Efectos Fijos y Aleatorios

 

------------------------------------------------------------------------------------------------------------------------. *Para hacer regresiones con xtreg* *Primero la identificacion, despues el tiempo* xtset id YEAR *Para efectos fijos* xtreg (Variables), fe estimates store fe *Para efectos aleatorios* xtreg (variables), re estimates store re *Prueba de hausman* hausman fe re log close . . la identificacion, despues el tiempo* . *Primero xtset Ctry_Code YEAR   panel variable: Ctry_Code (strongly balanced)   time variable: YEAR, 1960 to 1978   delta: 1 unit . . *Para efectos fijos* . xtreg LGASPCAR LINCOMEP LRPMG LCARPCAP, fe Fixed-effects (within) regression Group variable: Ctry_Code

Number of obs Number of groups

R-sq:   within = 0.8396   between = 0.5755   overall = 0.6150

Obs per group:

  corr(u_i, Xb)

F(3,321) Prob > F

= -0.2468

= =

342 18

min = avg = max =

19 19.0 19

= =

560.09 0.0000

-----------------------------------------------------------------------------  LGASPCAR | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------  LINCOMEP | .6622497 .073386 9.02 0.000 .5178713 .806628   LRPMG | -.3217025 .0440993 -7.29 0.000 -.4084625 -.2349424   LCARPCAP | -.6404829 .0296789 -21.58 0.000 -.6988725 -.5820933   _cons | 2.40267 .2253094 10.66 0.000 1.9594 2.845939 -------------+---------------------------------------------------------------  sigma_u | .34841288   sigma_e | .09233035   rho | .93438171 (fraction of variance due to u_i) -----------------------------------------------------------------------------F test that all u_i=0: F(17, 321) = 83.96 Prob > F = 0.0000

 

. . estimates store fe . . *Para efectos aleatorios* . xtreg LGASPCAR LINCOMEP LRPMG LCARPCAP, re Random-effects GLS regression Group variable: Ctry_Code

Number of obs Number of groups

R-sq:   within = 0.8363   between = 0.7099   overall = 0.7309

Obs per group:

  corr(u_i, X)

Wald chi2(3) Prob > chi2

= 0 (assumed)

= =

342 18

min = avg = max =

19 19.0 19

= =

1642.20 0.0000

-----------------------------------------------------------------------------  LGASPCAR | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------  LINCOMEP | .5549857 .0591282 9.39 0.000 .4390966 .6708748   LRPMG | -.4203892 .0399781 -10.52 0.000 -.498745 -.3420335   LCARPCAP | -.6068401 .025515 -23.78 0.000 -.6568487 -.5568316   _cons | 1.996698 .184326 10.83 0.000 1.635426 2.357971 -------------+---------------------------------------------------------------  sigma_u | .19554465   sigma_e | .09233035   rho | .81769849 (fraction of variance due to u_i) -----------------------------------------------------------------------------. . estimates store re . . *Prueba de hausman* . hausman fe re   ---- Coefficients ---  | (b) (B) (b-B) sqrt(diag(V_b-V_B))   | fe re Difference S.E. -------------+---------------------------------------------------------------  LINCOMEP | .6622497 .5549857 .107264 .0434669   LRPMG | -.3217025 -.4203892 .0986868 .0186143   LCARPCAP | -.6404829 -.6068401 -.0336428 .0151597 -----------------------------------------------------------------------------  b = consistent under Ho and Ha; obtained from xtreg   B = inconsistent under Ha, efficient under Ho; obtained from xtreg  

Test:

Ho:

        . . log close

difference in coefficients not systematic chi2(3) = (b-B)'[(V_b-V_B)^(-1)](b-B) (b-B)'[(V_b-V_B)^(-1)](b- B) = 302.80 Prob>chi2 = 0.0000 (V_b-V_B is not positive definite)

 

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