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Econometric take home APPS_Part_20

Econometric take home APPS_Part_20 - | Groupwise Regression...

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79 +--------------------------------------------------+ | Groupwise Regression Models | | Estimator = 2 Step GLS | | Groupwise Het. and Correlated (S2) | | Nonautocorrelated disturbances (R0) | | Test statistics against the correlation | | Deg.Fr. = 45 C*(.95) = 61.66 C*(.99) = 69.96 | | Test statistics against the correlation | | Likelihood ratio statistic = 320.2052 | | Log-likelihood function = -853.084972 | +--------------------------------------------------+ +--------+--------------+----------------+--------+--------+ |Variable| Coefficient | Standard Error |b/St.Er.|P[|Z|>z]| +--------+--------------+----------------+--------+--------+ F | .10806238 .00241169 44.808 .0000 C | .15079551 .00386063 39.060 .0000 Constant| -20.1588844 .79950153 -25.214 .0000 CREATE ; WI = (SDI(firm,firm))^2 $ REGRESS; Lhs = I ; Rhs = F,C,one ; Wts = WI $ +----------------------------------------------------+ | Ordinary least squares regression | | LHS=I Mean = 6.993136 | | Standard deviation = 18.01824 | | WTS=WI Number of observs. = 200 | | Model size Parameters = 3 | | Degrees of freedom = 197 | | Residuals Sum of squares = 11690.82 | | Standard error of e = 7.703521 | | Fit R-squared = .8190465 | | Adjusted R-squared = .8172094 | +----------------------------------------------------+ +--------+--------------+----------------+--------+--------+----------+ |Variable| Coefficient | Standard Error |t-ratio |P[|T|>t]| Mean of X| +--------+--------------+----------------+--------+--------+----------+ F | .07847124 .00459121 17.092 .0000 96.8424912 C | .09896094 .00761314 12.999 .0000 23.8374846 Constant| -2.96519441 .66964256 -4.428 .0000
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