--------------------------------------------------------------------------------------------- log: C:\Documents and Settings\salon.CUOTAS\Escritorio\lab18oct05.log log type: text opened on: 18 Oct 2005, 16:24:35 . *** METODOS PANEL I *** VEAN EL LOG FILE DEL 3-MARZO-2005 PARA UNA MEJOR EXPLICACION: http://www.cide.edu/investigadores/aparicio/data/lab9_3mar05_xtreg.txt ********************************************************************** . **** MODELO OLS . reg saletax dem* aper* persinc* Source | SS df MS Number of obs = 1899 -------------+------------------------------ F( 7, 1891) = 204.23 Model | 17479705.8 7 2497100.83 Prob > F = 0.0000 Residual | 23120558.6 1891 12226.6307 R-squared = 0.4305 -------------+------------------------------ Adj R-squared = 0.4284 Total | 40600264.4 1898 21391.0771 Root MSE = 110.57 ------------------------------------------------------------------------------ saletax | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- dem1 | 113.9313 20.08464 5.67 0.000 74.54093 153.3217 demmaj1 | -6.92565 9.050813 -0.77 0.444 -24.67628 10.82498 demgov | 22.60368 5.672727 3.98 0.000 11.47821 33.72914 aper5_17 | 631.1162 104.9985 6.01 0.000 425.1911 837.0412 aper65 | 1013.272 139.3258 7.27 0.000 740.0234 1286.52 persinc | .0547826 .0046726 11.72 0.000 .0456187 .0639466 persinc2 | -1.14e-06 2.36e-07 -4.83 0.000 -1.60e-06 -6.78e-07 _cons | -424.4899 39.92531 -10.63 0.000 -502.7922 -346.1877 ------------------------------------------------------------------------------ . *** MODELO EFECTOS FIJOS -- metodo 1 . xtreg saletax dem* aper* persinc*, i(stcode) fe Fixed-effects (within) regression Number of obs = 1899 Group variable (i): stcode Number of groups = 49 R-sq: within = 0.8018 Obs per group: min = 17 between = 0.0187 avg = 38.8 overall = 0.3878 max = 40 F(7,1843) = 1065.25 corr(u_i, Xb) = -0.1865 Prob > F = 0.0000 ------------------------------------------------------------------------------ saletax | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- dem1 | 34.45893 13.90868 2.48 0.013 7.1805 61.73737 demmaj1 | -19.95615 4.581832 -4.36 0.000 -28.94227 -10.97002 demgov | 4.761186 2.653081 1.79 0.073 -.4421736 9.964546 aper5_17 | 668.7106 53.54331 12.49 0.000 563.6987 773.7225 aper65 | 1643.427 161.0067 10.21 0.000 1327.652 1959.202 persinc | .0427805 .0024385 17.54 0.000 .0379979 .047563 persinc2 | -3.30e-07 1.15e-07 -2.86 0.004 -5.56e-07 -1.03e-07 _cons | -393.4701 21.54799 -18.26 0.000 -435.7312 -351.2091 -------------+---------------------------------------------------------------- sigma_u | 114.39465 sigma_e | 49.656109 rho | .84145122 (fraction of variance due to u_i) ------------------------------------------------------------------------------ F test that all u_i=0: F(48, 1843) = 156.95 Prob > F = 0.0000 . *** MODELO EFECTOS FIJOS -- metodo 2 . *** Regresion ABSORBENTE . areg saletax dem* aper* persinc*, i(stcode) option absorb() required r(198); . areg saletax dem* aper* persinc*, abs(stcode) Number of obs = 1899 F( 7, 1843) = 1065.25 Prob > F = 0.0000 R-squared = 0.8881 Adj R-squared = 0.8847 Root MSE = 49.656 ------------------------------------------------------------------------------ saletax | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- dem1 | 34.45893 13.90868 2.48 0.013 7.1805 61.73737 demmaj1 | -19.95615 4.581832 -4.36 0.000 -28.94227 -10.97002 demgov | 4.761186 2.653081 1.79 0.073 -.4421736 9.964546 aper5_17 | 668.7106 53.54331 12.49 0.000 563.6987 773.7225 aper65 | 1643.427 161.0067 10.21 0.000 1327.652 1959.202 persinc | .0427805 .0024385 17.54 0.000 .0379979 .047563 persinc2 | -3.30e-07 1.15e-07 -2.86 0.004 -5.56e-07 -1.03e-07 _cons | -393.4701 21.54799 -18.26 0.000 -435.7312 -351.2091 -------------+---------------------------------------------------------------- stcode | F(48, 1843) = 156.953 0.000 (49 categories) . *** MODELO EFECTOS FIJOS -- 3er metodo . *** Introduciendo las dummies A MANITA.... . set matsize 500 . xi: reg saletax dem* aper* persinc* i.stcode i.stcode _Istcode_1-82 (naturally coded; _Istcode_1 omitted) Source | SS df MS Number of obs = 1899 -------------+------------------------------ F( 55, 1843) = 265.87 Model | 36055925.6 55 655562.284 Prob > F = 0.0000 Residual | 4544338.78 1843 2465.72913 R-squared = 0.8881 -------------+------------------------------ Adj R-squared = 0.8847 Total | 40600264.4 1898 21391.0771 Root MSE = 49.656 ------------------------------------------------------------------------------ saletax | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- dem1 | 34.45893 13.90868 2.48 0.013 7.1805 61.73737 demmaj1 | -19.95615 4.581832 -4.36 0.000 -28.94227 -10.97002 demgov | 4.761186 2.653081 1.79 0.073 -.4421736 9.964546 aper5_17 | 668.7106 53.54331 12.49 0.000 563.6987 773.7225 aper65 | 1643.427 161.0067 10.21 0.000 1327.652 1959.202 persinc | .0427805 .0024385 17.54 0.000 .0379979 .047563 persinc2 | -3.30e-07 1.15e-07 -2.86 0.004 -5.56e-07 -1.03e-07 _Istcode_2 | 37.62881 12.35372 3.05 0.002 13.40005 61.85756 _Istcode_3 | -152.6677 11.82488 -12.91 0.000 -175.8593 -129.4761 _Istcode_4 | -158.9435 11.78877 -13.48 0.000 -182.0643 -135.8228 _Istcode_5 | 1.125152 12.26904 0.09 0.927 -22.93753 25.18784 _Istcode_6 | -21.91711 12.13763 -1.81 0.071 -45.72205 1.887835 _Istcode_11 | -196.5588 11.52927 -17.05 0.000 -219.1706 -173.947 _Istcode_12 | -111.9941 11.13848 -10.05 0.000 -133.8394 -90.1487 _Istcode_13 | -139.687 11.27207 -12.39 0.000 -161.7944 -117.5796 _Istcode_14 | -44.22694 11.68579 -3.78 0.000 -67.14572 -21.30816 _Istcode_21 | -51.01436 11.29483 -4.52 0.000 -73.16637 -28.86234 _Istcode_22 | 1.859123 11.49173 0.16 0.871 -20.67905 24.39729 _Istcode_23 | -6.397795 11.30642 -0.57 0.572 -28.57253 15.77694 _Istcode_24 | -46.7237 11.32536 -4.13 0.000 -68.93559 -24.51182 _Istcode_25 | -72.87779 11.71739 -6.22 0.000 -95.85855 -49.89704 _Istcode_31 | -74.57721 12.62952 -5.90 0.000 -99.34687 -49.80754 _Istcode_32 | -71.19906 12.03621 -5.92 0.000 -94.80511 -47.59302 _Istcode_33 | -1.124937 14.67006 -0.08 0.939 -29.89663 27.64675 _Istcode_34 | -86.37446 12.44802 -6.94 0.000 -110.7882 -61.96076 _Istcode_35 | (dropped) _Istcode_36 | -4.218608 11.93369 -0.35 0.724 -27.62358 19.18636 _Istcode_37 | 18.82783 12.71401 1.48 0.139 -6.107544 43.76321 _Istcode_40 | -60.67236 12.08628 -5.02 0.000 -84.3766 -36.96811 _Istcode_41 | 45.48015 13.09069 3.47 0.001 19.80601 71.15429 _Istcode_42 | 13.99815 14.39088 0.97 0.331 -14.22599 42.22229 _Istcode_43 | 27.71653 13.91654 1.99 0.047 .4226815 55.01038 _Istcode_44 | 41.95403 12.37436 3.39 0.001 17.68478 66.22327 _Istcode_45 | 48.92878 12.6644 3.86 0.000 24.0907 73.76685 _Istcode_46 | 108.8409 13.62457 7.99 0.000 82.11966 135.5621 _Istcode_47 | 24.50319 12.11611 2.02 0.043 .7404412 48.26593 _Istcode_48 | 95.47146 12.42796 7.68 0.000 71.09709 119.8458 _Istcode_49 | -10.9979 12.26512 -0.90 0.370 -35.05288 13.05708 _Istcode_51 | 10.64688 12.35682 0.86 0.389 -13.58796 34.88172 _Istcode_52 | -38.06351 12.18647 -3.12 0.002 -61.96425 -14.16278 _Istcode_53 | -31.41015 12.70269 -2.47 0.013 -56.32332 -6.496982 _Istcode_54 | 63.69057 11.94877 5.33 0.000 40.25603 87.12511 _Istcode_56 | 134.4608 12.64422 10.63 0.000 109.6623 159.2594 _Istcode_61 | 75.5868 11.38605 6.64 0.000 53.25589 97.91772 _Istcode_62 | -49.39716 11.33811 -4.36 0.000 -71.63406 -27.16027 _Istcode_63 | -37.74671 11.63416 -3.24 0.001 -60.56423 -14.92919 _Istcode_64 | -141.4933 11.64098 -12.15 0.000 -164.3242 -118.6624 _Istcode_65 | 196.7921 12.36599 15.91 0.000 172.5392 221.0449 _Istcode_66 | 171.1541 11.81932 14.48 0.000 147.9735 194.3348 _Istcode_67 | 50.03205 11.56724 4.33 0.000 27.34577 72.71832 _Istcode_68 | 58.64482 11.43704 5.13 0.000 36.2139 81.07575 _Istcode_71 | -10.35726 11.3884 -0.91 0.363 -32.69279 11.97827 _Istcode_72 | -223.3977 11.71568 -19.07 0.000 -246.3751 -200.4203 _Istcode_73 | 231.3869 11.37936 20.33 0.000 209.0691 253.7047 _Istcode_81 | -234.3387 19.08886 -12.28 0.000 -271.7767 -196.9006 _Istcode_82 | 397.6852 14.47013 27.48 0.000 369.3057 426.0648 _cons | -387.1741 21.90002 -17.68 0.000 -430.1255 -344.2226 ------------------------------------------------------------------------------ . *** AHORA, incluyendo tambien EFECTOS TEMPORALES . xi: reg saletax dem* aper* persinc* i.stcode i.year i.stcode _Istcode_1-82 (naturally coded; _Istcode_1 omitted) i.year _Iyear_1950-1989 (naturally coded; _Iyear_1950 omitted) Source | SS df MS Number of obs = 1899 -------------+------------------------------ F( 94, 1804) = 191.73 Model | 36906082.7 94 392617.901 Prob > F = 0.0000 Residual | 3694181.75 1804 2047.77259 R-squared = 0.9090 -------------+------------------------------ Adj R-squared = 0.9043 Total | 40600264.4 1898 21391.0771 Root MSE = 45.252 ------------------------------------------------------------------------------ saletax | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- dem1 | 15.57211 13.3819 1.16 0.245 -10.67354 41.81775 demmaj1 | -13.59371 4.238673 -3.21 0.001 -21.90693 -5.280486 demgov | 3.707506 2.449931 1.51 0.130 -1.097493 8.512506 aper5_17 | 40.49859 102.3588 0.40 0.692 -160.2556 241.2528 aper65 | 1614.077 166.4672 9.70 0.000 1287.589 1940.566 persinc | -.0099451 .0046541 -2.14 0.033 -.0190731 -.0008171 persinc2 | 1.13e-06 1.56e-07 7.30 0.000 8.30e-07 1.44e-06 _Istcode_2 | -40.7837 13.34078 -3.06 0.002 -66.9487 -14.6187 _Istcode_3 | -178.8936 10.99216 -16.27 0.000 -200.4523 -157.3349 _Istcode_4 | -211.5249 11.93859 -17.72 0.000 -234.9398 -188.11 _Istcode_5 | -46.86592 11.88885 -3.94 0.000 -70.18328 -23.54857 _Istcode_6 | -93.8642 13.16014 -7.13 0.000 -119.6749 -68.05347 _Istcode_11 | -197.1678 10.81335 -18.23 0.000 -218.3758 -175.9598 _Istcode_12 | -122.7507 10.22285 -12.01 0.000 -142.8006 -102.7008 _Istcode_13 | -153.6763 10.34967 -14.85 0.000 -173.9749 -133.3777 _Istcode_14 | -88.43566 11.37254 -7.78 0.000 -110.7404 -66.13093 _Istcode_21 | -61.04504 10.47325 -5.83 0.000 -81.58601 -40.50408 _Istcode_22 | -39.13577 11.72016 -3.34 0.001 -62.12228 -16.14926 _Istcode_23 | -25.77893 11.17802 -2.31 0.021 -47.70216 -3.855707 _Istcode_24 | -80.87684 11.19345 -7.23 0.000 -102.8303 -58.92334 _Istcode_25 | -114.5703 11.67548 -9.81 0.000 -137.4692 -91.67142 _Istcode_31 | -124.3941 12.41706 -10.02 0.000 -148.7475 -100.0408 _Istcode_32 | -117.4832 11.81111 -9.95 0.000 -140.6481 -94.31828 _Istcode_33 | -38.18745 14.04643 -2.72 0.007 -65.73642 -10.63848 _Istcode_34 | -139.7576 12.17965 -11.47 0.000 -163.6454 -115.8699 _Istcode_35 | (dropped) _Istcode_36 | -69.36894 13.24732 -5.24 0.000 -95.35065 -43.38724 _Istcode_37 | -59.80998 14.033 -4.26 0.000 -87.33262 -32.28734 _Istcode_40 | -113.8319 12.80292 -8.89 0.000 -138.942 -88.72179 _Istcode_41 | -45.45059 15.2906 -2.97 0.003 -75.43973 -15.46145 _Istcode_42 | -87.68478 16.01163 -5.48 0.000 -119.0881 -56.28149 _Istcode_43 | -37.18091 13.55963 -2.74 0.006 -63.77514 -10.58668 _Istcode_44 | -26.39672 14.08599 -1.87 0.061 -54.02329 1.229848 _Istcode_45 | -21.79831 14.61201 -1.49 0.136 -50.45654 6.859918 _Istcode_46 | -4.599094 16.91952 -0.27 0.786 -37.78301 28.58482 _Istcode_47 | -57.88795 14.34694 -4.03 0.000 -86.02631 -29.74958 _Istcode_48 | 6.575084 15.60717 0.42 0.674 -24.03495 37.18512 _Istcode_49 | -57.11599 12.92986 -4.42 0.000 -82.47506 -31.75692 _Istcode_51 | -75.02627 14.18188 -5.29 0.000 -102.8409 -47.21163 _Istcode_52 | -54.83914 11.71394 -4.68 0.000 -77.81346 -31.86483 _Istcode_53 | -104.099 13.2793 -7.84 0.000 -130.1435 -78.05461 _Istcode_54 | -28.14606 14.1169 -1.99 0.046 -55.83325 -.4588685 _Istcode_56 | 47.86954 14.3443 3.34 0.001 19.73635 76.00272 _Istcode_61 | 24.89999 12.45227 2.00 0.046 .477596 49.32239 _Istcode_62 | -86.93884 11.61302 -7.49 0.000 -109.7152 -64.16245 _Istcode_63 | -101.7943 13.61782 -7.48 0.000 -128.5027 -75.08598 _Istcode_64 | -195.3601 12.46895 -15.67 0.000 -219.8152 -170.905 _Istcode_65 | 191.8749 11.80615 16.25 0.000 168.7197 215.0301 _Istcode_66 | 105.3298 14.53884 7.24 0.000 76.81512 133.8446 _Istcode_67 | -4.151907 14.52969 -0.29 0.775 -32.64869 24.34488 _Istcode_68 | 25.86697 12.13356 2.13 0.033 2.069671 49.66427 _Istcode_71 | -23.22548 10.61726 -2.19 0.029 -44.0489 -2.402061 _Istcode_72 | -271.4151 11.6763 -23.24 0.000 -294.3156 -248.5146 _Istcode_73 | 201.6355 10.99193 18.34 0.000 180.0772 223.1937 _Istcode_81 | -219.3582 18.46418 -11.88 0.000 -255.5716 -183.1447 _Istcode_82 | 368.7014 14.15786 26.04 0.000 340.9339 396.4689 _Iyear_1951 | -3.219813 9.476882 -0.34 0.734 -21.80663 15.367 _Iyear_1952 | 1.590323 9.564202 0.17 0.868 -17.16775 20.3484 _Iyear_1953 | 9.352733 9.696251 0.96 0.335 -9.664328 28.36979 _Iyear_1954 | 14.3526 9.687408 1.48 0.139 -4.647117 33.35232 _Iyear_1955 | 15.05059 9.902089 1.52 0.129 -4.370178 34.47136 _Iyear_1956 | 30.53312 10.20229 2.99 0.003 10.52356 50.54267 _Iyear_1957 | 30.9544 10.38346 2.98 0.003 10.58953 51.31926 _Iyear_1958 | 30.673 10.6023 2.89 0.004 9.87892 51.46708 _Iyear_1959 | 39.73597 10.88204 3.65 0.000 18.39325 61.07869 _Iyear_1960 | 42.13353 11.30655 3.73 0.000 19.95823 64.30883 _Iyear_1961 | 46.2755 11.38845 4.06 0.000 23.93957 68.61143 _Iyear_1962 | 54.78745 11.93609 4.59 0.000 31.37744 78.19747 _Iyear_1963 | 61.93265 12.32918 5.02 0.000 37.75167 86.11362 _Iyear_1964 | 67.34147 13.25315 5.08 0.000 41.34833 93.33461 _Iyear_1965 | 76.06642 13.8326 5.50 0.000 48.93683 103.196 _Iyear_1966 | 93.85695 14.67749 6.39 0.000 65.07028 122.6436 _Iyear_1967 | 98.54658 15.19664 6.48 0.000 68.74173 128.3514 _Iyear_1968 | 116.4248 15.81886 7.36 0.000 85.39964 147.45 _Iyear_1969 | 135.236 16.29367 8.30 0.000 103.2796 167.1925 _Iyear_1970 | 156.2402 16.23276 9.62 0.000 124.4032 188.0772 _Iyear_1971 | 160.3936 16.23988 9.88 0.000 128.5426 192.2445 _Iyear_1972 | 177.0138 16.80867 10.53 0.000 144.0473 209.9803 _Iyear_1973 | 184.6957 17.63268 10.47 0.000 150.1131 219.2784 _Iyear_1974 | 176.3108 16.89632 10.43 0.000 143.1724 209.4492 _Iyear_1975 | 165.3557 16.64227 9.94 0.000 132.7156 197.9959 _Iyear_1976 | 168.131 17.28008 9.73 0.000 134.2399 202.0221 _Iyear_1977 | 161.9103 18.17415 8.91 0.000 126.2657 197.5549 _Iyear_1978 | 168.8032 18.02634 9.36 0.000 133.4485 204.1579 _Iyear_1979 | 174.8136 16.06667 10.88 0.000 143.3023 206.3248 _Iyear_1980 | 127.9174 16.9286 7.56 0.000 94.71566 161.1191 _Iyear_1981 | 106.5444 17.15153 6.21 0.000 72.90542 140.1833 _Iyear_1982 | 117.3724 16.98095 6.91 0.000 84.06804 150.6768 _Iyear_1983 | 116.0049 17.21489 6.74 0.000 82.24166 149.7681 _Iyear_1984 | 134.8723 17.94678 7.52 0.000 99.67366 170.071 _Iyear_1985 | 139.7404 18.63371 7.50 0.000 103.1945 176.2864 _Iyear_1986 | 142.1244 19.298 7.36 0.000 104.2756 179.9731 _Iyear_1987 | 144.9942 19.68461 7.37 0.000 106.3871 183.6012 _Iyear_1988 | 148.2128 20.09844 7.37 0.000 108.7942 187.6315 _Iyear_1989 | 142.8389 20.49375 6.97 0.000 102.6449 183.0328 _cons | 69.10279 45.71795 1.51 0.131 -20.5629 158.7685 ------------------------------------------------------------------------------ . *** Noten que ese método genera MUCHAS dummmies... . *** INCLUYENDO EFECTOS FIJOS Y TEMPORALES, pero sólo generando parte de las . *** dummies: . ** Usamos xtreg, fe para los efectos fijos, . ** y xi... i.year para los efectos temporales. . xi: xtreg saletax dem* aper* persinc* i.year, fe i.year _Iyear_1950-1989 (naturally coded; _Iyear_1950 omitted) Fixed-effects (within) regression Number of obs = 1899 Group variable (i): stcode Number of groups = 49 R-sq: within = 0.8389 Obs per group: min = 17 between = 0.0184 avg = 38.8 overall = 0.4429 max = 40 F(46,1804) = 204.21 corr(u_i, Xb) = -0.0824 Prob > F = 0.0000 ------------------------------------------------------------------------------ saletax | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- dem1 | 15.57211 13.3819 1.16 0.245 -10.67354 41.81775 demmaj1 | -13.59371 4.238673 -3.21 0.001 -21.90693 -5.280486 demgov | 3.707506 2.449931 1.51 0.130 -1.097493 8.512506 aper5_17 | 40.49859 102.3588 0.40 0.692 -160.2556 241.2528 aper65 | 1614.077 166.4672 9.70 0.000 1287.589 1940.566 persinc | -.0099451 .0046541 -2.14 0.033 -.0190731 -.0008171 persinc2 | 1.13e-06 1.56e-07 7.30 0.000 8.30e-07 1.44e-06 _Iyear_1951 | -3.219813 9.476882 -0.34 0.734 -21.80663 15.367 _Iyear_1952 | 1.590323 9.564202 0.17 0.868 -17.16775 20.3484 _Iyear_1953 | 9.352733 9.696251 0.96 0.335 -9.664328 28.36979 _Iyear_1954 | 14.3526 9.687408 1.48 0.139 -4.647118 33.35232 _Iyear_1955 | 15.05059 9.902089 1.52 0.129 -4.370178 34.47136 _Iyear_1956 | 30.53312 10.20229 2.99 0.003 10.52356 50.54267 _Iyear_1957 | 30.9544 10.38346 2.98 0.003 10.58953 51.31926 _Iyear_1958 | 30.673 10.6023 2.89 0.004 9.878919 51.46708 _Iyear_1959 | 39.73597 10.88204 3.65 0.000 18.39325 61.07869 _Iyear_1960 | 42.13353 11.30655 3.73 0.000 19.95823 64.30883 _Iyear_1961 | 46.2755 11.38845 4.06 0.000 23.93957 68.61143 _Iyear_1962 | 54.78745 11.93609 4.59 0.000 31.37744 78.19747 _Iyear_1963 | 61.93265 12.32918 5.02 0.000 37.75167 86.11362 _Iyear_1964 | 67.34147 13.25315 5.08 0.000 41.34833 93.33461 _Iyear_1965 | 76.06642 13.8326 5.50 0.000 48.93683 103.196 _Iyear_1966 | 93.85695 14.67749 6.39 0.000 65.07028 122.6436 _Iyear_1967 | 98.54658 15.19664 6.48 0.000 68.74173 128.3514 _Iyear_1968 | 116.4248 15.81886 7.36 0.000 85.39964 147.45 _Iyear_1969 | 135.236 16.29367 8.30 0.000 103.2796 167.1925 _Iyear_1970 | 156.2402 16.23276 9.62 0.000 124.4032 188.0772 _Iyear_1971 | 160.3936 16.23988 9.88 0.000 128.5426 192.2445 _Iyear_1972 | 177.0138 16.80867 10.53 0.000 144.0473 209.9803 _Iyear_1973 | 184.6957 17.63268 10.47 0.000 150.1131 219.2784 _Iyear_1974 | 176.3108 16.89632 10.43 0.000 143.1724 209.4492 _Iyear_1975 | 165.3557 16.64227 9.94 0.000 132.7156 197.9959 _Iyear_1976 | 168.131 17.28008 9.73 0.000 134.2399 202.0221 _Iyear_1977 | 161.9103 18.17415 8.91 0.000 126.2657 197.5549 _Iyear_1978 | 168.8032 18.02634 9.36 0.000 133.4485 204.1579 _Iyear_1979 | 174.8136 16.06667 10.88 0.000 143.3023 206.3248 _Iyear_1980 | 127.9174 16.9286 7.56 0.000 94.71566 161.1191 _Iyear_1981 | 106.5444 17.15153 6.21 0.000 72.90542 140.1833 _Iyear_1982 | 117.3724 16.98095 6.91 0.000 84.06804 150.6768 _Iyear_1983 | 116.0049 17.21489 6.74 0.000 82.24166 149.7681 _Iyear_1984 | 134.8723 17.94678 7.52 0.000 99.67366 170.071 _Iyear_1985 | 139.7404 18.63371 7.50 0.000 103.1945 176.2864 _Iyear_1986 | 142.1244 19.298 7.36 0.000 104.2756 179.9731 _Iyear_1987 | 144.9942 19.68461 7.37 0.000 106.3871 183.6012 _Iyear_1988 | 148.2128 20.09844 7.37 0.000 108.7942 187.6315 _Iyear_1989 | 142.8389 20.49375 6.97 0.000 102.6449 183.0328 _cons | 12.29608 42.50985 0.29 0.772 -71.07763 95.66979 -------------+---------------------------------------------------------------- sigma_u | 109.41848 sigma_e | 45.252321 rho | .85394102 (fraction of variance due to u_i) ------------------------------------------------------------------------------ F test that all u_i=0: F(48, 1804) = 166.68 Prob > F = 0.0000 . *** COMPARANDO EFECTOS ALEATORIOS VS. FIJOS . * EFECTOS FIJOS . xtreg saletax dem* aper* persinc*, i(stcode) fe Fixed-effects (within) regression Number of obs = 1899 Group variable (i): stcode Number of groups = 49 R-sq: within = 0.8018 Obs per group: min = 17 between = 0.0187 avg = 38.8 overall = 0.3878 max = 40 F(7,1843) = 1065.25 corr(u_i, Xb) = -0.1865 Prob > F = 0.0000 ------------------------------------------------------------------------------ saletax | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- dem1 | 34.45893 13.90868 2.48 0.013 7.1805 61.73737 demmaj1 | -19.95615 4.581832 -4.36 0.000 -28.94227 -10.97002 demgov | 4.761186 2.653081 1.79 0.073 -.4421736 9.964546 aper5_17 | 668.7106 53.54331 12.49 0.000 563.6987 773.7225 aper65 | 1643.427 161.0067 10.21 0.000 1327.652 1959.202 persinc | .0427805 .0024385 17.54 0.000 .0379979 .047563 persinc2 | -3.30e-07 1.15e-07 -2.86 0.004 -5.56e-07 -1.03e-07 _cons | -393.4701 21.54799 -18.26 0.000 -435.7312 -351.2091 -------------+---------------------------------------------------------------- sigma_u | 114.39465 sigma_e | 49.656109 rho | .84145122 (fraction of variance due to u_i) ------------------------------------------------------------------------------ F test that all u_i=0: F(48, 1843) = 156.95 Prob > F = 0.0000 . . ** EFECTOS ALEATORIOS . xtreg saletax dem* aper* persinc*, i(stcode) re Random-effects GLS regression Number of obs = 1899 Group variable (i): stcode Number of groups = 49 R-sq: within = 0.8018 Obs per group: min = 17 between = 0.0197 avg = 38.8 overall = 0.3898 max = 40 Random effects u_i ~ Gaussian Wald chi2(7) = 7387.09 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ saletax | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- dem1 | 38.38872 13.85647 2.77 0.006 11.23054 65.5469 demmaj1 | -19.98447 4.596071 -4.35 0.000 -28.9926 -10.97633 demgov | 4.899885 2.663605 1.84 0.066 -.3206861 10.12046 aper5_17 | 663.5336 53.59065 12.38 0.000 558.4978 768.5693 aper65 | 1633.758 157.349 10.38 0.000 1325.36 1942.157 persinc | .0429813 .0024368 17.64 0.000 .0382053 .0477573 persinc2 | -3.43e-07 1.16e-07 -2.96 0.003 -5.70e-07 -1.16e-07 _cons | -392.6139 25.5916 -15.34 0.000 -442.7725 -342.4553 -------------+---------------------------------------------------------------- sigma_u | 98.340887 sigma_e | 49.656109 rho | .79683626 (fraction of variance due to u_i) ------------------------------------------------------------------------------ . *** en este caso, RE es mas similar a FE que a OLS... porque la . ** varianza de los Ui (sigma_u) es muy grande en relacion con la varianza . ** de Eit (sigma_e) . ** DIAGNOSTICO 1: Pooled OLS vs RE/FE . xtreg saletax dem* aper* persinc*, i(stcode) re Random-effects GLS regression Number of obs = 1899 Group variable (i): stcode Number of groups = 49 R-sq: within = 0.8018 Obs per group: min = 17 between = 0.0197 avg = 38.8 overall = 0.3898 max = 40 Random effects u_i ~ Gaussian Wald chi2(7) = 7387.09 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ saletax | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- dem1 | 38.38872 13.85647 2.77 0.006 11.23054 65.5469 demmaj1 | -19.98447 4.596071 -4.35 0.000 -28.9926 -10.97633 demgov | 4.899885 2.663605 1.84 0.066 -.3206861 10.12046 aper5_17 | 663.5336 53.59065 12.38 0.000 558.4978 768.5693 aper65 | 1633.758 157.349 10.38 0.000 1325.36 1942.157 persinc | .0429813 .0024368 17.64 0.000 .0382053 .0477573 persinc2 | -3.43e-07 1.16e-07 -2.96 0.003 -5.70e-07 -1.16e-07 _cons | -392.6139 25.5916 -15.34 0.000 -442.7725 -342.4553 -------------+---------------------------------------------------------------- sigma_u | 98.340887 sigma_e | 49.656109 rho | .79683626 (fraction of variance due to u_i) ------------------------------------------------------------------------------ . ** BREUSCH-PAGAN test . xttest0 Breusch and Pagan Lagrangian multiplier test for random effects: saletax[stcode,t] = Xb + u[stcode] + e[stcode,t] Estimated results: | Var sd = sqrt(Var) ---------+----------------------------- saletax | 21391.08 146.2569 e | 2465.729 49.65611 u | 9670.93 98.34089 Test: Var(u) = 0 chi2(1) = 16925.31 Prob > chi2 = 0.0000 . *** la varianza de Ui es distinta de cero... ergo no puedes usar pooled-OLS. . ** DIAGNOSTICO 2: FE vs RE?? . ** Todo depende de si los Ui estan correlacionados con las Xs... . ** En tal caso, ignorar las Ui producirían sesgo de variable omitida . xthausman (Warning: xthausman is no longer a supported command; use -hausman-. For instructions, see help hausman.) Hausman specification test ---- Coefficients ---- | Fixed Random saletax | Effects Effects Difference -------------+----------------------------------------- dem1 | 34.45893 38.38872 -3.929788 demmaj1 | -19.95615 -19.98447 .0283217 demgov | 4.761186 4.899885 -.1386987 aper5_17 | 668.7106 663.5336 5.177022 aper65 | 1643.427 1633.758 9.668617 persinc | .0427805 .0429813 -.0002008 persinc2 | -3.30e-07 -3.43e-07 1.34e-08 Test: Ho: difference in coefficients not systematic chi2( 7) = (b-B)'[S^(-1)](b-B), S = (S_fe - S_re) = 12.35 Prob>chi2 = 0.0897 . *** Al 5% no puedo rechazar que FE y RE sean iguales... . *** PERo al 10% SI puedo rechazar Ho, es decir, FE y RE son distintos... . ** y debo usar FE. . ** (si el p-value fuera mas significativo seria evidencia mas a favor de FE) . ** Veamos un modelo más sencillo (sin persinc2): . xtreg saletax dem* aper* persinc, i(stcode) re Random-effects GLS regression Number of obs = 1899 Group variable (i): stcode Number of groups = 49 R-sq: within = 0.8009 Obs per group: min = 17 between = 0.0167 avg = 38.8 overall = 0.3853 max = 40 Random effects u_i ~ Gaussian Wald chi2(6) = 7368.43 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ saletax | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- dem1 | 34.68539 13.82715 2.51 0.012 7.584684 61.7861 demmaj1 | -20.25369 4.598823 -4.40 0.000 -29.26722 -11.24017 demgov | 5.056532 2.664948 1.90 0.058 -.1666702 10.27974 aper5_17 | 700.3251 52.20626 13.41 0.000 598.0027 802.6475 aper65 | 1737.251 153.9049 11.29 0.000 1435.603 2038.899 persinc | .0362196 .0008524 42.49 0.000 .034549 .0378902 _cons | -378.8313 25.53872 -14.83 0.000 -428.8863 -328.7763 -------------+---------------------------------------------------------------- sigma_u | 102.73019 sigma_e | 49.752398 rho | .81001303 (fraction of variance due to u_i) ------------------------------------------------------------------------------ . xthausman (Warning: xthausman is no longer a supported command; use -hausman-. For instructions, see help hausman.) Hausman specification test ---- Coefficients ---- | Fixed Random saletax | Effects Effects Difference -------------+----------------------------------------- dem1 | 31.15722 34.68539 -3.52817 demmaj1 | -20.22344 -20.25369 .030257 demgov | 4.925239 5.056532 -.1312935 aper5_17 | 704.0977 700.3251 3.77258 aper65 | 1744.696 1737.251 7.444999 persinc | .0362686 .0362196 .000049 Test: Ho: difference in coefficients not systematic chi2( 6) = (b-B)'[S^(-1)](b-B), S = (S_fe - S_re) = 8.63 Prob>chi2 = 0.1955 . ** En este caso no podemos rechazar Ho... y preferimos Random Effects. *** VEAN EL LOG FILE DEL 3-MARZO-2005 PARA UNA MEJOR EXPLICACION: http://www.cide.edu/investigadores/aparicio/data/lab9_3mar05_xtreg.txt . log close log: C:\Documents and Settings\salon.CUOTAS\Escritorio\lab18oct05.log log type: text closed on: 18 Oct 2005, 17:08:10 ------------------------------------------------------------------------------------------