 7 xtreg mvalue invest kstock re xttest0 7 T Breusch and Pagan Lagrangian multiplier test for random effects mvalue company t Xb u company e company t Estimated results Var sd sqrt Var mvalue 1727831 1314 47 e 72217 58 268 7333
6、 u 298685 7 546 5214 Test Var u 0 chi2 1 772 32 Prob chi2 0 0000 A T i r b V A B P Hausman T M r r b i y N i V 1 b K i r V L P 1 M 8 r F d M W M 1 y N GLS 9 B b Z E B 4 r 6 B FGLS 9 4 xtgls 7 b Y L 4 r r 5 9 b y 9 7 n Greene 4 th chp14 pp572 b Y v 6 arlion Estimation with STATA Arlion notes series N
7、o 8 f Hausman T L P r 9 7 b A T r r 9 T H M 3 T s b S E 9 y L u Y 9 T V 1 b 10 Y v 6 arlion Estimation with STATA Arlion notes series No 8 c A c L STATA chp8 panel do chp8 panel data to reader 8 P H F V 1 i use D stata8 ado Examples XTFiles grunfeld dta clear A1 tsset company year declare Panel vari
8、able and Time variable gen Lag invest L invest order company year invest Lag invest V 7 3 g M A U A2 xtdes To describe the pattern of Panel Data xtsum To calculate the describative statistics xttab invest A3 xtreg mvalue invest kstock fe to estimate fixed effect model xtreg mvalue invest kstock re t
9、o estimate random effect model xtgls mvalue invest kstock panels he to estimate the model with Heteroskedastic variance with GLS A4 Test fixed effect step1 estimate Pooled model and store R2 reg mvalue invest kstock ereturn list to reader please see the results after this command local R2 r e r2 loc
10、al K e df m step2 estimate Fixed effect model and store R2 xtreg mvalue invest kstock fe local R2 u 1 e rss e tss local nT e N local n e N g step3 calculate the F statistics and P value local F1 R2 u R2 r n 1 local F2 1 R2 u nT n K local F F1 F2 local p 1 F n 1 nT n K F 11 Y v 6 arlion Estimation wi
11、th STATA Arlion notes series No 8 delimit dis in ye The F test for all u i 0 is 8 2f F n in ye The P value is 6 4f p delimit cr A5 Hausman step1 estimate fixed effect model and store the results xtreg mvalue invest kstock fe est store fe step2 estimate random effect model and store the results xtreg mvalue invest kstock re est store re hausman fe A6 Testing for random effect using B P test xtreg mvalue invest kstock re xttest0 12 Y v 6 arlion
