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Panel Data Analysis of Dependent Variable Y

The document presents the results of three regression models - a common effects model, fixed effects model, and random effects model - with the dependent variable Y and independent variables X1 through X8. The fixed effects model has the highest R-squared value and the random effects model identifies some variables as statistically significant while others are not. Model selection tests including the Hausman test and Chow test are also reported to determine the best model.

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67 views6 pages

Panel Data Analysis of Dependent Variable Y

The document presents the results of three regression models - a common effects model, fixed effects model, and random effects model - with the dependent variable Y and independent variables X1 through X8. The fixed effects model has the highest R-squared value and the random effects model identifies some variables as statistically significant while others are not. Model selection tests including the Hausman test and Chow test are also reported to determine the best model.

Uploaded by

Muhibbi
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd

Y gri

X1 gender
X2 age
X3 edu_l
X4 edu_m
X5 presdir
X6 inter_n
X7 nat
X8 linkedin

COMMON EFFECTS MODEL

Dependent Variable: Y
Method: Panel Least Squares
Date: 11/24/20 Time: 16:54
Sample: 2010 2018
Periods included: 9
Cross-sections included: 28
Total panel (unbalanced) observations: 241

Coefficien
Variable t Std. Error t-Statistic Prob.  

X1 -0.205891 0.796604 -0.258461 0.7963


X2 0.021558 0.039835 0.541171 0.5889
X3 -2.055345 0.395131 -5.201683 0.0000
X4 1.661085 0.738941 2.247927 0.0255
X5 1.570619 0.495811 3.167775 0.0017
X6 1.461188 0.513460 2.845767 0.0048
X7 -4.126692 0.927366 -4.449906 0.0000
X8 2.694475 0.439181 6.135226 0.0000
C 2.461263 2.279677 1.079654 0.2814

R-squared 0.362998    Mean dependent var 3.659751


Adjusted R-squared 0.341033    S.D. dependent var 3.624051
S.E. of regression 2.941889    Akaike info criterion 5.032610
Sum squared resid 2007.893    Schwarz criterion 5.162748
Log likelihood -597.4295    Hannan-Quinn criter. 5.085040
F-statistic 16.52578    Durbin-Watson stat 0.563979
Prob(F-statistic) 0.000000
FIXED EFFECTS MODEL

Dependent Variable: Y
Method: Panel Least Squares
Date: 11/24/20 Time: 16:54
Sample: 2010 2018
Periods included: 9
Cross-sections included: 28
Total panel (unbalanced) observations: 241

Coefficien
Variable t Std. Error t-Statistic Prob.  

X1 -0.210612 2.338738 -0.090054 0.9283


X2 0.142098 0.043643 3.255893 0.0013
X3 0.047625 0.541135 0.088009 0.9300
X4 -1.399119 0.972652 -1.438458 0.1518
X5 0.267325 0.517653 0.516416 0.6061
X6 2.656782 0.908136 2.925532 0.0038
X7 -3.912383 1.370279 -2.855173 0.0047
X8 3.056517 0.485183 6.299724 0.0000
C -4.033197 2.606458 -1.547386 0.1233

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.685839    Mean dependent var 3.659751


Adjusted R-squared 0.632201    S.D. dependent var 3.624051
S.E. of regression 2.197857    Akaike info criterion 4.549811
Sum squared resid 990.2676    Schwarz criterion 5.070361
Log likelihood -512.2522    Hannan-Quinn criter. 4.759531
F-statistic 12.78660    Durbin-Watson stat 1.092575
Prob(F-statistic) 0.000000
RANDOM EFFECTS MODEL

Dependent Variable: Y
Method: Panel EGLS (Cross-section random effects)
Date: 11/24/20 Time: 16:56
Sample: 2010 2018
Periods included: 9
Cross-sections included: 28
Total panel (unbalanced) observations: 241
Swamy and Arora estimator of component variances

Coefficien
Variable t Std. Error t-Statistic Prob.  

X1 0.654331 1.296459 0.504706 0.6142


X2 0.119113 0.040200 2.962979 0.0034
X3 -0.646874 0.462769 -1.397835 0.1635
X4 -0.364032 0.853099 -0.426717 0.6700
X5 0.530259 0.480842 1.102772 0.2713
X6 2.427060 0.649315 3.737879 0.0002
X7 -3.760818 1.107284 -3.396436 0.0008
X8 2.945246 0.443014 6.648195 0.0000
C -2.912189 2.405537 -1.210619 0.2273

Effects Specification
S.D.   Rho  

Cross-section random 1.901597 0.4281


Idiosyncratic random 2.197857 0.5719

Weighted Statistics

R-squared 0.275798    Mean dependent var 1.329342


Adjusted R-squared 0.250826    S.D. dependent var 2.585409
S.E. of regression 2.240926    Sum squared resid 1165.045
F-statistic 11.04408    Durbin-Watson stat 0.921966
Prob(F-statistic) 0.000000

Unweighted Statistics

R-squared 0.291782    Mean dependent var 3.659751


Sum squared resid 2232.373    Durbin-Watson stat 0.481161
CHOW TEST

Redundant Fixed Effects Tests


Equation: Untitled
Test cross-section fixed effects

Effects Test Statistic   d.f.  Prob. 

Cross-section F 7.802349 (27,205) 0.0000


Cross-section Chi-square 170.354680 27 0.0000

Cross-section fixed effects test equation:


Dependent Variable: Y
Method: Panel Least Squares
Date: 11/24/20 Time: 16:59
Sample: 2010 2018
Periods included: 9
Cross-sections included: 28
Total panel (unbalanced) observations: 241

Coefficien
Variable t Std. Error t-Statistic Prob.  

X1 -0.205891 0.796604 -0.258461 0.7963


X2 0.021558 0.039835 0.541171 0.5889
X3 -2.055345 0.395131 -5.201683 0.0000
X4 1.661085 0.738941 2.247927 0.0255
X5 1.570619 0.495811 3.167775 0.0017
X6 1.461188 0.513460 2.845767 0.0048
X7 -4.126692 0.927366 -4.449906 0.0000
X8 2.694475 0.439181 6.135226 0.0000
C 2.461263 2.279677 1.079654 0.2814

R-squared 0.362998    Mean dependent var 3.659751


Adjusted R-squared 0.341033    S.D. dependent var 3.624051
S.E. of regression 2.941889    Akaike info criterion 5.032610
Sum squared resid 2007.893    Schwarz criterion 5.162748
Log likelihood -597.4295    Hannan-Quinn criter. 5.085040
F-statistic 16.52578    Durbin-Watson stat 0.563979
Prob(F-statistic) 0.000000
HAUSMAN TEST

Correlated Random Effects - Hausman Test


Equation: Untitled
Test cross-section random effects

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

Cross-section random 17.122008 8 0.0289

Cross-section random effects test comparisons:

Variable Fixed   Random  Var(Diff.)  Prob. 

X1 -0.210612 0.654331 3.788891 0.6568


X2 0.142098 0.119113 0.000289 0.1761
X3 0.047625 -0.646874 0.078672 0.0133
X4 -1.399119 -0.364032 0.218274 0.0267
X5 0.267325 0.530259 0.036756 0.1702
X6 2.656782 2.427060 0.403102 0.7175
X7 -3.912383 -3.760818 0.651586 0.8511
X8 3.056517 2.945246 0.039140 0.5738

Cross-section random effects test equation:


Dependent Variable: Y
Method: Panel Least Squares
Date: 11/24/20 Time: 17:00
Sample: 2010 2018
Periods included: 9
Cross-sections included: 28
Total panel (unbalanced) observations: 241

Coefficien
Variable t Std. Error t-Statistic Prob.  

C -4.033197 2.606458 -1.547386 0.1233


X1 -0.210612 2.338738 -0.090054 0.9283
X2 0.142098 0.043643 3.255893 0.0013
X3 0.047625 0.541135 0.088009 0.9300
X4 -1.399119 0.972652 -1.438458 0.1518
X5 0.267325 0.517653 0.516416 0.6061
X6 2.656782 0.908136 2.925532 0.0038
X7 -3.912383 1.370279 -2.855173 0.0047
X8 3.056517 0.485183 6.299724 0.0000
Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.685839    Mean dependent var 3.659751


Adjusted R-squared 0.632201    S.D. dependent var 3.624051
S.E. of regression 2.197857    Akaike info criterion 4.549811
Sum squared resid 990.2676    Schwarz criterion 5.070361
Log likelihood -512.2522    Hannan-Quinn criter. 4.759531
F-statistic 12.78660    Durbin-Watson stat 1.092575
Prob(F-statistic) 0.000000

CORRELATION MATRIX

  Y X1 X2 X3 X4 X5 X6 X7 X8
Y 1.000 0.010 0.058 -0.309 0.146 0.340 0.240 0.068 0.408
X1 0.010 1.000 -0.292 -0.112 0.090 -0.191 -0.140 -0.121 0.039
X2 0.058 -0.292 1.000 0.101 0.088 0.101 -0.234 -0.299 -0.111
X3 -0.309 -0.112 0.101 1.000 0.251 -0.231 -0.376 -0.362 -0.079
X4 0.146 0.090 0.088 0.251 1.000 0.137 0.056 -0.040 0.110
X5 0.340 -0.191 0.101 -0.231 0.137 1.000 0.422 0.400 0.273
X6 0.240 -0.140 -0.234 -0.376 0.056 0.422 1.000 0.794 0.270
X7 0.068 -0.121 -0.299 -0.362 -0.040 0.400 0.794 1.000 0.236
X8 0.408 0.039 -0.111 -0.079 0.110 0.273 0.270 0.236 1.000

NORMALITY TEST
30
Series: Standardized Residuals
Sample 2010 2018
25
Observations 241

20 Mean 1.47e-17
Median -0.222136
15
Maximum 6.542719
Minimum -5.333614
Std. Dev. 2.031284
10 Skewness 0.198317
Kurtosis 2.967781
5
Jarque-Bera 1.590158
Probability 0.451546
0
-4 -2 0 2 4 6

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