python和stata回归的区别_Python：与Stata（fixedeffect dummies）相比，回归速度较慢

areg实际上并不是像使用Python那样用3677个村庄指标来反转矩阵。它正在以某种方式转换数据，从而避免了这样做的必要性，因此速度会更快。这也是为什么带有乡村假人的regress中的常量与areg中的常量不匹配，尽管斜率系数应该相同，如果您等待Python完成。在

下面是areg用regress计算系数的方法。由于我没有对5个吸收效应进行自由度调整，因此标准误差将太大，但我将通过乘以SEs在下面的循环中手动进行调整：. sysuse auto, clear

(1978 Automobile Data)

. drop if missing(rep78)

(5 observations deleted)

. /* (1) transform the data by subtracting the group specific mean and */

. /* adding the grand/overall mean back in for outcome and regressors */

. foreach var of varlist price weight length foreign {

2. bys rep78: egen group_mean = mean(`var')

3. qui sum `var'

4. gen double `var'_star = `var' - group_mean + r(mean)

5. drop group_mean

6. }

. /* (2) Fit the model on transformed data */

. regress price_star weight_star length_star foreign_star

Source | SS df MS Number of obs = 69

-+ F(3, 65) = 26.99

Model | 315296838 3 105098946 Prob > F = 0.0000

Residual | 253139578 65 3894455.05 R-squared = 0.5547

-+ Adj R-squared = 0.5341

Total | 568436416 68 8359359.06 Root MSE = 1973.4

price_star | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-+

weight_star | 6.15521 1.008605 6.10 0.000 4.140885 8.169534

length_star | -100.9268 33.82508 -2.98 0.004 -168.4801 -33.37341

foreign_star | 3394.052 782.454 4.34 0.000 1831.383 4956.72

_cons | 5453.782 3829.487 1.42 0.159 -2194.232 13101.8

. /* (3) Adjust the SEs for DoF */

. foreach coef in weight_star length_star foreign_star _cons {

2. di "Adjusted SE for `coef': " %9.8gc _se[`coef']*sqrt(65/61)

3. }

Adjusted SE for weight_star: 1.041149

Adjusted SE for length_star: 34.91649

Adjusted SE for foreign_star: 807.7009

Adjusted SE for _cons: 3953.05

. /* (4) Make sure areg gives the same output */

. areg price weight length foreign, absorb(rep78)

Linear regression, absorbing indicators Number of obs = 69

F( 3, 61) = 25.33

Prob > F = 0.0000

R-squared = 0.5611

Adj R-squared = 0.5108

Root MSE = 2037.1129

price | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-+

weight | 6.15521 1.041149 5.91 0.000 4.073303 8.237116

length | -100.9268 34.91649 -2.89 0.005 -170.7466 -31.10692

foreign | 3394.052 807.7009 4.20 0.000 1778.954 5009.149

_cons | 5453.782 3953.05 1.38 0.173 -2450.831 13358.39

-+

rep78 | F(4, 61) = 0.261 0.902 (5 categories)

Stata代码：

^{pr2}$