stata陈强：第十五章 短面板

第十五章 短面板

15.13短面板的stata命令及实例

clear all
 
cd "F:\stata经济数据分析"
dir

use traffic.dta, clear

* 1 面板数据的设定
* xtset panelvar timevar
* encode country, gen(cntry) //假如panelvar是字符串，转换为数字型
xtset state year

* 显示数据结构
* xtdes // 显示面板数据的结构，是否为平衡面板
* xtsum // 显示组内、组间与整体的统计指标
* xttab varname // 显示组内、组间与整体的分布频率，tab是指tabulate
* xtline varname // 对每位个体分别显示该变量的时间序列图，如果希望将所有个体的时间序列图叠加在一起，可以加上选择项 overlay

xtdes
xtsum
xtsum fatal beertax spircons unrate perinck state year
xtline fatal
xtline fatal, overlay

* 2 混合回归
* reg y x1 x2 x3,vce(cluster id)

reg fatal beertax spircons unrate perinck, vce(cluster state)
estimates store OLS

reg fatal beertax spircons unrate perinck

* 3 固定效应
* FE格式：xtreg y x1 x2 x3,fe r
* LSDV法：reg y x1 x2 x3 i.id ,r
xtreg fatal beertax spircons unrate perinck,fe r
estimates store FE_robust

xtreg fatal beertax spircons unrate perinck,fe 
estimates store FE

reg fatal beertax spircons unrate perinck i.state,vce(cluster state)
estimates store LSDV

* 附带一阶差分结果
xtserial fatal beertax spircons unrate perinck, output
estimates store FD


* 双向固定效应
tab year, gen(year)
xtreg fatal beertax spircons unrate perinck year2-year7, fe r
estimates store FE_TW

test year2 year3 year3 year4 year5 year6 year7

xtreg fatal beertax spircons unrate perinck i.year , fe r

* 4 随机效应
* xtreg y x1 x2 x3, re r theta  // 随机效应FGLS
* xtreg y x1 x2 x3, mle  // 随机效应MLE

* 随机效应FGLS
xtreg fatal beertax spircons unrate perinck, re r theta
estimates store RE

xttest0

* 随机效应MLE
xtreg fatal beertax spircons unrate perinck, mle nolog
estimates store MLE

* 5 组间估计量
* 组间估计BE ：xreg y x1 x2 x3, be
xtreg fatal beertax spircons unrate perinck, be
estimates store MLE

* 6 固定效应还是随机效应：豪斯曼检验
* stata code for  hausman
* xreg y x1 x2 x3, fe
* estimates store FE
* xreg y x1 x2 x3, re
* estimates store RE
* hausman FE RE, constant sigmamore

hausman FE RE, constant sigmamore  
* 注：vce(cluster id) 无法执行该命令



quietly xtreg fatal beertax spircons unrate perinck, re
scalar theta = e(theta)
global yandxforhausman fatal beertax spircons unrate perinck
sort state
foreach x of varlist $yandxforhausman{
by state : egen mean`x'=mean(`x')
gen md`x' = `x' - mean`x'
gen red`x'= `x' - theta*mean`x' 
}
quietly reg redfatal redbeertax redspircons redunrate redperinck mdbeertax mdspircons mdunrate mdperinck, vce(cluster state)
test mdbeertax mdspircons mdunrate mdperinck

quietly xtreg fatal beertax spircons unrate perinck, re r
xtoverid

estimates table OLS FE_robust FE_TW RE BE, b se