连玉君：面板讲义(理论和在STATA中的操作)

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2019-11-23

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EstimationwithSTATA1arlionn@163.com2007.071—-STATA()()LATEX(12)()18.1.............................................18.2.....................................18.2.1...................................28.2.2...................................78.2.3......................................108.2.4STATA....................................138.3.........................................258.3.1.......................................258.3.2......................................298.3.3..........................338.4.......................................338.5VAR.......................................338.6.......................................338.7...............................33I8.1()(PanelVAR)(PanelUnitRoottest)(PanelCointegeration)(PanelThreshold)30128.2()AR(1),AR(2),MA(1)—yitDx0itCuit(8-1)uitDaiCit1218.22iD1;2;;N;tD1;2;;TxitK1KK1iai(individualeffects)282810000600()8.2.38.2.1ai(8-1)yiDai1TCxiCi(8-2),yiD.yi1;yi2;;yiT/0,xiD.xi1;xi2;;xiT/0,iD.i1;i2;;iT/0,1T1T13310:E[ijxi]D020:Var[ijxi]D2IT31:E[ijxi;ai]D0(8-3)2:Var[ijxi;ai]D2IT(8-4)1x2(8-1)OLSBLUE12(8-1)OLSBLUEN.NCK/4N(N=10000)(8-1)yDDaCXC(8-5)yD.y01;y02;;y0N/0,D.01;02;;0N/0,NT1,DDIN1T,aD.a1;a2;;aN/0DN(8-5)OLSyDXCNDD0DINJT,JTD1T10TTT1PDD.D0D/1D0DINNJT,NJTD.1=T/JTTT1=T;QDINTD.D0D/1D0DINTPPQ(1):P0DP,P2DP;(2):PQD0;(3):PCQDINT.QDD0(8-5)QQyDQXCQ(8-6)4(8-1)NXOLSXN168.24OLS5OWGD.X0QX/1X0Qy(8-7)Var.OWG/D2.X0QX/1(8-8)2O2D1NTNK.QyQXOWG/0.QyQXOWG/(8-9)OaiDNyiNxiOWG(8-10)(8-7).yitNyi/D.x0itNxi/C.itNi/(8-11),NyiD.1=T/PTtD1yit,NxiNiOWGOLS(8-5)DaNX6(8-1)4yi2D4x0i2C4i2:::4yiTD4x0iTC4iT(8-12)ByiDBxiCBi(8-13)BD2666641100001100::::::::::::00011377775.T1/T(8-14)5(8-6)OLSE[.Q/.Q/0]D2Q6D2IGLS(8-7)6XPNiD1aiD0OaiiSTATA8.0X5.INB/yD.INB/XC.INB/(8-15)QBDINBOLSOOLSD.X0QBX/1X0QBy(8-16)1E[X]D0OOLSONOOLS2BVar.QB/D2QBQ0B(8-17)(8-15)GLSBLUEOGLSD[XQB.QBQ0B/1QBX]1XQB.QBQ0B/1QBy:(8-18)QB.QBQ0B/1QBDQ7OGLSOWGGLSGLSOGLSOLSOWGBLUEGLS—(forwardorthogonaldebiations)ArellanoandBover(1995).T1/TAD.BB0/1=2B:.BB0/1=2(Cholesky)AAD7.AF/.CD/D.AC/.FD/,QB.QBQ0B/1QBDINB0.BB0/1BB0.BB0/1BDITNJTHDT1=210T.BB0/1=2B#HH0DIT,H0HDIT,10T1T=TCB0.BB0/1BDITQB.QBQ0B/1QBDIN.ITNJT/DINTPDQ.8.26diag[.T1/=T;.T2/=.T1/;;1=2]1=2A†,A†D2666666641.1T/1.1T/1.1T/1.1T/1.1T/101.2T/1.2T/1.2T/1.2T/1::::::::::::::::::00011=21=2000011377777775:(8-19)iAiDAiT1itDct[it1Tt.i;tC1/CCiT/](8-20)c2tD.Tt/=.TtC1/A0ADITNJT,AA0DIT1QDINA0AOLSOWG8yitDx0itCuit(8-21)uitDaiCtCitiD1;2;;NItD1;2;;TyDXCu(8-22)uD.IN1T/aC.1NIT/CD.1;2;;T/0aitxititDaDIN1T,DD1NITyDDaaCDCXC(8-23)DaD(NTN)(NTT)NTJT87JND1N10NDD0DJNITENDINNJNNJND.1=N/JNQDENETDINITCINNJTNJNITCNJNNJT(8-24)aitQyDQyQyitDyitNyiNytCNyNyiD.1=N/PNiD1yit,NytD.1=T/PTtD1yit,NyD.1=NT/PNiD1PTtD1yitQyDQyQXDQXOLS(8-21)QD.X0QX/1X0Qy(8-25)OaiD.NyiNy/Q.NxiNx/(8-26)OtD.NytNy/Q.NxtNx/(8-27)(8-21)PNiD1aiD0PTtD1tD0;OaiOt8.2.2GLSN(8-1):yitDxitCuit(8-28)uitDaiCit123:aiIID.0;2a/(8-29)4:Cov.ai;xit/D0(8-30)5:uijxiIID.0;2ITC2a1T10T/(8-31)8.28302aE[ai]4ai5aiit-DE[uu0]DIN.2ITC2a1T10T/DIN666(8-32)666D2ITC2a1T10T666D2666642aC22a2a2a2aC22a::::::::::::2a2a2aC2377775:(8-33)GLSOGLSD[X01X]1X01y(8-34)Var.OGLS/D[X01X]1(8-35)OLS1=2D[In666]1=26661=26661=2D1IT1T10TD1p2CT2a6661=2yiD1266664yi1Nyiyi2Nyi:::yiTNyi377775(8-36)xiOLS(8-34)(8-36)D1OGLSGreene(2002,pp.295-296)FGLSGLS,22a(8-58)GLS2O2OLSO2O2u92eitD.yitNyi/.xitNxi/0OWGO2DPniD1PTtD1e2itnTnK(8-37)2a(8-28)OLSQeit(8-28)OLSO2uDPniD1PTtD1Qe2itnTK1DO2CO2a(8-38)O2aDO2uO2(8-37)(8-38)O2uO222aOLS22aOLSNyiDNx0iCNi(8-39)mDO2aC.O2=T/mO2uO2DTT1.O2um/O2aDTT1m1T1O2uFGLSGLSBLUEFGLSN!1T!1MaddalaMount(1973)FGLSTaylor(1980)FGLSLSDV(1)LSDVFGLS(2)FGLSCramer-Rao17%(3)FGLS8.210Cov.uit;ujs/D8:2aC2foriDj;tDs2aforiDj;t6Ds0fori6Dj;t6Ds(8-40)DCorr.uit;ujs/D8:1foriDj;tDs2a=.2aC2/foriDj;t6Ds0fori6Dj;t6Ds(8-41)(8-41)D2a=.2aC2/8.3.28.2.3OLS()Cov.ai;xi/D0(8.2.1)()OLS(PooledOLS)H0:1D2DDnFFD.R2uR2r/=.n1/.1R2u/=.nTnK/F.n1;nTnK/(8-42)urFBreuschPagan(1980)OLSLMH0:2aD0v:s:H1:2a6D011LMDnT2.T1/264PniD1hPTtD1eiti2PniD1PTtD1e2it13752(8-43)LM1LMLMDnT2.T1/e0DD0ee0e12(8-44),aiHausmanMundlak(1978)aiHausmanaiOLSGLSbOOLSGLSVar[bO]DVar[b]CVar[O]Cov[b;O]Cov[b;O]0(8-45)HausmanCov[.bO/;O]DCov[b;O]Var[O]D0(8-46)Cov[b;O]DVar[O](8-47)(8-47)(8-45)Var[bO]DVar[b]Var[O]D999(8-48)HausmanWaldWD[bO]0O9991[bO]2.K1/(8-49)8.212,O999.aixit910yitDaiCxitCit(8-50)4yitD4xitC4it(8-51)itDit1Cuit,4itD4it1C4uitH0:D0v:s:6D04itDeitH0Corr.eit;eit1/D0:5(8-52)(8-51)OLSOeitOeit1OLSOO-0.5t11Baltagi(2001)129B-PHausman10STATAxthtaylorxtivreg(8-28)aixiixi11Wooldridge(2002,pp.282)STATAxtserial12STATAxttest1138.2.4STATAPanelDatacompanyyearinvestmvalue1195