noreg suppresses the display of the regression result. 不显示回归结果 nobslog suppresses the iteration process of the bootstrap. 不显示bootstrap迭代过程 thgiven fits the model based on previous results. options are any options available for [XT] xtreg. Time-series operators are allowed in depvar,...
Hamilton, J. D. 1994. Time Series Analysis. Princeton: Princeton University Press. ↩︎ Phillips, P. C. B. 1987. Time series regression with a unit root. Econometrica 55: 277–301. ↩︎ Phillips, P. C. B., and P. Perron. 1988. Testing for a unit root in time series regres...
xtregis Stata's cross-sectional time-series regression command.xtreg, feestimates the parameters of fixed-effects models: .webuse nlswork(National Longitudinal Survey. Young Women 14-26 years of age in 1968) .xtset idcodepanel variable: idcode (unbalanced). xtreg ln_w grade age c.age#c.age...
tsline yt yrwd2, /// legend(label(1 "Deterministic time trend") /// label(2 "Random walk with drift")) /// title("Stochastic and deterministic trend") 参考文献 [^P1987]:Phillips, P. C. B. 1987. Time series regression with a unit root. Econometrica 55: 277–301. [^P1988]:Phi...
Critical value c is different from conventional t-test (with time trend) Signifi cance level1%5%10% Critical value -3.96 -3.41 -3.12 Regression model1%5%10% yt=a*xt+et -3.39 -2.76 -2.45 yt=b+a*xt+et -3.96 -3.37 -3.07 yt=b+a*xt+c*t+et -3.98 -3.42 -3.13 2.4 Cointegration 如果...
23- run(xtparks) [xtgls] Parks Full Heteroscedastic Cross-Section GLS AR(1) Panel Regression * with Options: panels(corr) corr(psar1) 24- run(xtmg) [xtmg] Heterogeneous Slopes Time Series Panel Regression Requires (xtmg) module ssc install xtmg ...
Commandfor running regression model: regressy x1 x2 x3 x4 Ifyou want to check normality after running regression model, run two commands consecutively: predict myResiduals, r sktest myResiduals Afterregression, you can check for serial correlation usingeither of the following: dwstator estat bgodfre...
两个相互独立的单位根变量可能出现伪回归(spurious regression)或伪相关。 面板数据单位根检验 陈强教授在《高级计量经济学与STATA应用(第二版)》中给出了六种对面板数据的单位根进行检验的方法。分别是:LLC、HT、Breintung、IPS、费雪式和Hadri LM 6种方法进行面板单位根检验。 有些面板单位根检验(LLC检验、HT检验...
零膨胀泊松回归(Zero-InflatedPoisson Regression,以下简称ZIP回归)是一种应用于计数数据的面板数据回归模型。计数数据是指某个特定时间内某个事件发生的次数,比如疾病发病次数、犯罪事件发生次数等。传统的泊松回归模型假设计数数据服从泊松分布,在处理计数数据时非常有用。然而,面临一个普遍存在的问题是,计数数据经常出现...
Cointegration refers to the fact that two or more series share an stochastic trend (Stock & Watson). Engle and Granger (1987) suggested a two step process to test for cointegration (an OLS regression and a unit root test), the EG-ADF test. ...