Hausman检验结果为负?—基于模拟分析的释疑
关键词:hausman检验 stata hausman检验 hausman检验结果 hausman检验结果分析
通过模拟分析发现,这主要是RE模型的基本假设Corr(x_it, u_i) =0 无法得到满足。因此,在这种情况下应该采用FE。
模拟过程如下:
clear
xtarsim y x eta, n(200) t(10) gamma(0) beta(.8) rho(0.2) one(corr 1) sn(9)
describe
xtdes
*- 分别估计 FE 和 RE 模型
xtreg y x, re
est store re
xtreg y x, fe
est store fe
local mm “ols re fe”
esttab `mm’, mtitle(`mm’) scalar(r2 r2_o r2_w r2_a)
*- Hausman检验结果如何?
hausman fe re
hausman fe re, sigmamore /*使用RE的方差-协方差矩阵 e(V_re)*/
hausman fe re, sigmaless /*使用FE的方差-协方差矩阵 e(V_fe)*/
* 结论:若传统Hausman检验得到的卡方值为负,则应拒绝RE,而采用FE。
在上面的gamma(0) beta(.8) rho(0.2) one(corr 1) sn(9) 设置下,
sigmamore and sigmaless的选项结果还是比较可靠的。
Hausman Test for id=10 and t=5, Chi2 and p are:
original: -15.25902094
sigmamore: 29.52903691( 0.0000)
sigmaless: 75.13764863( 0.0000)
Hausman Test for id=10 and t=15, Chi2 and p are:
original: -6.669215421
sigmamore: 32.64395338( 0.0000)
sigmaless: 41.27695511( 0.0000)
Hausman Test for id=10 and t=25, Chi2 and p are:
original: -21.28631642
sigmamore: 120.9291817( 0.0000)
sigmaless: 234.3414119( 0.0000)
Hausman Test for id=10 and t=35, Chi2 and p are:
original: -8.701909484
sigmamore: 76.33851265( 0.0000)
sigmaless: 97.50908805( 0.0000)
Hausman Test for id=10 and t=45, Chi2 and p are:
original: -10.68627248
sigmamore: 100.0573548( 0.0000)
sigmaless: 128.5431327( 0.0000)
Hausman Test for id=10 and t=55, Chi2 and p are:
original: -15.13057341
sigmamore: 153.630277( 0.0000)
sigmaless: 213.0887759( 0.0000)
Hausman Test for id=110 and t=5, Chi2 and p are:
original: -204.1108341
sigmamore: 396.6423161( 0.0000)
sigmaless: 1433.447853( 0.0000)
Hausman Test for id=110 and t=15, Chi2 and p are:
original: -159.7802374
sigmamore: 867.0220412( 0.0000)
sigmaless: 1828.457879( 0.0000)
Hausman Test for id=110 and t=25, Chi2 and p are:
original: -173.3881576
sigmamore: 1141.329628( 0.0000)
sigmaless: 1939.484031( 0.0000)
Hausman Test for id=110 and t=35, Chi2 and p are:
original: -185.7313451
sigmamore: 1343.709893( 0.0000)
sigmaless: 2053.902414( 0.0000)
Hausman Test for id=110 and t=45, Chi2 and p are:
original: -124.0043726
sigmamore: 1255.145288( 0.0000)
sigmaless: 1681.410243( 0.0000)
Hausman Test for id=110 and t=55, Chi2 and p are:
original: -167.3728299
sigmamore: 1539.464503( 0.0000)
sigmaless: 2054.953033( 0.0000)
Hausman Test for id=210 and t=5, Chi2 and p are:
original: -396.3897801
sigmamore: 752.1097461( 0.0000)
sigmaless: 2607.252553( 0.0000)
Hausman Test for id=210 and t=15, Chi2 and p are:
original: -265.0905343
sigmamore: 1541.541312( 0.0000)
sigmaless: 3019.828984( 0.0000)
Hausman Test for id=210 and t=25, Chi2 and p are:
original: -349.6171619
sigmamore: 2214.708469( 0.0000)
sigmaless: 3831.011697( 0.0000)
Hausman Test for id=210 and t=35, Chi2 and p are:
original: -302.5426819
sigmamore: 2459.981765( 0.0000)
sigmaless: 3697.507898( 0.0000)
Hausman Test for id=210 and t=45, Chi2 and p are:
original: -320.0124319
sigmamore: 2945.197927( 0.0000)
sigmaless: 4275.431054( 0.0000)
Hausman Test for id=210 and t=55, Chi2 and p are:
original: -288.6578172
sigmamore: 2792.530306( 0.0000)
sigmaless: 3671.704793( 0.0000)
Hausman Test for id=310 and t=5, Chi2 and p are:
original: -626.7198051
sigmamore: 1125.110929( 0.0000)
sigmaless: 4115.846741( 0.0000)
Hausman Test for id=310 and t=15, Chi2 and p are:
original: -542.918111
sigmamore: 2582.553113( 0.0000)
sigmaless: 5765.861605( 0.0000)
Hausman Test for id=310 and t=25, Chi2 and p are:
original: -482.6356457
sigmamore: 3241.396979( 0.0000)
sigmaless: 5534.407436( 0.0000)
Hausman Test for id=310 and t=35, Chi2 and p are:
original: -476.5210627
sigmamore: 3727.976324( 0.0000)
sigmaless: 5679.385494( 0.0000)
Hausman Test for id=310 and t=45, Chi2 and p are:
original: -489.623454
sigmamore: 4005.721152( 0.0000)
sigmaless: 5596.819492( 0.0000)
Hausman Test for id=310 and t=55, Chi2 and p are:
original: -487.8065058
sigmamore: 4439.652973( 0.0000)
sigmaless: 6002.592097( 0.0000)
Hausman Test for id=410 and t=5, Chi2 and p are:
original: -782.9054589
sigmamore: 1437.64982( 0.0000)
sigmaless: 4774.305137( 0.0000)
Hausman Test for id=410 and t=15, Chi2 and p are:
original: -634.7051804
sigmamore: 3242.604058( 0.0000)
sigmaless: 6860.437457( 0.0000)
Hausman Test for id=410 and t=25, Chi2 and p are:
original: -593.6497115
sigmamore: 4117.028858( 0.0000)
sigmaless: 6880.99711( 0.0000)
Hausman Test for id=410 and t=35, Chi2 and p are:
original: -606.9333066
sigmamore: 4704.018299( 0.0000)
sigmaless: 6997.996537( 0.0000)
Hausman Test for id=410 and t=45, Chi2 and p are:
original: -638.2010935
sigmamore: 5322.375965( 0.0000)
sigmaless: 7469.158631( 0.0000)
Hausman Test for id=410 and t=55, Chi2 and p are:
original: -628.209798
sigmamore: 5975.773017( 0.0000)
sigmaless: 8125.424338( 0.0000)
Hausman Test for id=510 and t=5, Chi2 and p are:
original: -965.6945473
sigmamore: 1911.737724( 0.0000)
sigmaless: 7652.812628( 0.0000)
Hausman Test for id=510 and t=15, Chi2 and p are:
original: -868.9804265
sigmamore: 4125.969192( 0.0000)
sigmaless: 8948.154518( 0.0000)
Hausman Test for id=510 and t=25, Chi2 and p are:
original: -780.8251597
sigmamore: 5164.891449( 0.0000)
sigmaless: 8682.042576( 0.0000)
Hausman Test for id=510 and t=35, Chi2 and p are:
original: -848.6899724
sigmamore: 6377.53786( 0.0000)
sigmaless: 9907.848252( 0.0000)
Hausman Test for id=510 and t=45, Chi2 and p are:
original: -659.8771127
sigmamore: 5937.10347( 0.0000)
sigmaless: 8008.908472( 0.0000)
Hausman Test for id=510 and t=55, Chi2 and p are:
original: -860.6914346
sigmamore: 7899.906974( 0.0000)
sigmaless: 10997.00555( 0.0000)
Hausman Test for id=610 and t=5, Chi2 and p are:
original: -1249.826331
sigmamore: 2213.849365( 0.0000)
sigmaless: 8054.435848( 0.0000)
Hausman Test for id=610 and t=15, Chi2 and p are:
original: -1193.896281
sigmamore: 5119.036563( 0.0000)
sigmaless: 11577.44937( 0.0000)
Hausman Test for id=610 and t=25, Chi2 and p are:
original: -1014.905754
sigmamore: 6750.323275( 0.0000)
sigmaless: 12111.80212( 0.0000)
Hausman Test for id=610 and t=35, Chi2 and p are:
original: -918.0642674
sigmamore: 7319.428189( 0.0000)
sigmaless: 11137.82897( 0.0000)
Hausman Test for id=610 and t=45, Chi2 and p are:
original: -910.4312819
sigmamore: 8052.200968( 0.0000)
sigmaless: 11394.67158( 0.0000)
Hausman Test for id=610 and t=55, Chi2 and p are:
original: -919.8696786
sigmamore: 8424.72207( 0.0000)
sigmaless: 11248.24061( 0.0000)
Hausman Test for id=710 and t=5, Chi2 and p are:
original: -1499.938973
sigmamore: 2609.465674( 0.0000)
sigmaless: 9861.945899( 0.0000)
Hausman Test for id=710 and t=15, Chi2 and p are:
original: -1313.928206
sigmamore: 5950.808688( 0.0000)
sigmaless: 13451.58269( 0.0000)
Hausman Test for id=710 and t=25, Chi2 and p are:
original: -1279.030836
sigmamore: 7904.988999( 0.0000)
sigmaless: 14230.65714( 0.0000)
Hausman Test for id=710 and t=35, Chi2 and p are:
original: -1213.384352
sigmamore: 9075.103013( 0.0000)
sigmaless: 14295.9841( 0.0000)
Hausman Test for id=710 and t=45, Chi2 and p are:
original: -1377.630383
sigmamore: 10965.33147( 0.0000)
sigmaless: 16688.78913( 0.0000)
Hausman Test for id=710 and t=55, Chi2 and p are:
original: -1231.143884
sigmamore: 10605.48222( 0.0000)
sigmaless: 14559.62048( 0.0000)
Hausman Test for id=810 and t=5, Chi2 and p are:
original: -1804.267056
sigmamore: 2956.589519( 0.0000)
sigmaless: 10963.16921( 0.0000)
Hausman Test for id=810 and t=15, Chi2 and p are:
original: -1522.879524
sigmamore: 6802.834523( 0.0000)
sigmaless: 15442.15403( 0.0000)
Hausman Test for id=810 and t=25, Chi2 and p are:
original: -1427.322598
sigmamore: 9094.205519( 0.0000)
sigmaless: 16508.31737( 0.0000)
Hausman Test for id=810 and t=35, Chi2 and p are:
original: -1156.418494
sigmamore: 9165.284239( 0.0000)
sigmaless: 13543.87541( 0.0000)
Hausman Test for id=810 and t=45, Chi2 and p are:
original: -1142.840707
sigmamore: 10213.34622( 0.0000)
sigmaless: 14189.08871( 0.0000)
Hausman Test for id=810 and t=55, Chi2 and p are:
original: -1314.14029
sigmamore: 11984.91949( 0.0000)
sigmaless: 16382.35826( 0.0000)
Hausman Test for id=910 and t=5, Chi2 and p are:
original: -2078.144214
sigmamore: 3400.419109( 0.0000)
sigmaless: 13416.44248( 0.0000)
Hausman Test for id=910 and t=15, Chi2 and p are:
original: -1725.028038
sigmamore: 7661.137679( 0.0000)
sigmaless: 17375.32729( 0.0000)
Hausman Test for id=910 and t=25, Chi2 and p are:
original: -1483.59852
sigmamore: 9843.957342( 0.0000)
sigmaless: 17352.74004( 0.0000)
Hausman Test for id=910 and t=35, Chi2 and p are:
original: -1575.145363
sigmamore: 11823.06675( 0.0000)
sigmaless: 18795.23423( 0.0000)
Hausman Test for id=910 and t=45, Chi2 and p are:
original: -1556.335216
sigmamore: 12806.00071( 0.0000)
sigmaless: 18632.90898( 0.0000)
Hausman Test for id=910 and t=55, Chi2 and p are:
original: -1337.162352
sigmamore: 12460.67542( 0.0000)
sigmaless: 16591.21605( 0.0000)
Hausman Test for id=1010 and t=5, Chi2 and p are:
original: -2126.534423
sigmamore: 3673.687233( 0.0000)
sigmaless: 13491.17894( 0.0000)
Hausman Test for id=1010 and t=15, Chi2 and p are:
original: -1672.283822
sigmamore: 8170.452034( 0.0000)
sigmaless: 17736.57989( 0.0000)
Hausman Test for id=1010 and t=25, Chi2 and p are:
original: -1544.55727
sigmamore: 10333.59947( 0.0000)
sigmaless: 17492.64983( 0.0000)
Hausman Test for id=1010 and t=35, Chi2 and p are:
original: -1707.334487
sigmamore: 12925.70568( 0.0000)
sigmaless: 20376.36792( 0.0000)
Hausman Test for id=1010 and t=45, Chi2 and p are:
original: -1881.227915
sigmamore: 15066.81365( 0.0000)
sigmaless: 22514.1472( 0.0000)
Hausman Test for id=1010 and t=55, Chi2 and p are:
original: -1737.59133
sigmamore: 15412.96946( 0.0000)
sigmaless: 21310.94746( 0.0000)
Hausman Test for id=1110 and t=5, Chi2 and p are:
original: -2650.805974
sigmamore: 4098.859825( 0.0000)
sigmaless: 15514.3733( 0.0000)
Hausman Test for id=1110 and t=15, Chi2 and p are:
original: -1934.849956
sigmamore: 9115.629251( 0.0000)
sigmaless: 20129.07967( 0.0000)
Hausman Test for id=1110 and t=25, Chi2 and p are:
original: -1840.216213
sigmamore: 12085.30905( 0.0000)
sigmaless: 21350.25258( 0.0000)
Hausman Test for id=1110 and t=35, Chi2 and p are:
original: -1894.107246
sigmamore: 14258.1422( 0.0000)
sigmaless: 22518.92594( 0.0000)
Hausman Test for id=1110 and t=45, Chi2 and p are:
original: -1839.092334
sigmamore: 15441.27082( 0.0000)
sigmaless: 22350.57254( 0.0000)
Hausman Test for id=1110 and t=55, Chi2 and p are:
original: -1747.405891
sigmamore: 15962.47934( 0.0000)
sigmaless: 21607.20749( 0.0000)
转载请注明:数据分析 » Hausman检验结果为负?—基于模拟分析的释疑