Eviews面板數(shù)據(jù)之固定效應(yīng)模型

1、Eviews面板數(shù)據(jù)之固定效應(yīng)模Eviews面板數(shù)據(jù)之固定效應(yīng)模型在面板數(shù)據(jù)線性回歸模型中，如果對(duì)于不同的截面或不同的時(shí)間序列，只是模型的截距項(xiàng)是不同的，而模型的斜率系數(shù)是相同的，則稱此模型為固定效應(yīng)模型。固定效應(yīng)模型分為三類：i個(gè)體固定效應(yīng)模型個(gè)體固定效應(yīng)模型是對(duì)于不同的縱剖面時(shí)間序列（個(gè)體）只有截距項(xiàng)不同 的模型：Kyitikxkit uit（1）k 2從時(shí)間和個(gè)體上看，面板數(shù)據(jù)回歸模型的解釋變量對(duì)被解釋變量的邊際影 響均是相同的，而且除模型的解釋變量之外，影響被解釋變量的其他所有（未 包括在回歸模型或不可觀測(cè)的）確定性變量的效應(yīng)只是隨個(gè)體變化而不隨時(shí)間 變化時(shí)。檢驗(yàn)：采用無約束模型和有約

2、束模型的回歸殘差平方和之比構(gòu)造F統(tǒng)計(jì)量，以檢驗(yàn)設(shè)定個(gè)體固定效應(yīng)模型的合理性。F模型的零假設(shè)：H 0 ：123N 10（RRSS URSS）.F URSS Nf（n 1，N（T 1） k 1）/（NT N K 1）RRSS是有約束模型（即混合數(shù)據(jù)回歸模型）的殘差平方和，URSS是無約束模型ANCOVA估計(jì)的殘差平方和或者 LSDV估計(jì)的殘差平方和。實(shí)踐：一、數(shù)據(jù)：已知19962002年中國東北、華北、華東15個(gè)省級(jí)地區(qū)的居 民家庭人均消費(fèi)（cp，不變價(jià)格）和人均收入（ip，不變價(jià)格）居民，利用數(shù) 據(jù)（1）建立面板數(shù)據(jù)（panel data）工作文件；（2）定義序列名并輸入數(shù)據(jù)；（3） 估計(jì)選擇面

3、板模型；（4）面板單位根檢驗(yàn)。年人均消費(fèi)（consume）和人均收入（income）數(shù)據(jù)以及消費(fèi)者價(jià)格指數(shù)（p）分別見表1，2和3。表1 1996 2002年中國東北、華北、華東 15個(gè)省級(jí)地區(qū)的居民家庭人均消費(fèi)（元）數(shù)據(jù)人均消費(fèi)1996199719981999200020012002CONSUMEAH3607.433693.553777.413901.814232.984517.654736.52CONSUMEBJ5729.526531.816970.837498.488493.498922.7210284.6CONSUMEFJ4248.474935.955181.455266.695638

4、.746015.116631.68CONSUMEHB3424.354003.713834.434026.34348.474479.755069.28CONSUMEHLJ3110.923213.423303.153481.743824.444192.364462.08CONSUMEJL3037.323408.033449.743661.684020.874337.224973.88CONSUMEJS4057.54533.574889.435010.915323.185532.746042.6CONSUMEJX2942.113199.613266.813482.333623.563894.5145

5、49.32CONSUMELN3493.023719.913890.743989.934356.064654.425342.64CONSUMENMG2767.843032.33105.743468.993927.754195.624859.88CONSUMESD3770.994040.634143.964515.0550225252.415596.32CONSUMESH6763.126819.946866.418247.698868.199336.110464CONSUMESX3035.593228.713267.73492.983941.874123.014710.96CONSUMETJ467

6、9.615204.155471.015851.536121.046987.227191.96CONSUMEZJ5764.276170.146217.936521.547020.227952.398713.08表2 1996 2002年中國東北、華北、華東 15個(gè)省級(jí)地區(qū)的居民家庭人均收入（元）數(shù)據(jù)人均收入1996199719981999200020012002INCOMEAH4512.774599.274770.475064.65293.555668.86032.4INCOMEBJ7332.017813.168471.989182.7610349.6911577.7812463.92INCOM

7、EFJ5172.936143.646485.636859.817432.268313.089189.36INCOMEHB4442.814958.675084.645365.035661.165984.826679.68INCOMEHLJ3768.314090.724268.54595.144912.885425.876100.56INCOMEJL3805.534190.584206.644480.0148105340.466260.16INCOMEJS5185.795765.26017.856538.26800.237375.18177.64INCOMEJX3780.24071.324251.

8、424720.585103.585506.026335.64INCOMELN4207.234518.14617.244898.615357.795797.016524.52INCOMENMG3431.813944.674353.024770.535129.055535.896051INCOMESD4890.285190.795380.085808.966489.977101.087614.36INCOMESH8178.488438.898773.110931.6411718.0112883.4613249.8INCOMESX3702.693989.924098.734342.614724.11

9、5391.056234.36INCOMETJ5967.716608.397110.547649.838140.58958.79337.56INCOMEZJ6955.797358.727836.768427.959279.1610464.6711715.6表3 1996 2002年中國東北、華北、華東 15個(gè)省級(jí)地區(qū)的消費(fèi)者物價(jià)指數(shù)物價(jià)指數(shù)1996199719981999200020012002PAH109.9101.310097.8100.7100.599PBJ111.6105.3102.4100.6103.5103.198.2PFJ105.9101.799.799.1102.198.799.

10、5PHB107.1103.598.498.199.7100.599PHLJ107.1104.4100.496.898.3100.899.3PJL107.2103.799.29898.6101.399.5PJS109.3101.799.498.7100.1100.899.2PJX108.410210198.6100.399.5100.1PLN107.9103.199.398.699.910098.9PNMG107.6104.599.399.8101.3100.6100.2PSD109.6102.899.499.3100.2101.899.3PSH109.2102.8100101.5102.510

11、0100.5PSX107.9103.198.699.6103.999.898.4PTJ109103.199.598.999.6101.299.6PZJ107.9102.899.798.810199.899.1二、1輸入操作：步驟：（1） FileNewWorkfileFileEdit Objec tVi* Proc Quick OptionsAdd-ins Windcv/ HelpHewW&rkfik-.,Ctri亠忖0；pen.Database.SaveCtrl*SProg ramSave As.h,led File_rlaseJmpert步驟：（2） Start dateEnd dateO

12、K步驟：（3） ObjectNew Object步驟:步驟:(4) Type of objectO Workfile：View Proc OBJRang*: 1996Cann pie 1006IS c 苛 r asid Lin titledPoolNew Objectof ctojertfhr rsbjectPoolEqLuatwanFactorGraphGroupLogLMatri34-V ecbor -CoefModelSample ScalarSerieBSeries Link series Alpha 5pwlSSpaceStririgSVettorSystemTable7e)rt V

13、lMdpVAR(5)輸入所有序列名稱poolmodelObject | F*rint Name FreezeView PracCEJ Pool; POOLMODEL Warkfile; UMTITLED:;UntitledEs廿mate Oefin& PoolGenr Sheet 】L丄LJLCross Sacticu Identi fi ars： 3ntr idanti i ers Ibelow thi lisn音j AHBJFJHBHLJLJSJXLMNMGSOSHsx步驟:(6) 定義各變量點(diǎn)擊 sheet輸入 con sume? in come ? p?E Pool: POOLMODE

14、L Workfile; ENTITLED:;Untitled一曰箕View Proc Object Print | Name Freeze Estimate jDtfine PoolGenr 5heet Cross Sefti IdsntiAMBJFJHBHUl_JSJXLNNMGSDSHSXTJZJ步驟:(7)將表1、2、3中的數(shù)據(jù)復(fù)制到Eviews中0tCONSUME?INCOME?P?CONSUME?INCOME?p? nAH-19563607.4304512 770109 9000 HAh19073693.5504599.270101.3000AH-19583777.410477047

15、0100 0000AH-19993001 9105064.B0097 eooooAH-2QC04232.9305293.5501007000AH-20C14517.6505560.8001Q0.5Q0QAH-20024736.5206032 400as.QoaoonB J-19965729 5207332.D10111.5000nBJ-19976531.3107813.160I05.3000n0J-19986970.8308471 980102.4000aj-19Q97498.4809182700100.6000 HBJ-2000849349010349 89103 50002.估計(jì)操作：Es

16、timate步驟：(1)點(diǎn)擊 poolmodel曹、丹 p 電 口切宅 PMtilL rMiiroic 產(chǎn)ilL.tilnu.ic Duh It Pt? 口 樂ti電業(yè)Ciir wta 豁時(shí) Li 瞽1 lr ta LL.JaiLlkl. 見丄豆clI n Jia lance1 SmplPct?i LailiTiL3tiri5 pen ficAiUonOip-ticini-sOepe 門dmlt ugrigbl亡 甲：口FidtlmliiOFx 自口ttla舸j I*.,Ml 斗*占 L- LkiiSaimpBc:19S6 ZOOZAH燈 rmHLJJLJSJXLN 麗石D HTJZT對(duì)話框說

17、明Depe ndent variable: 被解釋 變量； Comm on coefficients :系數(shù)相同部分Cross-secti on specific:截面系數(shù)不同部分步驟：（2）將截距項(xiàng)選擇區(qū)選Fixed effects （固定效應(yīng)）Cross-section: FixedPool EstimationSpeaficatioriOptionsDEEMndEnt訶rl甜色加consumt?Estimaiiort nietnad P(JJFixed and Rardcm EffectsPeriod:BalanceSampleRagKsora and ARQCcmmoin coeffl

18、cferrtE!c income?Crosi-ection specific coefficient?:Period spcdfc coefficients!V/eights: No weightsv-EstimobQn 呂匚tfngs Method! L - Least Squares (and AR)Seumpl?; 1?96 2002得到如下輸出結(jié)果:Dependent variable： CONSUME?Method Pooled Least SquaresDate： 07/16/14 Time： 11:06Sample: 1995 2002Included observations:

19、Cross-sections Inducted: 15Total pool c&alanced) obsedations： 105VariableCoefficientStd ErrorStatisticProbC50&504999645046 &392630.0000INCOME?0.&9S2320.01305049 545620.0000Fijced Effaas Cross)AH-C-5323597BJ-C592.4397FJ-C4176884HB-CHU-C-19Z03MJL-C0.49391 &JS-C-36JX-C-341.5000LN-CBS 76902MMG-C-230 J 3

20、40SD-C-140.3215SH-C327.10&0ex-c-95. maoTJ-C6143642ZJC230.1 S80匚他 cte SpeeificatjonCrcss-ection fixed ummy vsrisblesjR-squared0 992490M&an dependentvar4981.017AdjJSrt&d Rsquared0.99122SS D dependentvar1700.995S.E. of regr&ssiori159.3416Akaik info criterion1311944Sumi squared res id2250742Schwarr crit

21、erion13.523B5Log likelihood-S72L7706Hannan-Duinn critef.1328332Fatalistic784.1521Durbin-Watson stat1.624146ProbtF-statistic0.000000接下來用F統(tǒng)計(jì)量檢驗(yàn)是應(yīng)該建立混合回歸模型，還是個(gè)體固定效應(yīng)回歸 模型。H 0 :i。模型中不同個(gè)體的截距相同（真實(shí)模型為混合回歸模型）。Hi :模型中不同個(gè)體的截距項(xiàng) i不同（真實(shí)模型為個(gè)體固定效應(yīng)回歸模型）。對(duì)模型進(jìn)行檢驗(yàn):(RRSS URSS)( 4965275-2259743)F0.05( 14,90)=18023N 1 =/1

22、5-J =7 69URSS2259743/(NT N K 1)/90所以推翻原假設(shè)，建立個(gè)體固定效應(yīng)回歸模型更合理 RRSS求法請(qǐng)參見Eview面板數(shù)據(jù)之混合回歸模型相應(yīng)的表達(dá)式為:Con sumeit 596.50 0.691 ncomeit 53.23D1 592.44 D2 . 230.16D15(6.64)(49.55)2R 0.99, SSEr 2259743其中虛擬變量D1,D2,., D15的定義是：1,如果屬于第個(gè)個(gè)體,i 1,2,.,15 Di0,其他15個(gè)省級(jí)地區(qū)的城鎮(zhèn)人均指出平均占收入68.62%。從上面的結(jié)果可以看出北京市居民的自發(fā)性消費(fèi)明顯高于其他地區(qū)。2.時(shí)點(diǎn)固定效

23、應(yīng)模型時(shí)點(diǎn)固定效應(yīng)模型就是對(duì)于不同的截面（時(shí)點(diǎn)）有不同截距的模型。如果 確知對(duì)于不同的截面，模型的截距顯著不同，但是對(duì)于不同的時(shí)間序列（個(gè)體） 截距是相同的，那么應(yīng)該建立時(shí)點(diǎn)固定效應(yīng)模型：yitkXkit uitk 2時(shí)點(diǎn)固定效應(yīng)模型與個(gè)體固定效應(yīng)模型的操作區(qū)別在于步驟（2）,將時(shí)間項(xiàng)選Fixed （時(shí)間固疋效應(yīng)）c inr&me1h.CIEX3 and nu-imraComimon coetfiuen擇區(qū)選Period :Cfcw sedaort specific r&efMe嚴(yán)PftinodFFixedV-agitg: No wr-gbnMethod IS LtBM Sqeres (end

24、 AR)20&2一務(wù) IdME triple得到如下結(jié)果:Depwdentama&ie： CONSUL MMhod: Pooled Lit Squam Date 酊尼啊4 Tim6：11：OT Sample- 19% P0Q2In udedotasRallcnsi?Cross-secftcxis audedr 15TMsi ipooi (bilancM) ofeservalonE. 105Variable二口國諱匚entSid Errori-SialiElicProb.C2.6302256B SG1A2如 Cl期蜒2J 9t9INCOME?0.71 DOOSO.CJ102W 75 90S95o

25、.oooa ypFFprr (Ftrn-139C114.0250133/-CU7.bWi93B-C5193619T9&9-G38 54127MttO-C-9 0450032001-C-160 D26420UAC97.749091TQC15 SPiDCStOnpgi cd HAfiflldUTim * 心 p 瞰 R-&qUirrd0.9BB439Van dpndnl 丫車4U101Tat usicR-;qujr?a呻比05-0 4BDnaeiitar1700 SB5SE cfregrEssian2IM 10S7M aiks iiriFa Eiilerian13 55SCI9Suji MUdi=

26、 Jreid40SOM9.Schwarz EflltflOin13I7B030LqcjIa 創(chuàng) MM)-703?99?Fqrman-Qihnntntfri13.64003Flalilk1007 948urun-walton stat0.78 ecesPTflEiT-iahicO.WPUQ接下來用F統(tǒng)計(jì)量檢驗(yàn)是應(yīng)該建立混合回歸模型，還是個(gè)體固定效應(yīng)回歸 模型。Ho : i。模型中不同個(gè)體的截距相同（真實(shí)模型為混合回歸模型）Hi :模型中不同個(gè)體的截距項(xiàng) t不同（真實(shí)模型為時(shí)間固定效應(yīng)回歸模型）對(duì)模型進(jìn)行檢驗(yàn):(RRSS URSS)(4965275-4080749 )F.05(6,98 )=219

27、T_L =71 =3 54URSS4080749/(NT T K 1)/98所以推翻原假設(shè)，可以建立時(shí)點(diǎn)固定效應(yīng)回歸模型RRSS求法請(qǐng)參見Eview面板數(shù)據(jù)之混合回歸模型 相應(yīng)的表達(dá)式為：Consumet2.6 0.78IP, 1140 137.5 D2 . 97.7 D7（76.0）R2 0.986, SSE 4080749其中虛擬變量D1,D2,., D7的定義是：D1,如果屬于第t個(gè)截面，t=1996,.,2002t 0,其他3.時(shí)點(diǎn)個(gè)體固定效應(yīng)模型時(shí)點(diǎn)個(gè)體固定效應(yīng)模型就是對(duì)于不同的截面（時(shí)點(diǎn)）、不同的時(shí)間序列（個(gè) 體）都有不同截距模型。如果確知對(duì)于不同的截面、不同的時(shí)間序列（個(gè)體） 模

28、型的截距都顯著地不相同，那么應(yīng)該建立時(shí)點(diǎn)個(gè)體固定效應(yīng)模型：Kyitt tkit uit（3）k 2時(shí)點(diǎn)固定效應(yīng)模型與個(gè)體固定效應(yīng)模型的操作區(qū)別在于步驟（2），將截距項(xiàng)選擇區(qū)域：Cross-section: fixed （個(gè)體固定效應(yīng)），時(shí)間項(xiàng)選擇區(qū)選 Period : Fixed（時(shí)間固定效應(yīng)）Pool EstimationSptci licatiarOptionsconsume?P.egre5Gor5 and AR.Q bgm些 訃 |、Common coefficients；c income?fixed and Random Effe-cttPeriod:Cross-section:Wei

29、ghts: Nu iveiyliliCross-seciion specific coefficiefits:ttmatiDHi EetliFfegs 忖母得到結(jié)果如下：Dependent Variable: CONSUME?Method: Pooled Least SquaresDate: 07/21/14 Time: 15:44Sample: 1996 2002Included observations: 7Cross-sections included: 15Total pool (balanced) observations: 105VariableCoefficientStd. Errort-StatisticProb.C806.6751221.214