天鷹(中南財大——博士研究生)
E-mail: [yanbinglh@163.com]
最近在利用STATA跑回歸的過程中诡延,發(fā)現(xiàn)了一個問題驻子,在利用reg和xtreg這兩個命令做單向固定效應(yīng)模型時,出現(xiàn)了相同的結(jié)果磺陡。原本的認識是利用reg添加虛擬變量的形式能夠?qū)崿F(xiàn)個體固定袱衷、時間固定以及個體時間雙向固定酣藻,而xtreg,fe實現(xiàn)的是個體時間雙向固定,在錯誤的認知下程储,發(fā)現(xiàn)reg i.id和xtreg,fe跑出的結(jié)果竟然完全一致蹭沛,這是不應(yīng)該有的結(jié)果,產(chǎn)生這樣的結(jié)果也促使自己再次追本溯源章鲤,一步步發(fā)現(xiàn)問題所在摊灭。
- 接下來,本文利用本人論文中的相關(guān)數(shù)據(jù)败徊,對上述問題進行演示帚呼,同時,進一步匯總單向皱蹦、雙向以及多維固定效應(yīng)的相關(guān)命令煤杀,以便對上述問題有一個更全面認識。
- 我們在論文中經(jīng)常會見到列示OLS沪哺、隨機效應(yīng)沈自、個體固定、時間固定以及雙向固定的回歸結(jié)果辜妓,那么對于面板數(shù)據(jù)來說枯途,常用的相關(guān)命令無非是reg忌怎、xtreg等。
1.xtreg(官方命令)
xtreg,fe是固定效應(yīng)模型的官方命令柔袁,使用這一命令估計出來的系數(shù)是最為純正的固定效應(yīng)估計量(組內(nèi)估計量)呆躲。xtreg對數(shù)據(jù)格式有嚴格要求,要求必須是面板數(shù)據(jù)捶索,在使用xtreg命令之前插掂,我們首先需要使用xtset命令進行面板數(shù)據(jù)聲明,定義截面(個體)維度和時間維度腥例。
在xtreg命令后加上選項fe辅甥,那就表示使用固定效應(yīng)組內(nèi)估計方法進行估計,并且默認為個體固定效應(yīng)燎竖,定義在xtset所設(shè)定的截面維度上璃弄。如果要進行時間固定,則需要在模型中通過i.year引入虛擬變量來表示构回。
結(jié)果演示:
xtreg rca_gvc l.ai lncd lnpi lnsize lnimr ,fe / / 個體固定效應(yīng)
Fixed-effects (within) regression Number of obs = 238
Group variable: id Number of groups = 17
R-sq: Obs per group:
within = 0.1593 min = 14
between = 0.0173 avg = 14.0
overall = 0.0205 max = 14
F(5,216) = 8.18
corr(u_i, Xb) = -0.3699 Prob > F = 0.0000
------------------------------------------------------------------------------
rca_gvc | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
ai |
L1. | .3066382 .0959536 3.20 0.002 .1175129 .4957634
|
lncd | -.1003965 .0677319 -1.48 0.140 -.2338966 .0331035
lnpi | -.1923152 .0942642 -2.04 0.043 -.3781107 -.0065197
lnsize | .1256957 .0444703 2.83 0.005 .0380445 .213347
lnimr | .1070733 .0641571 1.67 0.097 -.0193809 .2335275
_cons | 1.741834 .4940647 3.53 0.001 .7680291 2.71564
-------------+----------------------------------------------------------------
sigma_u | .67217532
sigma_e | .14649365
rho | .95465604 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(16, 216) = 174.47 Prob > F = 0.0000
- 如果是雙向固定夏块,命令如下:
xtreg rca_gvc l.ai lncd lnpi lnsize lnimr i.year ,fe / / 個體時間雙固定效應(yīng)
結(jié)果如下:
Fixed-effects (within) regression Number of obs = 238
Group variable: id Number of groups = 17
R-sq: Obs per group:
within = 0.2555 min = 14
between = 0.0006 avg = 14.0
overall = 0.0000 max = 14
F(18,203) = 3.87
corr(u_i, Xb) = -0.6814 Prob > F = 0.0000
------------------------------------------------------------------------------
rca_gvc | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
ai |
L1. | .479147 .106974 4.48 0.000 .2682243 .6900697
|
lncd | .229894 .1027937 2.24 0.026 .0272137 .4325743
lnpi | -.1892991 .1000526 -1.89 0.060 -.3865747 .0079765
lnsize | .3399658 .0713975 4.76 0.000 .19919 .4807415
lnimr | .0390783 .0704173 0.55 0.580 -.0997648 .1779214
|
year |
2002 | -.0395395 .050029 -0.79 0.430 -.1381826 .0591036
2003 | -.059694 .0540411 -1.10 0.271 -.166248 .0468599
2004 | -.1355244 .0630919 -2.15 0.033 -.2599239 -.011125
2005 | -.1629442 .0714925 -2.28 0.024 -.3039073 -.0219811
2006 | -.2361056 .0885851 -2.67 0.008 -.4107705 -.0614407
2007 | -.3275978 .1047054 -3.13 0.002 -.5340475 -.1211481
2008 | -.3937222 .123663 -3.18 0.002 -.6375509 -.1498935
2009 | -.4627217 .1311296 -3.53 0.001 -.7212724 -.2041711
2010 | -.5822361 .1501323 -3.88 0.000 -.8782549 -.2862174
2011 | -.6646753 .1765024 -3.77 0.000 -1.012688 -.3166623
2012 | -.7010857 .1884788 -3.72 0.000 -1.072713 -.3294585
2013 | -.7910881 .2010942 -3.93 0.000 -1.187589 -.3945869
2014 | -.894121 .2109027 -4.24 0.000 -1.309962 -.4782801
|
_cons | -1.021565 .9437412 -1.08 0.280 -2.882358 .8392272
-------------+----------------------------------------------------------------
sigma_u | .8650854
sigma_e | .14220283
rho | .9736901 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(16, 203) = 182.56 Prob > F = 0.0000
- 其實,對于上述結(jié)果纤掸,完全可以利用reg添加虛擬變量的形式進行實現(xiàn)脐供。
- 利用reg實現(xiàn)個體固定效應(yīng),命令和結(jié)果如下:
reg rca_gvc l.ai lncd lnpi lnsize lnimr i.id / / 個體固定效應(yīng)
Source | SS df MS Number of obs = 238
-------------+---------------------------------- F(21, 216) = 198.11
Model | 89.2834348 21 4.25159213 Prob > F = 0.0000
Residual | 4.63544423 216 .02146039 R-squared = 0.9506
-------------+---------------------------------- Adj R-squared = 0.9458
Total | 93.918879 237 .39628219 Root MSE = .14649
------------------------------------------------------------------------------
rca_gvc | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
ai |
L1. | .3066382 .0959536 3.20 0.002 .1175129 .4957634
|
lncd | -.1003965 .0677319 -1.48 0.140 -.2338966 .0331035
lnpi | -.1923152 .0942642 -2.04 0.043 -.3781107 -.0065197
lnsize | .1256957 .0444703 2.83 0.005 .0380445 .213347
lnimr | .1070733 .0641571 1.67 0.097 -.0193809 .2335275
|
id |
2 | 1.882314 .1139589 16.52 0.000 1.6577 2.106928
3 | .9406015 .1224498 7.68 0.000 .6992519 1.181951
4 | .8582898 .127059 6.76 0.000 .6078555 1.108724
5 | -.0231274 .0606444 -0.38 0.703 -.1426579 .0964031
6 | .3334653 .1081376 3.08 0.002 .1203253 .5466053
7 | -.1342764 .1270614 -1.06 0.292 -.3847154 .1161625
8 | .0188374 .0861588 0.22 0.827 -.1509821 .188657
9 | -.7181154 .0702175 -10.23 0.000 -.8565147 -.5797161
10 | .3462213 .0788628 4.39 0.000 .1907822 .5016604
11 | .3725729 .0869125 4.29 0.000 .2012678 .543878
12 | .5364166 .0660762 8.12 0.000 .4061799 .6666532
13 | -.1958921 .0961684 -2.04 0.043 -.3854407 -.0063436
14 | -.8969968 .1289829 -6.95 0.000 -1.151223 -.6427706
15 | .020054 .1922435 0.10 0.917 -.3588594 .3989674
16 | -.5532008 .266913 -2.07 0.039 -1.079288 -.0271133
17 | -.2964652 .0828788 -3.58 0.000 -.45982 -.1331104
|
_cons | 1.595323 .5000321 3.19 0.002 .6097556 2.58089
------------------------------------------------------------------------------
2.reg
- 利用reg實現(xiàn)個體時間雙固定效應(yīng)借跪,命令和結(jié)果如下:
. reg rca_gvc l.ai lncd lnpi lnsize lnimr i.id i.year / / 個體時間雙固定效應(yīng)
Source | SS df MS Number of obs = 238
-------------+---------------------------------- F(34, 203) = 130.63
Model | 89.8138851 34 2.64158486 Prob > F = 0.0000
Residual | 4.10499394 203 .020221645 R-squared = 0.9563
-------------+---------------------------------- Adj R-squared = 0.9490
Total | 93.918879 237 .39628219 Root MSE = .1422
------------------------------------------------------------------------------
rca_gvc | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
ai |
L1. | .479147 .106974 4.48 0.000 .2682243 .6900697
|
lncd | .229894 .1027937 2.24 0.026 .0272137 .4325743
lnpi | -.1892991 .1000526 -1.89 0.060 -.3865747 .0079765
lnsize | .3399658 .0713975 4.76 0.000 .19919 .4807415
lnimr | .0390783 .0704173 0.55 0.580 -.0997648 .1779214
|
id |
2 | 2.306169 .1521725 15.15 0.000 2.006128 2.606211
3 | 1.299284 .1397215 9.30 0.000 1.023792 1.574775
4 | 1.412836 .1691219 8.35 0.000 1.079375 1.746297
5 | .0287146 .0607942 0.47 0.637 -.0911544 .1485837
6 | .8257237 .1478991 5.58 0.000 .5341082 1.117339
7 | -.4835427 .1427926 -3.39 0.001 -.7650895 -.2019959
8 | -.1414247 .0902781 -1.57 0.119 -.3194277 .0365783
9 | -.6196797 .0711185 -8.71 0.000 -.7599054 -.4794541
10 | .4309111 .081576 5.28 0.000 .2700661 .5917561
11 | .3707501 .0894323 4.15 0.000 .1944148 .5470854
12 | .344849 .0791605 4.36 0.000 .1887668 .5009312
13 | -.080348 .1029481 -0.78 0.436 -.2833327 .1226366
14 | -1.006378 .1339116 -7.52 0.000 -1.270414 -.7423421
15 | .1569042 .2019668 0.78 0.438 -.2413176 .555126
16 | -1.03071 .2875253 -3.58 0.000 -1.597629 -.4637909
17 | .35005 .1753643 2.00 0.047 .0042808 .6958191
|
year |
2002 | -.0395395 .050029 -0.79 0.430 -.1381826 .0591036
2003 | -.059694 .0540411 -1.10 0.271 -.166248 .0468599
2004 | -.1355244 .0630919 -2.15 0.033 -.2599239 -.011125
2005 | -.1629442 .0714925 -2.28 0.024 -.3039073 -.0219811
2006 | -.2361056 .0885851 -2.67 0.008 -.4107705 -.0614407
2007 | -.3275978 .1047054 -3.13 0.002 -.5340475 -.1211481
2008 | -.3937222 .123663 -3.18 0.002 -.6375509 -.1498935
2009 | -.4627217 .1311296 -3.53 0.001 -.7212724 -.2041711
2010 | -.5822361 .1501323 -3.88 0.000 -.8782549 -.2862174
2011 | -.6646753 .1765024 -3.77 0.000 -1.012688 -.3166623
2012 | -.7010857 .1884788 -3.72 0.000 -1.072713 -.3294585
2013 | -.7910881 .2010942 -3.93 0.000 -1.187589 -.3945869
2014 | -.894121 .2109027 -4.24 0.000 -1.309962 -.4782801
|
_cons | -1.266513 .9626042 -1.32 0.190 -3.164498 .6314721
------------------------------------------------------------------------------
- 但是由上述回歸結(jié)果可以發(fā)現(xiàn)政己,結(jié)果中會一并呈現(xiàn)出個體或者時間虛擬變量的結(jié)果,給人產(chǎn)生冗余感掏愁,那么另一個命令可以很好解決這個問題歇由,即areg,absorb(),不想出現(xiàn)個體或時間虛擬變量果港,只需在absorb()中添加對應(yīng)的類別變量即可沦泌。
3.areg
對應(yīng)的命令和結(jié)果演示如下:
. areg rca_gvc l.ai lncd lnpi lnsize lnimr i.id , absorb(year)
Linear regression, absorbing indicators Number of obs = 238
F( 21, 203) = 210.60
Prob > F = 0.0000
R-squared = 0.9563
Adj R-squared = 0.9490
Root MSE = 0.1422
------------------------------------------------------------------------------
rca_gvc | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
ai |
L1. | .479147 .106974 4.48 0.000 .2682243 .6900697
|
lncd | .229894 .1027937 2.24 0.026 .0272137 .4325743
lnpi | -.1892991 .1000526 -1.89 0.060 -.3865747 .0079765
lnsize | .3399658 .0713975 4.76 0.000 .19919 .4807415
lnimr | .0390783 .0704173 0.55 0.580 -.0997648 .1779214
|
id |
2 | 2.306169 .1521725 15.15 0.000 2.006128 2.606211
3 | 1.299284 .1397215 9.30 0.000 1.023792 1.574775
4 | 1.412836 .1691219 8.35 0.000 1.079375 1.746297
5 | .0287146 .0607942 0.47 0.637 -.0911544 .1485837
6 | .8257237 .1478991 5.58 0.000 .5341082 1.117339
7 | -.4835427 .1427926 -3.39 0.001 -.7650895 -.2019959
8 | -.1414247 .0902781 -1.57 0.119 -.3194277 .0365783
9 | -.6196797 .0711185 -8.71 0.000 -.7599054 -.4794541
10 | .4309111 .081576 5.28 0.000 .2700661 .5917561
11 | .3707501 .0894323 4.15 0.000 .1944148 .5470854
12 | .344849 .0791605 4.36 0.000 .1887668 .5009312
13 | -.080348 .1029481 -0.78 0.436 -.2833327 .1226366
14 | -1.006378 .1339116 -7.52 0.000 -1.270414 -.7423421
15 | .1569042 .2019668 0.78 0.438 -.2413176 .555126
16 | -1.03071 .2875253 -3.58 0.000 -1.597629 -.4637909
17 | .35005 .1753643 2.00 0.047 .0042808 .6958191
|
_cons | -1.655874 1.052143 -1.57 0.117 -3.730405 .4186569
-------------+----------------------------------------------------------------
year | F(13, 203) = 2.018 0.021 (14 categories)
但是這對于兩個分類固定效應(yīng)還好,但是如果多維控制辛掠,那么使用areg,absorb()也不是很方便赦肃,這時候,一個解決上述問題的外部命令就應(yīng)運而生reghdfe,absorb()公浪。
4.reghdfe
reghdfe 主要用于實現(xiàn)多維固定效應(yīng)線性回歸他宛。有些時候,我們需要控制多個維度(如城市-行業(yè)-年度)的固定效應(yīng)欠气,xtreg等命令也OK厅各,但運行速度會很慢,reghdfe解決的就是這一痛點预柒,其在運行速度方面遠遠優(yōu)于xtreg等命令队塘。reghdfe是一個外部命令袁梗,作者是Sergio Correia,在使用之前需要安裝(ssc install reghdfe)憔古。
reghdfe命令可以包含多維固定效應(yīng)遮怜,只需 absorb (var1,var2,...),不需要使用i.var的方式引入虛擬變量鸿市,相比xtreg等命令方便許多锯梁,并且不會匯報一大長串虛擬變量回歸結(jié)果,我個人也最為推薦這一命令焰情。
- 利用reghdfe實現(xiàn)上述個體時間雙向固定效應(yīng)命令和結(jié)果如下:
. reghdfe rca_gvc l.ai lncd lnpi lnsize lnimr ,absorb(year id) / / 個體時間雙向固定
(converged in 3 iterations)
HDFE Linear regression Number of obs = 238
Absorbing 2 HDFE groups F( 5, 203) = 10.16
Prob > F = 0.0000
R-squared = 0.9563
Adj R-squared = 0.9490
Within R-sq. = 0.2002
Root MSE = 0.1422
------------------------------------------------------------------------------
rca_gvc | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
ai |
L1. | .479147 .106974 4.48 0.000 .2682243 .6900697
|
lncd | .229894 .1027937 2.24 0.026 .0272137 .4325743
lnpi | -.1892991 .1000526 -1.89 0.060 -.3865747 .0079765
lnsize | .3399658 .0713975 4.76 0.000 .19919 .4807415
lnimr | .0390783 .0704173 0.55 0.580 -.0997648 .1779214
-------------+----------------------------------------------------------------
Absorbed | F(29, 203) = 103.061 0.000 (Joint test)
------------------------------------------------------------------------------
Absorbed degrees of freedom:
---------------------------------------------------------------+
Absorbed FE | Num. Coefs. = Categories - Redundant |
-------------+-------------------------------------------------|
year | 14 14 0 |
id | 16 17 1 |
---------------------------------------------------------------+
下面為大家總結(jié)了xtreg陌凳,reg,areg和reghdfe四個命令估計雙向固定效應(yīng)的方法内舟。
命令 | 個體效應(yīng) | 時間效應(yīng) | 個體時間雙效應(yīng) |
---|---|---|---|
xtreg | fe | i.year | i.year合敦,fe |
reg | i.id | i.year | i.id i.year |
areg | absorb(id) | i.year | i.year ,absorb(id) |
reghdfe | absorb(id) | absorb(year) | absorb( id year) |
- 讓我們看看xtreg,reg验游,areg和reghdfe四個命令的估計差別充岛。
esttab FE_xtreg FE_reg FE_areg FE_reghdfe ,b(%6.3f) se scalars(N r2) star(* 0.1 ** 0.05 *** 0.01) ///
> keep( L.ai lncd lnpi lnsize lnimr) nogaps mtitles("FE_xtreg" "FE_reg" "FE_areg" "FE_reghdfe")
----------------------------------------------------------------------------
(1) (2) (3) (4)
FE_xtreg FE_reg FE_areg FE_reghdfe
----------------------------------------------------------------------------
L.ai 0.479*** 0.479*** 0.479*** 0.479***
(0.107) (0.107) (0.107) (0.107)
lncd 0.230** 0.230** 0.230** 0.230**
(0.103) (0.103) (0.103) (0.103)
lnpi -0.189* -0.189* -0.189* -0.189*
(0.100) (0.100) (0.100) (0.100)
lnsize 0.340*** 0.340*** 0.340*** 0.340***
(0.071) (0.071) (0.071) (0.071)
lnimr 0.039 0.039 0.039 0.039
(0.070) (0.070) (0.070) (0.070)
----------------------------------------------------------------------------
N 238 238 238 238
r2 0.255 0.956 0.956 0.956
----------------------------------------------------------------------------
Standard errors in parentheses
* p<0.1, ** p<0.05, *** p<0.01
從匯總表格展示的回歸結(jié)果發(fā)現(xiàn),xtreg耕蝉,reg崔梗,areg和reghdfe四個命令估計的系數(shù)大小是一致的(有時標準誤會有略微差異,這個數(shù)據(jù)呈現(xiàn)的結(jié)果無差別)赔硫。
- 其中,xtreg和reghdfe命令估計得到的標準誤是一致的盐肃,它們背后的估計方法是固定效應(yīng)爪膊。
- 而reg和areg命令估計得到的標準誤是一致的,因為這兩個命令背后的估計方法是特殊的混合OLS(LSDV方法)砸王。