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回归结果小盘股投资策略
Correlated Random Effects - Hausman Test Pool: Untitled Test cross-section random effects Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob.? Cross-section random 0.108473 1 0.7419 ** Warning: estimated cross-section random effects variance is zero. Cross-section random effects test comparisons: Variable Fixed?? Random? Var(Diff.)? Prob.? RSCH? 0.967936 0.967653 0.000001 0.7419 Cross-section random effects test equation: Dependent Variable: RSYH? Method: Panel Least Squares Date: 07/04/10 Time: 12:17 Sample: 11/02/2009 6/08/2010 Included observations: 157 Cross-sections included: 4 Total pool (balanced) observations: 628 Variable Coefficient Std. Error t-Statistic Prob.?? C 0.000681 0.000338 2.012784 0.0446 RSCH? 0.967936 0.020887 46.34245 0.0000 BZ? NA NA NA NA Effects Specification Cross-section fixed (dummy variables) R-squared 0.776033 ????Mean dependent var -0.000360 Adjusted R-squared 0.774233 ????S.D. dependent var 0.017801 S.E. of regression 0.008458 ????Akaike info criterion -6.697859 Sum squared resid 0.044498 ????Schwarz criterion -6.655414 Log likelihood 2109.128 ????F-statistic 431.0387 Durbin-Watson stat 1.781260 ????Prob(F-statistic) 0.000000
Dependent Variable: RSYH_SHXP Method: Least Squares Date: 07/01/10 Time: 14:39 Sample: 11/02/2009 6/08/2010 Included observations: 157 Variable Coefficient Std. Error t-Statistic Prob.?? C 0.000950 0.000851 1.116543 0.2659 RSCH_SHXP 1.056604 0.057890 18.25180 0.0000 R-squared 0.682461 ????Mean dependent var -3.57E-05 Adjusted R-squared 0.680412 ????S.D. dependent var 0.018820 S.E. of regression 0.010639 ????Akaike info criterion -6.235840 Sum squared resid 0.017546 ????Schwarz criterion -6.196907 Log likeliho
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