W07_lecture07_面板数据 北大 光华 计量.pptx

第七章：面板数据及模型;Outline;;;;;;;9;10;11;12;数据 系数估计及显著性 不存在固定效应的检验，即所有的ui同时为0 拟合优度：事实上Panel模型中有三个R2的定义 Overall R2 Between effect R2 Within effect R2 SAS报告的是within effect的R2, Stata会分别报告它们 下面分别介绍它们的定义。;14;15;16;17;18;RE模型满足前四条假设，可以用OLS估计，但有误差系列相关的问题： 我们可以用前面讲的“对误差系列相关的GLS”来估计模型（2） ;20;21;22;23;24;Which model to use in practice? Economic intuition Statistical test, from general to restricted First, is it fixed effect or random effect? Hausman test, H0: random effect 假如拒绝H0，用固定效应，stop。Otherwise, Second, is it random effect or pooled cross-sectonal? Breusch-Pagan test, H0: pooled cross-sectional Even OLS, in recent years people often adjust the possible error correlation problem using correlation robust variance estimator;Which model to use in practice? It is important to recognize that the fixed effects estimator relies only on the time-series variation in Y and X within a given company If the extent of time-series variation is small, In this case, the fixed effects estimator is not reliable because there is insufficient variation in either the dependent or treatment variable. This point was made by Zhou (JFE, 2001) who criticized the use of fixed effects models when the treatment variable is management ownership.