格林 面板数据讲义-5.pptVIP

* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * Application: Cornwell-Rupert Testing for Effects ? Obtain OLS residuals Regress; lhs=lwage;rhs=fixedx,varyingx;res=e$ ? Vector of group sums of residuals Matrix ; tebar=7*gxbr(e,person)$ ? Direct computation of LM statistic Calc ; list;lm=595*7/(2*(7-1))* (tebartebar/sumsqdev - 1)^2$ ? Wooldridge chi squared (N(0,1) squared) Create ; e2=e*e$ Matrix ; e2i=7*gxbr(e2,person)$ Matrix ; ri=dirp(tebar,tebar)-e2i$ Matrix ; sumri=ri1$ Calc ; list;z2=(sumri)^2/riri$ LM = .37970675705025540D+04 Z2 = .16533465085356830D+03 Two Way Random Effects Model One Way REM ++ | Random Effects Model: v(i,t) = e(i,t) + u(i) | | Estimates: Var[e] = .0668628 | | Var[u] = .0726096 | | Corr[v(i,t),v(i,s)] = .520602 | | Lagrange Multiplier Test vs. Model (3) = 3125.58 | | ( 1 df, prob value = .000000) | ++ +++++++ |Variable| Coefficient | Standard Error |b/St.Er.|P[|Z|z]| Mean of X| +++++++ WKS | 1.626 .1039 46.8115246 OCC | - -6.135 .0000 IND | 2.830 .0047 SOUTH | - -3.313 .0009 SMSA | 3.266 .0011 MS | - -.354 .7231 FEM | - -9.954 .0000 UNION | 4.130 .0000 ED | 10.731 .0000 12.8453782 BLK | - -2.908 .0036 Constant| 5 67.410 .0000 Two Way REM ++ | Random Effects Model: v(i,t) = e(i,t) + u(i) + w(t) | | Estimates: Var[e] = .0232838 (.0668628) | |