当设置Period的Effects Specification 为None,Cross-section为Random时 做Correlated Random Effects-Hausam tests 可得P=0<0.5 所以就拒绝Cross-section random
具体检验过程如下所示:
Correlated Random Effects - Hausman Test Equation: Untitled
Test cross-section random effects
Test Summary Cross-section random
Variable SUN TEMP RAIN SEED LABOR
Dependent Variable: OUTPUT Method: Panel Least Squares Date: 01/02/12 Time: 18:22 Sample: 2003 2009 Periods included: 7 Cross-sections included: 31
Total panel (balanced) observations: 217
Variable C SUN TEMP RAIN SEED LABOR
Coefficient 1493.784 0.085407 2.580547 0.010962 0.439032 -1.660357
Std. Error 277.5476 0.033183 13.74200 0.032484 0.026036 0.121743
t-Statistic 5.382083 2.573832 0.187785 0.337450 16.86263 -13.63817
Fixed 0.085407 2.580547 0.010962 0.439032 -1.660357
Chi-Sq. Statistic 123.137431
Random 0.039828 38.310651 0.022599 0.551235 -0.636000
Chi-Sq. d.f.
Var(Diff.) 0.000052 104.135597 0.000044 0.000327 0.009351
5
Prob. 0.0000 Prob. 0.0000 0.0005 0.0795 0.0000 0.0000 Prob. 0.0000 0.0109 0.8513 0.7362 0.0000 0.0000
Cross-section random effects test comparisons:
Cross-section random effects test equation:
Effects Specification
Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic)
0.994413 Mean dependent var 0.993333 S.D. dependent var 101.7104 Akaike info criterion 1872447. Schwarz criterion -1291.230 Hannan-Quinn criter. 920.4879 Durbin-Watson stat 0.000000
1586.542 1245.656 12.23253 12.79325 12.45904 1.902462
因而可以假定Period的Effects Specification 为Fix ,Cross-section为Fix,从而做回归。
②通过eviews的hausman检验,可得出Cross-section与Period都拒绝random,则可假定Cross-section与Period都为fixed。若这样假定,可得到回归的结果如下:
c(1) c(2) c(3) c(4) c(5) c(6) 系数 0.71 9.89 0.44 -1.66 T值 2.08 0.63 16.3 -11.21 1433.706 4.86 -0.00048 -0.01 并且可得:R^2=0.99 F=798.66 由此可得Output=1433.706+0.71*sun+9.89*temp-0.00048*rain+0.44*seed -1.66*labor
根据此次的回归结果,首先可以知道各个系数及其符号所表示的情况,(1)1433.706说明当其他影响因素都为0 时,粮食产量为1433.706万吨,这表示当这几个解释变量都为0时依然有粮食产量1433.706万吨,这种情况可能是由于自然界中一些野生顽强的粮食作物品种导致的;(2)光照小时数、气温、播种面积都对粮食产量具有正面的影响效果,其中以播种面积对于粮食产量的正面影响最大;(3)降雨量以及劳动力对粮食产量存在负面影响。
其次,我们可以看到(1)R-squared=0.99,说明此模型的拟合程度较好,各个解释变量可以较好地解释被解释变量;(2)F-statistic=798.66,说明整个方程是显著的。(3)c(1)、c(2)、c(5)、c(6)各系数对应的t值可知,sun、seed和labor这几个变量对于粮食产量output的影响都是显著的;而由c(3)、c(4)对应的t值可知,temp和rain对于粮食产量output的影响是不显著的。
具体水平回归模型如下:
Dependent Variable: OUTPUT Method: Panel Least Squares Date: 01/02/12 Time: 18:25 Sample: 2003 2009 Periods included: 7 Cross-sections included: 31
Total panel (balanced) observations: 217
Variable C SUN TEMP RAIN SEED LABOR
Coefficient 1433.706 0.071013 9.892028 -0.000481 0.437261 -1.661748
Std. Error 294.7470 0.034100 15.62226 0.033520 0.026823 0.148260
t-Statistic 4.864192 2.082508 0.633201 -0.014354 16.30148 -11.20833
Prob. 0.0000 0.0388 0.5274 0.9886 0.0000 0.0000 1586.542 1245.656 12.23815 12.89232 12.50240 1.817543
Effects Specification
Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic)
0.994684 Mean dependent var 0.993439 S.D. dependent var 100.9012 Akaike info criterion 1781682. Schwarz criterion -1285.839 Hannan-Quinn criter. 798.6550 Durbin-Watson stat 0.000000
2、对于上述的各变量,建立如下针对参数而言的对数回归模型:
Output=c(1)+c(2)*log(sun)+c(3)*temp +c(4)*rain +c(5)*log(seed)+c(6)*labor +u①hausman检验
当设置Period的Effects Specification 为Random ,Cross-section为None时 做Correlated Random Effects-Hausam tests 可得P=0.049<0.5 所以就拒绝Period random 具体检验如下:
Correlated Random Effects - Hausman Test Equation: EQ04
Test period random effects
Test Summary Period random
Chi-Sq. Statistic 11.112193
Chi-Sq. d.f.
5
Prob. 0.0492
Random
Var(Diff.)
Prob.
** WARNING: estimated period random effects variance is zero.
Variable
Fixed
Period random effects test comparisons:
LOG(SUN) TEMP RAIN LOG(SEED) LABOR
394.617271 -58.365088 0.308959 441.662414 0.965608
411.005605 -55.239832 0.303206 460.079764 0.930991
280.812175 4.602988 0.000426 35.320171 0.000121
0.3281 0.1452 0.7805 0.0019 0.0017 Prob. 0.0004 0.0188 0.0000 0.0139 0.0000 0.0000 1586.542 1245.656 15.56569 15.75260 15.64119 0.107467
Period random effects test equation: Dependent Variable: OUTPUT Method: Panel Least Squares Date: 01/02/12 Time: 18:33 Sample: 2003 2009 Periods included: 7 Cross-sections included: 31
Total panel (balanced) observations: 217
Variable C LOG(SUN) TEMP RAIN LOG(SEED) LABOR
Coefficient -5121.095 394.6173 -58.36509 0.308959 441.6624 0.965608
Std. Error 1424.638 166.5911 12.73754 0.124497 52.61723 0.091706
t-Statistic -3.594665 2.368778 -4.582133 2.481665 8.393874 10.52937
Effects Specification
Period fixed (dummy variables) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic)
0.804658 Mean dependent var 0.794176 S.D. dependent var 565.1270 Akaike info criterion 65470540 Schwarz criterion -1676.877 Hannan-Quinn criter. 76.76738 Durbin-Watson stat 0.000000
当设置Period的Effects Specification 为None,Cross-section为Random时 做Correlated Random Effects-Hausam tests 可得P=0<0.5 所以就拒绝Cross-section random 具体检验如下:
Correlated Random Effects - Hausman Test Equation: EQ04
Test cross-section random effects
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