迴歸分析的固定效果和隨機效果的實際應用 - 經濟

By Cara
at 2011-05-22T12:57
at 2011-05-22T12:57
Table of Contents
這問題已經模模糊糊一陣子了,也參考過幾本教科書,但始終不得其門而入。
舉個例子說明。模型是想檢視不同國家的國民所得和出口的關係:
Y:各個國家各年度出口值
X:各個國家各年度GDP
D_cty:國家別虛擬變數
D_yr:年度虛擬變數
(1) 簡單的回歸關係式:
Y=a+bX+ε,然後估計參數a和b。
(2) 設定虛擬變數將國別和年度效果考慮進模型,所以關係式:
Y=
a+
bX+
c*D_cty+
d*D_yr+
e*(D_cty*X)+
f*(D_yr*X)+ε,然後估計參數a到f。
想請問的是(1)是不是就是所謂的隨機效果,(2)是所謂的固定效果?
小弟不才,煩各位大俠就教了。
--
舉個例子說明。模型是想檢視不同國家的國民所得和出口的關係:
Y:各個國家各年度出口值
X:各個國家各年度GDP
D_cty:國家別虛擬變數
D_yr:年度虛擬變數
(1) 簡單的回歸關係式:
Y=a+bX+ε,然後估計參數a和b。
(2) 設定虛擬變數將國別和年度效果考慮進模型,所以關係式:
Y=
a+
bX+
c*D_cty+
d*D_yr+
e*(D_cty*X)+
f*(D_yr*X)+ε,然後估計參數a到f。
想請問的是(1)是不是就是所謂的隨機效果,(2)是所謂的固定效果?
小弟不才,煩各位大俠就教了。
--
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