課程金融計(jì)量學(xué)lecture面板數(shù)據(jù)

Introduction:dataysiswithpooledcrossDifference-in-difference FixedeffectRandomeffectIntroduction:dataSomedatasetshavebothcross-sectionalandtimeseriesfeatures.Forexample,supposethattwocross-sectionalhouseholdsurveysaretakenintheUnitedStates,onein1985andonein1990.這樣的數(shù)據(jù)結(jié)構(gòu)叫做混同橫截面數(shù)據(jù)（pooledcross- ysiswithpooledcross ）資本市場(chǎng)的信心”(Congressreport,2002).為了改變這一局面，國(guó)會(huì)和加速通過(guò)了《法案》（SOX法案）,該法案的另一個(gè)名稱(chēng)是“公眾公司會(huì)計(jì)與投資者保案”。法案的第一句話(huà)就是“遵守法律以提高公 開(kāi) 5 ysiswithpooledcross 這是一個(gè)pooledcrosssections數(shù)據(jù)，可以用帶dummy6我們看一 1978rumor、1985我們估 7 老房子。這樣81 2Difference-in-difference 前面房?jī)r(jià)問(wèn)題中，控制了房子特征，即使這些特征在四組樣本之間分布差不多，但考 9DID（naturalexperimentorquasi-Anaturalexperimentoccurswhensomeexogenousevent—oftenachange —changestheenvironmentinwhichindividuals,families,firms,orcitiesoperate. treatmentgroup”，不用藥的稱(chēng)作“control這 場(chǎng)附近的房子是“treatmentgroup”，其它的房子“control中 類(lèi)似 一定 政策評(píng)估過(guò)程中，最理想的是treatmentgroupcontrolgroup完全一樣。四注意，控制變量只能在一定程度上解決這個(gè)問(wèn)題（treatmentgroupgroup）大房子漲價(jià)，是指正好size的影響在兩組之間的size差別之處有突變，即有共線(xiàn)性問(wèn)題：非線(xiàn)性正好發(fā)生在因此，不管是這里的DID分析，還是前面的pooledcross-sectional回歸（交叉dummyAnaturalexperimentoccurswhensomeexogenousevent—oftenachange —changestheenvironmentinwhichindividuals,families,firms,orcitiesoperate.DID分析用的數(shù)據(jù)是特殊的面板數(shù)據(jù)：n ，每 在兩個(gè)時(shí)間點(diǎn)上有觀(guān)察值。數(shù)據(jù)結(jié)構(gòu)矩如果我們的數(shù)據(jù)，不是兩期的面板數(shù)據(jù)，而是多期。我們要用面板模型 用面板模型討多期數(shù)據(jù)的DID分事實(shí)上下面討論的面板模型，不只是能研究政策評(píng)估問(wèn)3Fixedeffect 比如Doesownershipstructurematter?Evidencefromfirms’excesscash 這里ui 既然每 我們把這樣的模型稱(chēng)作固定效應(yīng)模型（fixedeffectmodel），因?yàn)槊總€(gè) 征變量ui是固定的，并且可以估計(jì)出來(lái)的。 這樣的有大量虛擬變量的模型，OLS估計(jì)有沒(méi)有問(wèn)有時(shí)有幾千個(gè)dummies，OLS沒(méi)有問(wèn)題，但手工計(jì)算很麻煩，軟件會(huì)幫你在Paneldatamodel估計(jì)方面，Stata會(huì)比SAS好很多，強(qiáng)烈建議用Stata做面板模型。但我們里還是介紹 datasetif procsortbystkidyear;run;/*一定要先排序datasetbystkid/*SAS的panel命令不應(yīng)許一 procpanelidstkidmodelmv=statexcash1sxcashsizelevblockboard/fixone;outputout=outpredicted=predict;/*yhat_it=y_it-e_it*/ 其它的模型設(shè)置有fixtwo、ranone、rantwo 數(shù)系數(shù)估計(jì)及顯著不存在固定效應(yīng)的檢驗(yàn)，即所有的ui時(shí)為用處不大，將來(lái)討論如何檢驗(yàn)否存在固定效應(yīng)問(wèn)擬合優(yōu)度：事實(shí)上Panel模型中有三個(gè)2的定OverallBetweeneffectWithineffectSAS報(bào)告的是withineffect的R2,a會(huì)分別報(bào)告它下面分別介紹它們的定這叫betweeneffectmodel計(jì)值。也即固定效應(yīng)模型本質(zhì)上是withineffectmodel。 相關(guān)的是withineffectR2OverallR2表示x在總體上對(duì)y的解釋力度（除 BetweeneffectR2與withineffectR2的對(duì)比告訴我們x在總體上對(duì)y的解釋主要來(lái) 特征ui，然后估計(jì) LaggingbyoneSubtractingeq.(2)fromeq.(1)Againtheindividual-specificeffects(ui)havebeen“differencedout”sotheywillnotourestimateofOLSwithdummy（去均值）vsOLSwith Fromatechnicalpointofview,thisisbecausethetime-invariantvariablebeperfectlycollinearwith Fromaneconomicpointofview,thisisbecausefixed-effectmodelsaredesignedtostudywhatcausesthedependentvariabletochangewithinagiven .A-invariantcharacteristiccannotcausesuchaTwo-wayfixedeffect比如前面的Doesownershipstructurematter?Evidencefromfirms’excesscash procpanelidnrmodellwage=educblackhispexpersqmarriedunion/fixtwo;4Randomeffect但如果uiXit之間不相關(guān)，并且對(duì)y的擬合優(yōu)度不是我們的關(guān)注度，而beta的估計(jì)與感Or,theuiareassumedtoberandomlydistributedwithameanofzeroandaivariance,u~IID(0,2iuForeachindividual,theobservationisarealization,andThisiscalledRandomBut，ifuiandXitarecorrelated,therandom-effectsestimatesareRE模型滿(mǎn)足前四條假設(shè)，可以用OLS我們可以用類(lèi)似于前面講的“對(duì)誤差系列相關(guān)的GLS”來(lái)估計(jì)模型procpaneldata=two;idstkidyear;modelmv=statexcash1sxcashsizelevblock由于是FGLSR2見(jiàn)Greene(2007)這里還報(bào)告了HausmanH0：模型為隨機(jī)效 Hausman檢驗(yàn)WeneedtotestwhetheruiandXitareIftheyarecorrelated,weshouldusethefixed-effectsmodelratherthanOLSortherandom-effectsmodel(otherwisethecoefficientsareIftheyarenotcorrelated,itisbettertousetherandom-effectsmodel(itismoreefficient).ThetestwasdevisedbyifuiandXitarecorrelated,therandom-effectsestimatesarebiased(inconsistent)whilethefixed-effectscoefficientsareunbiased(consistent)Inthiscase,therewillbealargedifferencebetweentheifuiandXitareuncorrelated,therandom-effectsandfixed-effectscoefficientsarebothunbiased(consistent);thefixed-effectscoefficientsarelessefficientwhiletherandom-effectscoefficientsaremoreefficient.Inthiscase,therewillnotbealargedifferencetherandom-effectsandfixed-effectscoefficientTheHausmantestindicateswhetherthetwosetsofcoefficientaresignificantly如 DW我們 BPtest（Breusch&Pagan1980），與前面異方差檢驗(yàn)的BPprocpanelidstkidmodelmv=statexcash1sxcashsizelevblockboard/ranone如果用面板模型，用FE還是用Fixedeffect,themostgeneralAllowAllowpossiblecorrelationbetweenxiandRandomAllowUi,butnocorrelationbetweenxiandCanbetreatedasrandomvariablewithzeroPooledcross-sectionalmodel,themostrestrictedNoGLSestimationshowsthattherandom-effectsmodelcanbethoughtofasanintermediatecaseofOLSandthefixed-effectsmodel:TheOLSmodelcorrespondsto=Thefixed-effectsmodelcorrespondsto=datasetwang.exer7_wagepan;procsortdata=one;bynryear;run;procpanelidnrmodellwage=educblackhispexpersqmarriedunion/fixtwo; WhichmodeltouseinEconomicStatisticaltest,fromgeneraltoFirst,isitfixedeffectorrandomHausmantest,H0:random假 H0，用固定效應(yīng)，stop。Second,isitrandomeffectorpooledcross-Breusch-Pagantest,H0:pooledcross-EvenOLS,inrecentyearspeopleoftenadjustthepossiblecorrelationproblemusingcorrelationrobustvarianceInstata,regyxz,WhichmodeltouseinItisimportanttorecognizethatthefixedeffectsestimatorreliesonlythetime-seriesvariationinYandXwithinaIftheextentoftime-seriesvariationissmall,Inthiscase,thefixedeffect