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：1.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：y=九+尹0 x+u（1）itikkitit（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束模型的回歸殘差平方

2、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:九九九九00123N-1(RRSS-URSS)/N-1F(N-1,N(T-1)-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)（paneldata）工作文件；（2）定義序列名并輸入數(shù)據(jù)；（3）估計(jì)選擇面板模型；（4）面板單位根檢驗(yàn)。年人均消費(fèi)（consume）

3、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11996-2002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)1996199719981999200020012002CONSUMEAH3607.433693.553777.413901.814232.984517.654736.52CONSUMEBJ5729.526531.816970.837498.488493.498922.7210284.6CONSUMEFJ4248.474935.955181.455266.695638.746015.116631.68CONSUMEHB3424.

4、354003.713834.434026.34348.474479.755069.28CONSUMEHLJ3110.923213.423303.153481.743824.444192.364462.08CONSUMEJL3037.323408.033449.743661.684020.874337.224973.88CONSUMEJS4057.54533.574889.435010.915323.185532.746042.6CONSUMEJX2942.113199.613266.813482.333623.563894.514549.32CONSUMELN3493.023719.91389

5、0.743989.934356.064654.425342.64CONSUMENMG2767.843032.33105.743468.993927.754195.624859.88CONSUMESD3770.994040.634143.964515.0550225252.415596.32CONSUMESH6763.126819.946866.418247.698868.199336.110464CONSUMESX3035.593228.713267.73492.983941.874123.014710.96CONSUMETJ4679.615204.155471.015851.536121.0

6、46987.227191.96CONSUMEZJ5764.276170.146217.936521.547020.227952.398713.08表219962002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1996199719981999200020012002INCOMEAH4512.774599.274770.475064.65293.555668.86032.4INCOMEBJ7332.017813.168471.989182.7610349.6911577.7812463.92INCOMEFJ5172.936143.646485.636859.81743

7、2.268313.089189.36INCOMEHB4442.814958.675084.645365.035661.165984.826679.68INCOMEHLJ3768.314090.724268.54595.144912.885425.876100.56INCOMEJL3805.534190.584206.644480.0148105340.466260.16INCOMEJS5185.795765.26017.856538.26800.237375.18177.64INCOMEJX3780.24071.324251.424720.585103.585506.026335.64INCO

8、MELN4207.234518.14617.244898.615357.795797.016524.52INCOMENMG3431.813944.674353.024770.535129.055535.896051INCOMESD4890.285190.795380.085808.966489.977101.087614.36INCOMESH8178.488438.898773.110931.6411718.0112883.4613249.8INCOMESX3702.693989.924098.734342.614724.115391.056234.36INCOMETJ5967.716608.

9、397110.547649.838140.58958.79337.56INCOMEZJ6955.797358.727836.768427.959279.1610464.6711715.6表319962002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)1996199719981999200020012002PAH109.9101.310097.8100.7100.599PBJ111.6105.3102.4100.6103.5103.198.2PFJ105.9101.799.799.1102.198.799.5PHB107.1103.598.498.199.7100.599PHLJ

10、107.1104.4100.496.898.3100.899.3PJL107.2103.799.29898.6101.399.5PJS109.3101.799.498.7100.1100.899.2PJX108.410210198.6100.399.5100.1PLN107.9103.199.398.699.910098.9PNMG107.6104.599.399.8101.3100.6100.2PSD109.6102.899.499.3100.2101.899.3PSH109.2102.8100101.5102.5100100.5PSX107.9103.198.699.6103.999.89

11、8.4PTJ109103.199.598.999.6101.299.6PZJ107.9102.899.798.810199.899.1二、1.輸入操作：步驟：(1)FileNewWorkfile0|FileEditObjectViewProcQuickOptionsAdd-ins；WindowHelpN.ewWarWile.匚trl+N.GpenSaveCtrl+5SaveAs.CloseImport卜Database.frogramTextFile步驟：（2）StartdateEnddateOK步驟：（3）ObjectNewObjectsFileETitObject|ViewPr匚10ick

12、OptionsAdd-insWindo-wHelpNewObject.generateSeries.-.ManageLinks&FormulaeFetchfromDB.LUpdateselectedfromDB團(tuán)StoreselectedtoDB.bbVieiCopyseiected.ShowFetch5-toreDeleteRaiSarRenameselected.F2Deleteselected0P_rintSelected步驟：（4）TypeofobjectPoolWorkfile:NewObject|/iew|Proc|Obj-Typeofobject-filamefbobjectRa

13、nge.1990Siample:1999eresldPoolEquationFactorGiapliGroupLogLMatriK-Vertor-CcefWlcd亡IpoolmodelGenrSampleFilter:SampleScalarseriesSeriesLinkSeriesAlphaSpoolSSpace5bineSVectorSye:ternTableTextValrlape（尸史上疋E日七iEtilt上in*e|Pq口1口上?尸Sheset匸x-口口口Sactixb.工赳口i云口X-：C.HxiLax-1dl口皿七ii乞百口tF(1490)=18023225974390F-UR

14、SS=2259743=769FO.o514,90丿一18023/(NT-N-K+1)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：Consume=596.50+0.69Income-53.23D+592.44D+.+230.16Ditit1215(6.64)(49.55)R2二0.99,SSE二2259743r其中虛擬變量D,D，,D的定義是：1215f1,如果屬于第個(gè)個(gè)體，i=1,2,.,15D=F0.56,98)=219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)

15、式為：Consume=2.6+0.78IP+114D+137.5D+.97.7Ditit127(76.0)R2二0.986,SSE二4080749其中虛擬變量D,D，,D的定義是:1271,如果屬于第t個(gè)截面,t=1996,.,20020,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：y=X+y+屮卩x+uitttkkititk=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-s

16、ection：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)）PoolEstimationSptdfi匚ciioriOptionsconsume?19962DO2r-Regressorsand4RQtermsCommoncoefficients-Dependentvariable-Entima廿pfimethodcincome?aCross.-sectionFixedandR自ndomEffects得到結(jié)果如下:DependentVariable:CONSUME?Method:PooledLeastSquaresDate:07/21/14Time:15:44S

17、ample:19962002Includedobservations:7Cross-sectionsincluded:15Totalpool(balanced)observations:105VariableCoefficientStd.Errort-StatisticProb.806.6751221.21433.6465780.0005INCOME?0.6533380.03454118.915040.0000FixedEffects(Cross)AH-C-94.50854BJ-C698.0132FJ-C-18.86465HB-C-200.3997HLJ-C-246.3712JL-C-54.1

18、6421JS-C-31.26919JX-C-392.9844LN-C47.39508NMG-C-284.2660SD-C-150.8912SH-C465.4906-152.6560103.9569311.5193-59.1237317.95469-31.45564-57.2404236.24382-29.26415122.8854(RRSS-URF=URSS/(NT-T-N-K+1)(4965275-2022652)/+N-2)=22-2=5-83Fo.o5283)=l7202265283SX-CTJ-CZJ-CFixedEffects(Period)-C-C-C-C-C-C-CEffectsSpecificationCross-sectionfixed(dummyvariables)Periodfixed(dummyvariables)R-squared0.993278Meandependentvar4981.017AdjustedR-squared0.991577S.D.dependentvar1700.985S.E.ofregres