Econometric analysis Linear Models for Panel Data参考.ppt

* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * Computing the Hausman Statistic β does not contain the constant term in the preceding. Hausman Test ++ | Random Effects Model: v(i,t) = e(i,t) + u(i) | | Estimates: Var[e] = .235236D-01 | | Var[u] = .133156D+00 | | Corr[v(i,t),v(i,s)] = .849862 | | Lagrange Multiplier Test vs. Model (3) = 4061.11 | | ( 1 df, prob value = .000000) | | (High values of LM favor FEM/REM over CR model.) | | Fixed vs. Random Effects (Hausman) = 2632.34 | | ( 4 df, prob value = .000000) | | (High (low) values of H favor FEM (REM).) | ++ Wu (Variable Addition) Test Under the FE assumptions, the common effect is correlated with the group means. Add the group means to the RE model. If statistically significant, this suggests that the RE model is inappropriate. Mundlak (Augmented) Regression +++++++ |Variable| Coefficient | Standard Error |b/St.Er.|P[|Z|z]| Mean of X| +++++++ |EXPBAR | -.08769*** -54.099 .0000 19.853782| |OCCBAR | -.14806*** -4.086 .0000 .5111645| |SMSABAR | .21707*** 6.763 .0000 .6537815| |MSBAR | .14855*** 2.920 .0035 .8144058| |UNYNBAR | .07831** 2.404 .0162 .3639856| |WKSBAR | .00857** 2.367 .0179 46.811525| |INDBAR | .03998 1.348 .1777 .3954382| |SOUTHBAR| -.05487 -1.278 .2012 .2902761| |EXP | .11448*** 50.684 .0000 19.853782| |EXPSQ | -.00045*** .483957D-04 -9.304 .0000 514.40504| |OCC | -.02122 -1.537 .1243 .5111645| |SMSA | -.04237** -2.178 .0294