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Estimate 2 Model Data

The document reports the results of panel least squares, fixed effects, random effects, and Hausman tests on a dataset with a dependent variable Y and independent variables X1, X2, and X3 across 4 cross-sections over 16 time periods. The random effects model is preferred to the fixed effects model according to the Hausman test. The coefficients on X1 and X2 differ significantly between the fixed and random effects models while the coefficient on X3 does not.

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Cynthia Devi
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27 views4 pages

Estimate 2 Model Data

The document reports the results of panel least squares, fixed effects, random effects, and Hausman tests on a dataset with a dependent variable Y and independent variables X1, X2, and X3 across 4 cross-sections over 16 time periods. The random effects model is preferred to the fixed effects model according to the Hausman test. The coefficients on X1 and X2 differ significantly between the fixed and random effects models while the coefficient on X3 does not.

Uploaded by

Cynthia Devi
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as DOCX, PDF, TXT or read online on Scribd
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Dependent Variable: Y

Method: Panel Least Squares


Date: 04/11/23 Time: 00:32
Sample: 2019Q1 2022Q4
Periods included: 16
Cross-sections included: 4
Total panel (balanced) observations: 64

Variable Coefficient Std. Error t-Statistic Prob.

C 7989.445 784.0310 10.19022 0.0000


X1 -107767.9 68327.77 -1.577220 0.1200
X2 25157.63 10791.66 2.331211 0.0231
X3 -495.8237 74.15321 -6.686476 0.0000

R-squared 0.561394 Mean dependent var 4857.344


Adjusted R-squared 0.539464 S.D. dependent var 2528.503
S.E. of regression 1715.914 Akaike info criterion 17.79374
Sum squared resid 1.77E+08 Schwarz criterion 17.92867
Log likelihood -565.3997 Hannan-Quinn criter. 17.84690
F-statistic 25.59900 Durbin-Watson stat 0.360823
Prob(F-statistic) 0.000000

Dependent Variable: Y
Method: Panel Least Squares
Date: 04/11/23 Time: 00:33
Sample: 2019Q1 2022Q4
Periods included: 16
Cross-sections included: 4
Total panel (balanced) observations: 64

Variable Coefficient Std. Error t-Statistic Prob.

C 5737.958 977.9009 5.867628 0.0000


X1 -4465.732 47470.88 -0.094073 0.9254
X2 14056.38 7378.122 1.905143 0.0618
X3 -232.1883 115.5100 -2.010115 0.0492

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.812473 Mean dependent var 4857.344


Adjusted R-squared 0.792733 S.D. dependent var 2528.503
S.E. of regression 1151.141 Akaike info criterion 17.03781
Sum squared resid 75532147 Schwarz criterion 17.27394
Log likelihood -538.2100 Hannan-Quinn criter. 17.13084
F-statistic 41.15932 Durbin-Watson stat 0.662975
Prob(F-statistic) 0.000000
Dependent Variable: Y
Method: Panel EGLS (Cross-section random effects)
Date: 04/11/23 Time: 00:35
Sample: 2019Q1 2022Q4
Periods included: 16
Cross-sections included: 4
Total panel (balanced) observations: 64
Swamy and Arora estimator of component variances

Variable Coefficient Std. Error t-Statistic Prob.

C 7989.445 525.9764 15.18974 0.0000


X1 -107767.9 45838.48 -2.351036 0.0220
X2 25157.63 7239.710 3.474951 0.0010
X3 -495.8237 49.74655 -9.966997 0.0000

Effects Specification
S.D. Rho

Cross-section random 0.000433 0.0000


Idiosyncratic random 1151.141 1.0000

Weighted Statistics

R-squared 0.561394 Mean dependent var 4857.344


Adjusted R-squared 0.539464 S.D. dependent var 2528.503
S.E. of regression 1715.914 Sum squared resid 1.77E+08
F-statistic 25.59900 Durbin-Watson stat 0.360823
Prob(F-statistic) 0.000000

Unweighted Statistics

R-squared 0.561394 Mean dependent var 4857.344


Sum squared resid 1.77E+08 Durbin-Watson stat 0.360823
Redundant Fixed Effects Tests
Equation: Untitled
Test cross-section fixed effects

Effects Test Statistic d.f. Prob.

Cross-section F 25.438975 (3,57) 0.0000


Cross-section Chi-square 54.379386 3 0.0000

Cross-section fixed effects test equation:


Dependent Variable: Y
Method: Panel Least Squares
Date: 04/11/23 Time: 00:34
Sample: 2019Q1 2022Q4
Periods included: 16
Cross-sections included: 4
Total panel (balanced) observations: 64

Variable Coefficient Std. Error t-Statistic Prob.

C 7989.445 784.0310 10.19022 0.0000


X1 -107767.9 68327.77 -1.577220 0.1200
X2 25157.63 10791.66 2.331211 0.0231
X3 -495.8237 74.15321 -6.686476 0.0000

R-squared 0.561394 Mean dependent var 4857.344


Adjusted R-squared 0.539464 S.D. dependent var 2528.503
S.E. of regression 1715.914 Akaike info criterion 17.79374
Sum squared resid 1.77E+08 Schwarz criterion 17.92867
Log likelihood -565.3997 Hannan-Quinn criter. 17.84690
F-statistic 25.59900 Durbin-Watson stat 0.360823
Prob(F-statistic) 0.000000
Correlated Random Effects - Hausman Test
Equation: Untitled
Test cross-section random effects

Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob.

Cross-section random 76.316924 3 0.0000

Cross-section random effects test comparisons:

Variable Fixed Random Var(Diff.) Prob.

X1 -4465.73... -107767.9... 152317598... 0.0000


X2 14056.37... 25157.633... 2023291.7... 0.0000
X3 -232.188340 -495.823668 10867.835... 0.0114

Cross-section random effects test equation:


Dependent Variable: Y
Method: Panel Least Squares
Date: 04/11/23 Time: 00:35
Sample: 2019Q1 2022Q4
Periods included: 16
Cross-sections included: 4
Total panel (balanced) observations: 64

Variable Coefficient Std. Error t-Statistic Prob.

C 5737.958 977.9009 5.867628 0.0000


X1 -4465.732 47470.88 -0.094073 0.9254
X2 14056.38 7378.122 1.905143 0.0618
X3 -232.1883 115.5100 -2.010115 0.0492

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.812473 Mean dependent var 4857.344


Adjusted R-squared 0.792733 S.D. dependent var 2528.503
S.E. of regression 1151.141 Akaike info criterion 17.03781
Sum squared resid 75532147 Schwarz criterion 17.27394
Log likelihood -538.2100 Hannan-Quinn criter. 17.13084
F-statistic 41.15932 Durbin-Watson stat 0.662975
Prob(F-statistic) 0.000000

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