[Limdep Nlogit List] Some help to confirm which output to use for a two way fixed / random effects panel data test

Darren Lee d.lee at business.uq.edu.au
Thu Nov 25 17:28:08 EST 2010


Sorry the attached limdep output file did not come through. I have now added to the body of the email.
 
 
Hi Everyone,
 
I wanted to confirm that I was on the right track. I have a two way fixed and random effects panel data model as per section E11.10 of the manual. There are firm and time effects. The model specifications and output are below. I believe that the output that should be reported given the below results is for the fixed effects (least squares) model with Group and Period Effects. Am I correct in forming this conclusion? If not - could you please let me know why?
 
Thanks in advance.
 
cheers,

Darren
 
--> SKIP

--> REGRESS;Lhs=EXMRET;Rhs=ONE,TOTALCOM,LNMKTCAP,LNBTM_T_,PR1YRAVR

,AV_SHTUR,LNFIRMAG,FTSE,BETA;Het;Panel;Str=_STRATUM;Period=DATE$

--------------------------------------------------------------

Deleted 555 observations with missing data. N is now 9173

--------------------------------------------------------------

------------------------------------------------------------------

OLS Without Group Dummy Variables.................

Ordinary least squares regression ............

LHS=EXMRET Mean = .00894

Standard deviation = .08897

Number of observs. = 9173

Model size Parameters = 9

Degrees of freedom = 9164

Residuals Sum of squares = 71.50156

Standard error of e = .08833

Fit R-squared = .01509

Adjusted R-squared = .01423

Model test F[ 8, 9164] (prob) = 17.5(.0000)

Diagnostic Log likelihood = 9248.32521

Restricted(b=0) = 9178.59048

Chi-sq [ 8] (prob) = 139.5(.0000)

Info criter. LogAmemiya Prd. Crt. = -4.85234

Akaike Info. Criter. = -4.85234

Bayes Info. Criter. = -4.84535

Model was estimated on Nov 19, 2010 at 07:04:14 PM

Panel Data Analysis of EXMRET [ONE way]

Unconditional ANOVA (No regressors)

Source Variation Deg. Free. Mean Square

Between 3.21559 205. .01569

Residual 69.38142 8967. .00774

Total 72.59700 9172. .00792

--------+---------------------------------------------------------

| Standard Prob. Mean

EXMRET| Coefficient Error z z>|Z| of X

--------+---------------------------------------------------------

TOTALCOM| .00022*** .5697D-04 3.85 .0001 44.8753

LNMKTCAP| -.00613*** .00101 -6.07 .0000 8.06782

LNBTM_T_| .00445*** .00119 3.75 .0002 -.88314

PR1YRAVR| .01448 .03566 .41 .6846 .00834

AV_SHTUR|-.50313D-08 .3410D-07 -.15 .8827 12789.9

LNFIRMAG| -.00374*** .00130 -2.87 .0041 8.96880

FTSE| -.01160*** .00242 -4.79 .0000 .81849

BETA| .00522*** .00111 4.69 .0000 1.10322

Constant| .08972*** .01289 6.96 .0000

--------+---------------------------------------------------------

Note: nnnnn.D-xx or D+xx => multiply by 10 to -xx or +xx.

Note: ***, **, * ==> Significance at 1%, 5%, 10% level.

------------------------------------------------------------------

?

------------------------------------------------------------------

Least Squares with Group Dummy Variables..........

Ordinary least squares regression ............

LHS=EXMRET Mean = .00894

Standard deviation = .08897

Number of observs. = 9173

Model size Parameters = 214

Degrees of freedom = 8959

Residuals Sum of squares = 67.00956

Standard error of e = .08648

Fit R-squared = .07697

Adjusted R-squared = .05502

Model test F[213, 8959] (prob) = 3.5(.0000)

Diagnostic Log likelihood = 9545.91564

Restricted(b=0) = 9178.59048

Chi-sq [213] (prob) = 734.7(.0000)

Info criter. LogAmemiya Prd. Crt. = -4.87252

Akaike Info. Criter. = -4.87253

Bayes Info. Criter. = -4.70633

Model was estimated on Nov 19, 2010 at 07:04:14 PM

Estd. Autocorrelation of e(i,t) = .033680

White/Hetero. corrected covariance matrix was used

Panel:Groups Empty 0, Valid data 206

Smallest 2, Largest 70

Average group size in panel 44.53

--------+---------------------------------------------------------

| Standard Prob. Mean

EXMRET| Coefficient Error z z>|Z| of X

--------+---------------------------------------------------------

TOTALCOM| .00049*** .00012 4.11 .0000 44.8753

LNMKTCAP| -.04231*** .00518 -8.18 .0000 8.06782

LNBTM_T_| .01810*** .00351 5.15 .0000 -.88314

PR1YRAVR| .25435*** .07431 3.42 .0006 .00834

AV_SHTUR|-.27747D-06** .1159D-06 -2.39 .0167 12789.9

LNFIRMAG| -.01650 .01163 -1.42 .1562 8.96880

FTSE| -.00738* .00407 -1.81 .0698 .81849

BETA| .00442*** .00171 2.59 .0096 1.10322

--------+---------------------------------------------------------

Note: nnnnn.D-xx or D+xx => multiply by 10 to -xx or +xx.

Note: ***, **, * ==> Significance at 1%, 5%, 10% level.

------------------------------------------------------------------

+--------------------------------------------------------------------+

| Test Statistics for the Classical Model |

+--------------------------------------------------------------------+

| Model Log-Likelihood Sum of Squares R-squared |

|(1) Constant term only 9178.59061 72.59700 .00000 |

|(2) Group effects only 9386.38014 69.38142 .04429 |

|(3) X - variables only 9248.32535 71.50156 .01509 |

|(4) X and group effects 9545.91578 67.00956 .07697 |

+--------------------------------------------------------------------+

| Hypothesis Tests |

| Likelihood Ratio Test F Tests |

| Chi-squared d.f. Prob F num denom P value |

|(2) vs (1) 415.58 205 .0000 2.03 205 8967 .00000 |

|(3) vs (1) 139.47 8 .0000 17.55 8 9164 .00000 |

|(4) vs (1) 734.65 213 .0000 3.51 213 8959 .00000 |

|(4) vs (2) 319.07 8 .0000 39.64 8 8959 .00000 |

|(4) vs (3) 595.18 205 .0000 2.93 205 8959 .00000 |

+--------------------------------------------------------------------+

------------------------------------------------------------------

Random Effects Model: v(i,t) = e(i,t) + u(i)

Estimates: Var[e] = .007480

Var[u] = .000323

Corr[v(i,t),v(i,s)] = .041379

Lagrange Multiplier Test vs. Model (3) = 10.74

( 1 degrees of freedom, prob. value = .001049)

(High values of LM favor FEM/REM over CR model)

Baltagi-Li form of LM Statistic = 3.13

Moulton/Randolph form:SLM N[0,1]= 3.78

Fixed vs. Random Effects (Hausman) = .00

( 8 degrees of freedom, prob. value = 1.000000)

(High (low) values of H favor F.E.(R.E.) model)

Sum of Squares 72.073697

R-squared .007228

--------+---------------------------------------------------------

| Standard Prob. Mean

EXMRET| Coefficient Error z z>|Z| of X

--------+---------------------------------------------------------

TOTALCOM| .00030*** .7962D-04 3.73 .0002 44.8753

LNMKTCAP| -.01139*** .00157 -7.24 .0000 8.06782

LNBTM_T_| .00936*** .00171 5.47 .0000 -.88314

PR1YRAVR| .03546 .03852 .92 .3572 .00834

AV_SHTUR|-.90188D-08 .5491D-07 -.16 .8695 12789.9

LNFIRMAG| -.00522** .00212 -2.46 .0138 8.96880

FTSE| -.01373*** .00328 -4.19 .0000 .81849

BETA| .00496*** .00121 4.09 .0000 1.10322

Constant| .14778*** .02006 7.37 .0000

--------+---------------------------------------------------------

Note: nnnnn.D-xx or D+xx => multiply by 10 to -xx or +xx.

Note: ***, **, * ==> Significance at 1%, 5%, 10% level.

------------------------------------------------------------------

?

------------------------------------------------------------------

Least Squares with Group and Period Effects.......

Ordinary least squares regression ............

LHS=EXMRET Mean = .00894

Standard deviation = .08897

Number of observs. = 9173

Model size Parameters = 284

Degrees of freedom = 8889

Residuals Sum of squares = 51.99512

Standard error of e = .07648

Fit R-squared = .28370

Adjusted R-squared = .26090

Model test F[283, 8889] (prob) = 12.4(.0000)

Diagnostic Log likelihood = 10709.44372

Restricted(b=0) = 9178.59048

Chi-sq [283] (prob) = 3061.7(.0000)

Info criter. LogAmemiya Prd. Crt. = -5.11093

Akaike Info. Criter. = -5.11095

Bayes Info. Criter. = -4.89039

Model was estimated on Nov 19, 2010 at 07:04:15 PM

Estd. Autocorrelation of e(i,t) = -.009535

Panel:Groups Empty 0, Valid data 206

Smallest 2, Largest 70

Average group size in panel 44.53

Panel: Prds: Empty 0, Valid data 70

Smallest 0, Largest 169

Average group size in panel 131.04

--------+---------------------------------------------------------

| Standard Prob. Mean

EXMRET| Coefficient Error z z>|Z| of X

--------+---------------------------------------------------------

TOTALCOM| .58983D-04 .00012 .51 .6118 44.8753

LNMKTCAP| -.03045*** .00430 -7.09 .0000 8.06782

LNBTM_T_| .02281*** .00280 8.15 .0000 -.88314

PR1YRAVR| .07127 .05225 1.36 .1726 .00834

AV_SHTUR|-.22719D-06*** .8059D-07 -2.82 .0048 12789.9

LNFIRMAG| -.01927** .00961 -2.00 .0451 8.96880

FTSE| .00334 .00416 .80 .4219 .81849

BETA| .00268** .00119 2.26 .0238 1.10322

Constant| .44154*** .08954 4.93 .0000

--------+---------------------------------------------------------

Note: nnnnn.D-xx or D+xx => multiply by 10 to -xx or +xx.

Note: ***, **, * ==> Significance at 1%, 5%, 10% level.

------------------------------------------------------------------

+--------------------------------------------------------------------+

| Test Statistics for the Classical Model |

+--------------------------------------------------------------------+

| Model Log-Likelihood Sum of Squares R-squared |

|(1) Constant term only 9178.59061 72.59700 .00000 |

|(2) Group effects only 9386.38014 69.38142 .04429 |

|(3) X - variables only 9248.32535 71.50156 .01509 |

|(4) X and group effects 9545.91578 67.00956 .07697 |

|(5) X ind.&time effects 10708.92791 52.00097 .28370 |

+--------------------------------------------------------------------+

| Hypothesis Tests |

| Likelihood Ratio Test F Tests |

| Chi-squared d.f. Prob F num denom P value |

|(2) vs (1) 415.58 205 .0000 2.03 205 8967 .00000 |

|(3) vs (1) 139.47 8 .0000 17.55 8 9164 .00000 |

|(4) vs (1) 734.65 213 .0000 3.51 213 8959 .00000 |

|(4) vs (2) 319.07 8 .0000 39.64 8 8959 .00000 |

|(4) vs (3) 595.18 205 .0000 2.93 205 8959 .00000 |

|(5) vs (4) 2326.02 69 .0000 37.19 69 8890 .00000 |

|(5) vs (3) 2921.21 275 .0000 12.12 275 8890 .00000 |

+--------------------------------------------------------------------+

------------------------------------------------------------------

Random Effects Model: v(i,t) = e(i,t)+u(i)+w(t)

Estimates: Var[e] = .005849

Var[u] = .002790

Corr[v(i,t),v(i,s)] = .322939

Var[w] = .001606

Corr[v(i,t),v(j,t)] = .215455

Lagrange Multiplier Test vs. Model (3) =*******

( 2 degrees of freedom, prob. value = .000000)

(High values of LM favor FEM/REM over CR model)

Fixed vs. Random Effects (Hausman) = 62.19

( 8 degrees of freedom, prob. value = .000000)

(High (low) values of H favor F.E.(R.E.) model)

Sum of Squares 72.073697

R-squared .007228

--------+---------------------------------------------------------

| Standard Prob. Mean

EXMRET| Coefficient Error z z>|Z| of X

--------+---------------------------------------------------------

TOTALCOM| .00023** .00010 2.33 .0199 44.8753

LNMKTCAP| -.01384*** .00261 -5.30 .0000 8.06782

LNBTM_T_| .01920*** .00240 8.01 .0000 -.88314

PR1YRAVR| -.03707 .04634 -.80 .4238 .00834

AV_SHTUR|-.11910D-06 .7270D-07 -1.64 .1014 12789.9

LNFIRMAG| -.00857** .00430 -1.99 .0461 8.96880

FTSE| .00220 .00387 .57 .5693 .81849

BETA| .00267** .00116 2.30 .0217 1.10322

Constant| .19762*** .03991 4.95 .0000

--------+---------------------------------------------------------

Note: nnnnn.D-xx or D+xx => multiply by 10 to -xx or +xx.

Note: ***, **, * ==> Significance at 1%, 5%, 10% level.

------------------------------------------------------------------

 
 
 
Best Regards,

Darren Lee, PhD
Lecturer in Finance
UQ Business School
The University of Queensland
Room 328,Colin Clark Blg
St Lucia, Blair Drive
Queensland, Australia 4072
PH: 61 7 33468048
Fax: 61 7 33468166
Email: d.lee2 at uq.edu.au
Website: www.business.uq.edu.au/display/teach/Darren+Lee <https://exchange.uq.edu.au/exchweb/bin/redir.asp?URL=http://www.business.uq.edu.au/display/teach/Darren%2BLee> 

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