@betasy
2017-05-24T01:55:39.000000Z
字数 30519
阅读 1053
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. do "G:\Stock Estimation Study\codes\stock_panel_analysis.do"
. import excel "G:\Stock Estimation Study\OriginalData\StockSteelPanel1992_2008_PanelData.xls", sheet("Sheet1") firstrow case(upper) clear
. sort ZONE_CODE YEAR
. xtset ZONE_CODE YEAR
panel variable: ZONE_CODE (strongly balanced)
time variable: YEAR, 1992 to 2008
delta: 1 unit
. xtbalance, range(1992, 2007)
(160 observations deleted due to out of range)
. xtunitroot llc LOG_LIGHT_PER_AREA
Levin-Lin-Chu unit-root test for LOG_LIGHT_PER_AREA
Ho: Panels contain unit roots Number of panels = 159
Ha: Panels are stationary Number of periods = 16
AR parameter: Common Asymptotics: N/T -> 0
Panel means: Included
Time trend: Not included
ADF regressions: 1 lag
LR variance: Bartlett kernel, 8.00 lags average (chosen by LLC)
------------------------------------------------------------------------------
Statistic p-value
------------------------------------------------------------------------------
Unadjusted t -37.0041
Adjusted t* -12.9499 0.0000
------------------------------------------------------------------------------
. xtunitroot llc LOG_STOCK_PER_AREA
Levin-Lin-Chu unit-root test for LOG_STOCK_PER_AREA
---------------------------------------------------
Ho: Panels contain unit roots Number of panels = 159
Ha: Panels are stationary Number of periods = 16
AR parameter: Common Asymptotics: N/T -> 0
Panel means: Included
Time trend: Not included
ADF regressions: 1 lag
LR variance: Bartlett kernel, 8.00 lags average (chosen by LLC)
------------------------------------------------------------------------------
Statistic p-value
------------------------------------------------------------------------------
Unadjusted t -2.8902
Adjusted t* -0.3745 0.3540
------------------------------------------------------------------------------
. xtwest LOG_LIGHT_PER_AREA LOG_STOCK_PER_AREA,lags(0)
Calculating Westerlund ECM panel cointegration tests..........
Results for H0: no cointegration
With 159 series and 1 covariate
-----------------------------------------------+
Statistic | Value | Z-value | P-value |
-----------+-----------+-----------+-----------|
Gt | -5.292 | -52.311 | 0.000 |
Ga | -7.117 | -9.191 | 0.000 |
Pt | -34.243 | -23.822 | 0.000 |
Pa | -2.764 | -7.566 | 0.000 |
-----------------------------------------------+
. xtreg LOG_STOCK_PER_AREA LOG_LIGHT_PER_AREA i.YEAR i.ZONE_CODE
Random-effects GLS regression Number of obs = 2,544
Group variable: ZONE_CODE Number of groups = 159
R-sq: Obs per group:
within = 0.5316 min = 16
between = 1.0000 avg = 16.0
overall = 0.9947 max = 16
Wald chi2(174) = 441595.44
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
------------------------------------------------------------------------------------
LOG_STOCK_PER_AREA | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------------+----------------------------------------------------------------
LOG_LIGHT_PER_AREA | .1774761 .0250222 7.09 0.000 .1284336 .2265186
|
YEAR |
1993 | -.020583 .025726 -0.80 0.424 -.0710051 .029839
1994 | .0030187 .0265171 0.11 0.909 -.0489539 .0549912
1995 | .0397774 .0268229 1.48 0.138 -.0127945 .0923494
1996 | .0800078 .0273573 2.92 0.003 .0263886 .1336271
1997 | .1080289 .028831 3.75 0.000 .0515211 .1645367
1998 | .140126 .0290924 4.82 0.000 .0831059 .1971461
1999 | .1718153 .0300616 5.72 0.000 .1128956 .2307349
2000 | .2187836 .0303132 7.22 0.000 .1593708 .2781965
2001 | .2738928 .0304279 9.00 0.000 .2142553 .3335303
2002 | .3226873 .0305584 10.56 0.000 .2627939 .3825807
2003 | .3643156 .0306851 11.87 0.000 .3041739 .4244573
2004 | .4159676 .0308917 13.47 0.000 .3554209 .4765143
2005 | .4701667 .0309302 15.20 0.000 .4095446 .5307888
2006 | .5200243 .0310344 16.76 0.000 .4591979 .5808507
2007 | .5656801 .0311789 18.14 0.000 .5045705 .6267896
|
ZONE_CODE |
2 | 2.603189 .1032575 25.21 0.000 2.400808 2.80557
3 | 5.110154 .1900558 26.89 0.000 4.737651 5.482656
4 | .7861518 .076097 10.33 0.000 .6370044 .9352992
5 | 3.886602 .1449702 26.81 0.000 3.602466 4.170739
6 | 3.849154 .1774581 21.69 0.000 3.501343 4.196966
7 | 2.824678 .1102932 25.61 0.000 2.608507 3.040849
8 | 2.736722 .092404 29.62 0.000 2.555614 2.917831
9 | 6.331761 .1402635 45.14 0.000 6.05685 6.606673
10 | 4.824811 .1386759 34.79 0.000 4.553011 5.096611
11 | 7.157272 .2168326 33.01 0.000 6.732288 7.582256
12 | 3.34085 .1190295 28.07 0.000 3.107557 3.574143
13 | 6.258582 .2043253 30.63 0.000 5.858112 6.659052
14 | 9.54039 .1825055 52.27 0.000 9.182686 9.898094
15 | 2.255478 .0990042 22.78 0.000 2.061433 2.449523
16 | 1.802859 .081425 22.14 0.000 1.643269 1.962449
17 | 8.66984 .2119789 40.90 0.000 8.254369 9.085311
18 | 1.219851 .089364 13.65 0.000 1.044701 1.395002
19 | .6529144 .1570086 4.16 0.000 .3451832 .9606456
20 | 5.739473 .1700272 33.76 0.000 5.406226 6.072721
21 | 2.721162 .1092237 24.91 0.000 2.507088 2.935237
22 | 5.05734 .17211 29.38 0.000 4.72001 5.394669
23 | 4.554775 .1168391 38.98 0.000 4.325775 4.783775
24 | .9884869 .0794496 12.44 0.000 .8327684 1.144205
25 | 1.774394 .0903217 19.65 0.000 1.597366 1.951421
26 | 2.346005 .0770428 30.45 0.000 2.195004 2.497006
27 | 1.791387 .0788889 22.71 0.000 1.636767 1.946006
28 | 2.69725 .1221605 22.08 0.000 2.45782 2.936681
29 | 2.660891 .1102884 24.13 0.000 2.44473 2.877052
30 | 4.94475 .1859478 26.59 0.000 4.580299 5.309201
31 | -.4249605 .0845175 -5.03 0.000 -.5906119 -.2593092
32 | -.902141 .0922882 -9.78 0.000 -1.083023 -.7212594
33 | 3.18022 .1084585 29.32 0.000 2.967646 3.392795
34 | 4.651001 .1129269 41.19 0.000 4.429668 4.872333
35 | 5.57887 .2188149 25.50 0.000 5.15 6.007739
36 | 6.666931 .208074 32.04 0.000 6.259114 7.074749
37 | 2.787458 .1125064 24.78 0.000 2.566949 3.007966
38 | .1993255 .0761006 2.62 0.009 .0501712 .3484799
39 | 3.808611 .141189 26.98 0.000 3.531886 4.085337
40 | 2.44163 .091982 26.54 0.000 2.261348 2.621911
41 | 6.18929 .1711618 36.16 0.000 5.853819 6.524761
42 | 6.781602 .1533969 44.21 0.000 6.48095 7.082255
43 | 6.291124 .0796146 79.02 0.000 6.135082 6.447166
44 | 6.090927 .1601237 38.04 0.000 5.77709 6.404763
45 | 2.308292 .0884414 26.10 0.000 2.13495 2.481634
46 | -.3078293 .1432012 -2.15 0.032 -.5884985 -.0271601
47 | 7.282767 .1068998 68.13 0.000 7.073247 7.492287
48 | 3.090885 .1218146 25.37 0.000 2.852133 3.329637
49 | 3.252749 .1307354 24.88 0.000 2.996512 3.508986
50 | 4.36189 .148241 29.42 0.000 4.071343 4.652437
51 | .9754725 .0957183 10.19 0.000 .787868 1.163077
52 | -6.104545 .0763572 -79.95 0.000 -6.254202 -5.954888
53 | 3.843655 .0840356 45.74 0.000 3.678948 4.008361
54 | 3.966945 .1503422 26.39 0.000 3.672279 4.26161
55 | 1.679175 .0943396 17.80 0.000 1.494273 1.864077
56 | 5.74933 .1609392 35.72 0.000 5.433895 6.064765
57 | -4.976709 .0841131 -59.17 0.000 -5.141567 -4.81185
58 | 4.587548 .1161845 39.49 0.000 4.35983 4.815265
60 | 1.598803 .1002627 15.95 0.000 1.402292 1.795314
61 | 2.542571 .0897123 28.34 0.000 2.366739 2.718404
62 | 6.571575 .1651862 39.78 0.000 6.247816 6.895334
63 | 2.763994 .1028708 26.87 0.000 2.56237 2.965617
64 | 7.323151 .2148861 34.08 0.000 6.901982 7.74432
65 | 5.508636 .1394134 39.51 0.000 5.235391 5.781881
66 | -1.580525 .1231349 -12.84 0.000 -1.821865 -1.339185
67 | 4.560422 .1432483 31.84 0.000 4.279661 4.841184
68 | 5.716908 .1831038 31.22 0.000 5.358032 6.075785
69 | 3.320269 .1199026 27.69 0.000 3.085264 3.555274
70 | .8575328 .075906 11.30 0.000 .7087598 1.006306
71 | 1.47441 .0824857 17.87 0.000 1.312741 1.636079
72 | 1.334522 .0758837 17.59 0.000 1.185792 1.483251
73 | 2.636141 .1054931 24.99 0.000 2.429378 2.842904
74 | 2.750756 .1141446 24.10 0.000 2.527036 2.974475
75 | 5.402037 .14065 38.41 0.000 5.126368 5.677706
76 | 2.607373 .1100338 23.70 0.000 2.391711 2.823035
77 | 4.257643 .1221013 34.87 0.000 4.018329 4.496957
78 | 2.994184 .1096406 27.31 0.000 2.779293 3.209076
79 | 3.427369 .1308686 26.19 0.000 3.170871 3.683867
80 | 2.942016 .1304737 22.55 0.000 2.686293 3.19774
81 | 4.935492 .1387631 35.57 0.000 4.663522 5.207463
82 | 5.880358 .1920806 30.61 0.000 5.503887 6.256829
83 | 6.173831 .1745697 35.37 0.000 5.83168 6.515981
84 | 4.953639 .1642204 30.16 0.000 4.631773 5.275505
85 | 6.733105 .1830394 36.78 0.000 6.374354 7.091856
86 | 3.680079 .1331551 27.64 0.000 3.419099 3.941058
87 | 2.280317 .0814392 28.00 0.000 2.120699 2.439935
88 | 5.703409 .1880893 30.32 0.000 5.334761 6.072057
89 | .3342622 .0763998 4.38 0.000 .1845213 .4840031
90 | 5.364742 .1816595 29.53 0.000 5.008696 5.720788
91 | 2.336329 .1037682 22.51 0.000 2.132947 2.539711
92 | 1.6689 .0772072 21.62 0.000 1.517577 1.820223
93 | 1.268319 .0898367 14.12 0.000 1.092242 1.444395
95 | -.2724419 .0781191 -3.49 0.000 -.4255524 -.1193313
96 | 7.595832 .2199622 34.53 0.000 7.164714 8.02695
97 | 5.924354 .1929939 30.70 0.000 5.546093 6.302615
98 | -.3351802 .0791882 -4.23 0.000 -.4903863 -.1799741
99 | 5.276207 .1631774 32.33 0.000 4.956385 5.596028
100 | 3.661193 .135793 26.96 0.000 3.395044 3.927343
102 | 3.553916 .1112967 31.93 0.000 3.335778 3.772053
103 | 2.019059 .0808971 24.96 0.000 1.860504 2.177614
104 | 1.108592 .1757348 6.31 0.000 .7641584 1.453026
106 | .9441567 .0831011 11.36 0.000 .7812816 1.107032
107 | 4.362284 .2095986 20.81 0.000 3.951478 4.77309
108 | 6.870369 .1955651 35.13 0.000 6.487069 7.25367
109 | 4.227897 .1174194 36.01 0.000 3.99776 4.458035
110 | 2.277392 .1027015 22.17 0.000 2.076101 2.478683
111 | -.6373483 .079889 -7.98 0.000 -.7939278 -.4807687
112 | 2.848983 .1319512 21.59 0.000 2.590364 3.107603
113 | 3.604046 .139933 25.76 0.000 3.329782 3.878309
114 | 2.130599 .1242694 17.14 0.000 1.887035 2.374162
115 | 3.412685 .1213831 28.12 0.000 3.174779 3.650592
117 | 5.595483 .1214484 46.07 0.000 5.357449 5.833518
118 | 1.423087 .0775763 18.34 0.000 1.27104 1.575134
119 | 1.648742 .0994794 16.57 0.000 1.453766 1.843718
120 | 2.338954 .0938772 24.92 0.000 2.154958 2.522949
121 | 4.650914 .1178226 39.47 0.000 4.419986 4.881842
122 | 5.346469 .1431265 37.35 0.000 5.065946 5.626992
123 | 5.229805 .1580569 33.09 0.000 4.92002 5.539591
124 | 4.939746 .179955 27.45 0.000 4.58704 5.292451
125 | 6.35389 .180773 35.15 0.000 5.999581 6.708198
126 | 5.726378 .1570742 36.46 0.000 5.418518 6.034238
127 | 5.474563 .1136703 48.16 0.000 5.251773 5.697353
128 | 1.845566 .0929331 19.86 0.000 1.663421 2.027712
129 | 4.496981 .166977 26.93 0.000 4.169712 4.824249
130 | 4.733832 .1641757 28.83 0.000 4.412053 5.05561
131 | 4.775307 .1478802 32.29 0.000 4.485467 5.065147
133 | 3.14244 .128168 24.52 0.000 2.891236 3.393645
134 | 2.474389 .0845347 29.27 0.000 2.308704 2.640074
135 | 4.686379 .1258122 37.25 0.000 4.439791 4.932966
136 | 2.441329 .0814458 29.97 0.000 2.281698 2.600959
137 | 9.783396 .2267085 43.15 0.000 9.339056 10.22774
139 | 5.193939 .1564124 33.21 0.000 4.887376 5.500502
140 | 3.921011 .1196934 32.76 0.000 3.686416 4.155606
141 | .9960809 .0788118 12.64 0.000 .8416127 1.150549
142 | 1.702818 .0828071 20.56 0.000 1.540519 1.865117
143 | 4.364775 .14524 30.05 0.000 4.08011 4.64944
144 | 6.650834 .1666899 39.90 0.000 6.324128 6.97754
145 | 3.398973 .1426679 23.82 0.000 3.119349 3.678596
146 | 4.429325 .1310184 33.81 0.000 4.172534 4.686116
147 | 1.077054 .0812207 13.26 0.000 .9178646 1.236244
148 | 2.475257 .0925628 26.74 0.000 2.293837 2.656677
149 | 3.454272 .115012 30.03 0.000 3.228853 3.679692
150 | 6.517822 .1756642 37.10 0.000 6.173526 6.862118
151 | 3.890918 .1272132 30.59 0.000 3.641585 4.140252
152 | 4.195256 .1220825 34.36 0.000 3.955978 4.434533
153 | .796287 .0796651 10.00 0.000 .6401462 .9524277
154 | 4.152177 .1705846 24.34 0.000 3.817837 4.486517
155 | 6.681123 .1829479 36.52 0.000 6.322552 7.039694
156 | .9787718 .0764644 12.80 0.000 .8289044 1.128639
157 | 2.523383 .1135654 22.22 0.000 2.300799 2.745967
158 | 4.773611 .1601149 29.81 0.000 4.459791 5.08743
159 | 3.388351 .0927659 36.53 0.000 3.206533 3.570168
160 | 2.954834 .104074 28.39 0.000 2.750852 3.158815
161 | -4.976312 .0758939 -65.57 0.000 -5.125061 -4.827563
162 | .7734057 .0827407 9.35 0.000 .6112369 .9355746
163 | 2.155911 .096742 22.29 0.000 1.9663 2.345522
381 | 1.065307 .0930303 11.45 0.000 .8829707 1.247643
941 | 4.654125 .1333803 34.89 0.000 4.392704 4.915545
5001 | 3.228903 .1705008 18.94 0.000 2.894728 3.563079
|
_cons | .6067668 .1220229 4.97 0.000 .3676062 .8459274
-------------------+----------------------------------------------------------------
sigma_u | 0
sigma_e | .21461705
rho | 0 (fraction of variance due to u_i)
------------------------------------------------------------------------------------
. import excel "G:\Stock Estimation Study\OriginalData\StockAlPanel1992_2010_PanelData.xls", sheet("Sheet1") firstrow case(upper) clear
. sort ZONE_CODE YEAR
. xtset ZONE_CODE YEAR
panel variable: ZONE_CODE (strongly balanced)
time variable: YEAR, 1992 to 2010
delta: 1 unit
. xtbalance, range(1992, 2009)
(134 observations deleted due to out of range)
. xtunitroot llc LOG_LIGHT_PER_AREA
Levin-Lin-Chu unit-root test for LOG_LIGHT_PER_AREA
---------------------------------------------------
Ho: Panels contain unit roots Number of panels = 134
Ha: Panels are stationary Number of periods = 18
AR parameter: Common Asymptotics: N/T -> 0
Panel means: Included
Time trend: Not included
ADF regressions: 1 lag
LR variance: Bartlett kernel, 8.00 lags average (chosen by LLC)
------------------------------------------------------------------------------
Statistic p-value
------------------------------------------------------------------------------
Unadjusted t -33.4731
Adjusted t* -10.5480 0.0000
------------------------------------------------------------------------------
. xtunitroot llc LOG_STOCK_PER_AREA
Levin-Lin-Chu unit-root test for LOG_STOCK_PER_AREA
---------------------------------------------------
Ho: Panels contain unit roots Number of panels = 134
Ha: Panels are stationary Number of periods = 18
AR parameter: Common Asymptotics: N/T -> 0
Panel means: Included
Time trend: Not included
ADF regressions: 1 lag
LR variance: Bartlett kernel, 8.00 lags average (chosen by LLC)
------------------------------------------------------------------------------
Statistic p-value
------------------------------------------------------------------------------
Unadjusted t -8.3116
Adjusted t* -4.4511 0.0000
------------------------------------------------------------------------------
. xtwest LOG_LIGHT_PER_AREA LOG_STOCK_PER_AREA,lags(0)
Calculating Westerlund ECM panel cointegration tests..........
Results for H0: no cointegration
With 134 series and 1 covariate
-----------------------------------------------+
Statistic | Value | Z-value | P-value |
-----------+-----------+-----------+-----------|
Gt | -2.200 | -13.620 | 0.000 |
Ga | -5.006 | -3.065 | 0.001 |
Pt | -15.479 | -8.198 | 0.000 |
Pa | -2.033 | -4.023 | 0.000 |
-----------------------------------------------+
. xtreg LOG_STOCK_PER_AREA LOG_LIGHT_PER_AREA i.YEAR i.ZONE_CODE
Random-effects GLS regression Number of obs = 2,412
Group variable: ZONE_CODE Number of groups = 134
R-sq: Obs per group:
within = 0.6118 min = 18
between = 1.0000 avg = 18.0
overall = 0.9878 max = 18
Wald chi2(151) = 183343.53
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
------------------------------------------------------------------------------------
LOG_STOCK_PER_AREA | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------------+----------------------------------------------------------------
LOG_LIGHT_PER_AREA | .4733397 .034778 13.61 0.000 .4051761 .5415034
|
YEAR |
1993 | -.129406 .0400461 -3.23 0.001 -.2078949 -.0509172
1994 | -.1176847 .0409323 -2.88 0.004 -.1979106 -.0374589
1995 | -.0752216 .041167 -1.83 0.068 -.1559074 .0054642
1996 | -.0365111 .0418516 -0.87 0.383 -.1185388 .0455166
1997 | -.0241225 .0434735 -0.55 0.579 -.1093289 .0610839
1998 | .036201 .0434735 0.83 0.405 -.0490054 .1214075
1999 | .053782 .0450423 1.19 0.232 -.0344993 .1420633
2000 | .1220358 .0453666 2.69 0.007 .0331189 .2109526
2001 | .1838493 .0455299 4.04 0.000 .0946123 .2730862
2002 | .2442278 .0456897 5.35 0.000 .1546777 .333778
2003 | .3182977 .0458813 6.94 0.000 .2283719 .4082234
2004 | .4040333 .046165 8.75 0.000 .3135515 .494515
2005 | .490974 .046222 10.62 0.000 .4003805 .5815675
2006 | .5754624 .0463682 12.41 0.000 .4845824 .6663424
2007 | .6545021 .0465692 14.05 0.000 .5632281 .745776
2008 | .6790142 .0494164 13.74 0.000 .58216 .7758685
2009 | .822349 .0459898 17.88 0.000 .7322107 .9124873
|
ZONE_CODE |
2 | 2.312705 .129389 17.87 0.000 2.059107 2.566302
3 | .7739515 .1413588 5.48 0.000 .4968934 1.05101
4 | -.1348575 .1043121 -1.29 0.196 -.3393055 .0695904
5 | 1.42493 .1506312 9.46 0.000 1.129698 1.720162
6 | 1.976455 .1256412 15.73 0.000 1.730203 2.222708
7 | 4.31093 .192119 22.44 0.000 3.934383 4.687476
8 | 6.661833 .2984585 22.32 0.000 6.076865 7.246801
9 | 2.243389 .1624433 13.81 0.000 1.925006 2.561772
10 | 3.800118 .28106 13.52 0.000 3.249251 4.350985
11 | 7.447655 .2508562 29.69 0.000 6.955986 7.939324
12 | 1.598648 .1356568 11.78 0.000 1.332765 1.86453
13 | 1.151268 .1114218 10.33 0.000 .9328855 1.369651
14 | 5.690252 .2916309 19.51 0.000 5.118666 6.261839
15 | .0313623 .1215826 0.26 0.796 -.2069352 .2696598
16 | 1.412816 .1492018 9.47 0.000 1.120386 1.705246
17 | 1.606105 .1594678 10.07 0.000 1.293554 1.918656
18 | .4377111 .1086726 4.03 0.000 .2247168 .6507055
19 | .6264025 .123274 5.08 0.000 .3847898 .8680151
20 | .7757214 .1055148 7.35 0.000 .5689162 .9825266
21 | 3.154735 .1077991 29.26 0.000 2.943452 3.366017
22 | 1.48848 .1668071 8.92 0.000 1.161544 1.815416
23 | -.4082643 .1166901 -3.50 0.000 -.6369727 -.179556
24 | -1.643454 .1269464 -12.95 0.000 -1.892264 -1.394643
25 | 1.529731 .1480773 10.33 0.000 1.239505 1.819957
26 | 2.857939 .1552073 18.41 0.000 2.553739 3.16214
27 | 1.18934 .1536911 7.74 0.000 .8881107 1.490569
28 | -1.079324 .1041785 -10.36 0.000 -1.283511 -.8751383
29 | 1.847701 .1933411 9.56 0.000 1.46876 2.226643
30 | 1.261638 .160822 7.84 0.000 .9464322 1.576843
31 | 4.039378 .2353494 17.16 0.000 3.578101 4.500654
32 | 3.383407 .2102236 16.09 0.000 2.971376 3.795437
33 | 3.806792 .219575 17.34 0.000 3.376433 4.237152
34 | 1.368445 .1207117 11.34 0.000 1.131855 1.605036
35 | 6.456846 .14535 44.42 0.000 6.171965 6.741726
36 | 1.340298 .1666713 8.04 0.000 1.013628 1.666967
37 | 1.786918 .180344 9.91 0.000 1.43345 2.140386
38 | 1.880242 .2033385 9.25 0.000 1.481706 2.278778
39 | .4892408 .1047338 4.67 0.000 .2839662 .6945153
40 | 2.467608 .1140218 21.64 0.000 2.244129 2.691087
41 | 1.54107 .2064528 7.46 0.000 1.13643 1.94571
42 | 3.648426 .2208487 16.52 0.000 3.215571 4.081282
43 | 3.631748 .1579444 22.99 0.000 3.322182 3.941313
44 | .2837449 .1373401 2.07 0.039 .0145633 .5529265
45 | 1.839776 .1235749 14.89 0.000 1.597574 2.081979
46 | 4.604203 .2266777 20.31 0.000 4.159923 5.048483
47 | 3.343652 .1408886 23.73 0.000 3.067515 3.619789
48 | 3.387324 .191246 17.71 0.000 3.012489 3.76216
49 | -.2769497 .1727236 -1.60 0.109 -.6154817 .0615824
50 | 3.772375 .1969555 19.15 0.000 3.38635 4.158401
51 | 2.090676 .1641391 12.74 0.000 1.76897 2.412383
52 | 1.060248 .1039985 10.19 0.000 .8564152 1.264082
53 | .9405355 .1125595 8.36 0.000 .719923 1.161148
54 | .466419 .1039938 4.49 0.000 .2625948 .6702432
55 | .6837529 .1439238 4.75 0.000 .4016675 .9658383
56 | 1.346345 .1560976 8.63 0.000 1.040399 1.652291
57 | 3.329367 .1927039 17.28 0.000 2.951674 3.70706
58 | 2.30319 .1502829 15.33 0.000 2.008641 2.597739
59 | 2.151235 .1670493 12.88 0.000 1.823825 2.478646
60 | 1.075002 .1496555 7.18 0.000 .7816825 1.368321
61 | 1.359808 .17931 7.58 0.000 1.008367 1.711249
62 | .6835395 .1787086 3.82 0.000 .3332771 1.033802
63 | 3.315897 .1902139 17.43 0.000 2.943084 3.688709
64 | 2.939968 .2643279 11.12 0.000 2.421895 3.458041
65 | 3.946405 .2398559 16.45 0.000 3.476297 4.416514
66 | 2.498765 .2253954 11.09 0.000 2.056998 2.940532
67 | 4.752482 .2514821 18.90 0.000 4.259586 5.245378
68 | 2.026717 .1825597 11.10 0.000 1.668906 2.384527
69 | .7425507 .1113664 6.67 0.000 .5242765 .9608249
70 | 3.228296 .2590709 12.46 0.000 2.720527 3.736066
71 | 2.855146 .2509851 11.38 0.000 2.363224 3.347067
72 | .4226101 .1423149 2.97 0.003 .143678 .7015423
73 | .6203247 .106068 5.85 0.000 .4124352 .8282141
74 | .2125353 .122932 1.73 0.084 -.028407 .4534776
75 | 2.681002 .1832088 14.63 0.000 2.321919 3.040084
76 | -.3498157 .1072902 -3.26 0.001 -.5601006 -.1395307
77 | 4.810825 .3028929 15.88 0.000 4.217166 5.404484
78 | -.85668 .1088953 -7.87 0.000 -1.070111 -.6432492
79 | 3.247263 .2253204 14.41 0.000 2.805644 3.688883
80 | 2.180629 .1860121 11.72 0.000 1.816052 2.545206
81 | -2.185534 .1064995 -20.52 0.000 -2.394269 -1.976799
82 | 1.592339 .152701 10.43 0.000 1.293051 1.891628
83 | .5553524 .104024 5.34 0.000 .3514691 .7592357
84 | -.0615897 .1103956 -0.56 0.577 -.2779612 .1547817
85 | 4.923885 .2689036 18.31 0.000 4.396844 5.450927
86 | 2.623932 .1600713 16.39 0.000 2.310198 2.937666
87 | .8996235 .1401083 6.42 0.000 .6250162 1.174231
88 | -.8414774 .1100158 -7.65 0.000 -1.057104 -.6258504
89 | .8347392 .1805505 4.62 0.000 .4808667 1.188612
90 | 2.850865 .1919463 14.85 0.000 2.474657 3.227073
91 | 1.188513 .1703513 6.98 0.000 .8546304 1.522395
92 | .7363059 .1659105 4.44 0.000 .4111272 1.061485
93 | 3.767545 .1661333 22.68 0.000 3.44193 4.09316
94 | .5768882 .1058639 5.45 0.000 .3693988 .7843777
95 | .7644224 .1357661 5.63 0.000 .4983258 1.030519
96 | .5276152 .1279919 4.12 0.000 .2767556 .7784747
97 | 2.657977 .1612038 16.49 0.000 2.342023 2.97393
98 | 2.226979 .19619 11.35 0.000 1.842454 2.611504
99 | 3.310335 .2175067 15.22 0.000 2.88403 3.73664
100 | 2.801994 .2478887 11.30 0.000 2.316141 3.287846
101 | 3.580652 .2488314 14.39 0.000 3.092951 4.068353
102 | 3.490968 .1556095 22.43 0.000 3.185979 3.795957
103 | .9028841 .1268548 7.12 0.000 .6542533 1.151515
105 | 1.669354 .1753541 9.52 0.000 1.325667 2.013042
106 | 1.429354 .115666 12.36 0.000 1.202653 1.656055
107 | 4.054399 .1740562 23.29 0.000 3.713255 4.395543
108 | 1.131037 .1119177 10.11 0.000 .9116824 1.350392
109 | 7.553761 .3121292 24.20 0.000 6.941999 8.165523
110 | 3.015198 .2147494 14.04 0.000 2.594297 3.436099
111 | 2.108665 .163545 12.89 0.000 1.788123 2.429208
112 | -.2326517 .1078208 -2.16 0.031 -.4439766 -.0213269
113 | 3.185689 .1128989 28.22 0.000 2.964411 3.406967
114 | 2.259889 .1990391 11.35 0.000 1.869779 2.649998
115 | 4.638932 .2289762 20.26 0.000 4.190147 5.087717
116 | 1.351568 .1954181 6.92 0.000 .9685552 1.73458
117 | 2.642245 .179514 14.72 0.000 2.290404 2.994086
118 | 1.453196 .1263981 11.50 0.000 1.20546 1.700932
119 | 3.228794 .1566871 20.61 0.000 2.921693 3.535895
120 | 3.259428 .2424268 13.44 0.000 2.784281 3.734576
121 | 1.475502 .1750155 8.43 0.000 1.132477 1.818526
122 | 2.183229 .1671149 13.06 0.000 1.85569 2.510768
123 | .4813469 .1089262 4.42 0.000 .2678555 .6948383
124 | 3.550355 .2349032 15.11 0.000 3.089953 4.010757
125 | 3.848067 .251301 15.31 0.000 3.355526 4.340608
126 | .5097474 .1046869 4.87 0.000 .3045648 .71493
127 | 1.12168 .1551954 7.23 0.000 .8175029 1.425858
128 | 3.269618 .2196696 14.88 0.000 2.839074 3.700163
129 | 1.716381 .1255332 13.67 0.000 1.470341 1.962422
130 | 2.089907 .1750547 11.94 0.000 1.746806 2.433008
131 | 1.571242 .1435321 10.95 0.000 1.289924 1.85256
132 | .5094402 .1292267 3.94 0.000 .2561605 .7627198
133 | -.7386834 .1130102 -6.54 0.000 -.9601793 -.5171875
134 | -.1673952 .1322617 -1.27 0.206 -.4266233 .0918329
281 | -.3790113 .1270641 -2.98 0.003 -.6280522 -.1299703
|
_cons | -1.840654 .1672535 -11.01 0.000 -2.168465 -1.512843
-------------------+----------------------------------------------------------------
sigma_u | 0
sigma_e | .31196714
rho | 0 (fraction of variance due to u_i)
------------------------------------------------------------------------------------
. import excel "G:\Stock Estimation Study\OriginalData\StockCementPanel1992_2009_PanelData.xls", sheet("Sheet1") firstrow case(upper) clear
. sort ZONE_CODE YEAR
. xtset ZONE_CODE YEAR
panel variable: ZONE_CODE (strongly balanced)
time variable: YEAR, 1992 to 2009
delta: 1 unit
. xtbalance, range(1992, 2008)
(130 observations deleted due to out of range)
. xtunitroot llc LOG_LIGHT_PER_AREA
Levin-Lin-Chu unit-root test for LOG_LIGHT_PER_AREA
---------------------------------------------------
Ho: Panels contain unit roots Number of panels = 130
Ha: Panels are stationary Number of periods = 17
AR parameter: Common Asymptotics: N/T -> 0
Panel means: Included
Time trend: Not included
ADF regressions: 1 lag
LR variance: Bartlett kernel, 8.00 lags average (chosen by LLC)
------------------------------------------------------------------------------
Statistic p-value
------------------------------------------------------------------------------
Unadjusted t -31.3536
Adjusted t* -8.6994 0.0000
------------------------------------------------------------------------------
. xtunitroot llc LOG_STOCK_PER_AREA
Levin-Lin-Chu unit-root test for LOG_STOCK_PER_AREA
---------------------------------------------------
Ho: Panels contain unit roots Number of panels = 130
Ha: Panels are stationary Number of periods = 17
AR parameter: Common Asymptotics: N/T -> 0
Panel means: Included
Time trend: Not included
ADF regressions: 1 lag
LR variance: Bartlett kernel, 8.00 lags average (chosen by LLC)
------------------------------------------------------------------------------
Statistic p-value
------------------------------------------------------------------------------
Unadjusted t -29.1914
Adjusted t* -27.2963 0.0000
------------------------------------------------------------------------------
. xtwest LOG_LIGHT_PER_AREA LOG_STOCK_PER_AREA,lags(0)
Calculating Westerlund ECM panel cointegration tests..........
Results for H0: no cointegration
With 130 series and 1 covariate
-----------------------------------------------+
Statistic | Value | Z-value | P-value |
-----------+-----------+-----------+-----------|
Gt | -4.367 | -37.162 | 0.000 |
Ga | -5.471 | -4.185 | 0.000 |
Pt | -15.793 | -8.544 | 0.000 |
Pa | -0.879 | 0.579 | 0.719 |
-----------------------------------------------+
. xtreg LOG_STOCK_PER_AREA LOG_LIGHT_PER_AREA i.YEAR i.ZONE_CODE
Random-effects GLS regression Number of obs = 2,210
Group variable: ZONE_CODE Number of groups = 130
R-sq: Obs per group:
within = 0.6992 min = 17
between = 1.0000 avg = 17.0
overall = 0.9955 max = 17
Wald chi2(146) = 452344.18
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
------------------------------------------------------------------------------------
LOG_STOCK_PER_AREA | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------------+----------------------------------------------------------------
LOG_LIGHT_PER_AREA | .2480622 .0232592 10.67 0.000 .2024749 .2936495
|
YEAR |
1993 | -.0320401 .0224412 -1.43 0.153 -.0760241 .0119439
1994 | .0008853 .0230741 0.04 0.969 -.0443391 .0461097
1995 | .0469527 .0234764 2.00 0.046 .0009398 .0929656
1996 | .0958584 .0238574 4.02 0.000 .0490988 .1426181
1997 | .1229544 .025125 4.89 0.000 .0737103 .1721986
1998 | .1674397 .0254261 6.59 0.000 .1176054 .217274
1999 | .1956094 .0263531 7.42 0.000 .1439583 .2472605
2000 | .2400989 .0266106 9.02 0.000 .1879431 .2922547
2001 | .2847704 .0267779 10.63 0.000 .2322867 .3372541
2002 | .3372957 .0269045 12.54 0.000 .2845639 .3900275
2003 | .3859987 .0270444 14.27 0.000 .3329927 .4390048
2004 | .4307239 .0272008 15.83 0.000 .3774114 .4840365
2005 | .4778784 .0272853 17.51 0.000 .4244001 .5313566
2006 | .5257486 .0274195 19.17 0.000 .4720074 .5794898
2007 | .5746039 .0275161 20.88 0.000 .5206733 .6285344
2008 | .5967919 .0292176 20.43 0.000 .5395264 .6540574
|
ZONE_CODE |
2 | 4.281586 .0779242 54.95 0.000 4.128857 4.434315
3 | 1.942128 .0873486 22.23 0.000 1.770928 2.113328
4 | .5649445 .0588238 9.60 0.000 .4496519 .6802371
5 | 1.755871 .093981 18.68 0.000 1.571671 1.94007
6 | 1.049253 .0756703 13.87 0.000 .9009417 1.197564
7 | 4.824931 .1235234 39.06 0.000 4.58283 5.067032
8 | 3.501827 .1219689 28.71 0.000 3.262772 3.740881
9 | 5.966101 .1967351 30.33 0.000 5.580507 6.351695
10 | 2.956879 .1025723 28.83 0.000 2.755841 3.157917
11 | 5.2193 .1848786 28.23 0.000 4.856944 5.581655
12 | 8.264771 .164151 50.35 0.000 7.943041 8.586501
13 | 2.27604 .0646482 35.21 0.000 2.149332 2.402748
14 | .3652253 .0725625 5.03 0.000 .2230055 .5074451
15 | 1.906472 .092928 20.52 0.000 1.724337 2.088608
16 | 3.477835 .154322 22.54 0.000 3.175369 3.7803
17 | 4.457899 .1004218 44.39 0.000 4.261076 4.654722
18 | .1474848 .062419 2.36 0.018 .0251458 .2698238
19 | 1.072128 .0597847 17.93 0.000 .9549518 1.189303
20 | 1.615142 .0617859 26.14 0.000 1.494044 1.736241
21 | .8575779 .1056763 8.12 0.000 .6504562 1.0647
22 | 2.828905 .0946447 29.89 0.000 2.643405 3.014406
23 | 2.087886 .0921479 22.66 0.000 1.90728 2.268493
24 | 3.890447 .0969822 40.12 0.000 3.700366 4.080529
25 | 7.722447 .1986124 38.88 0.000 7.333174 8.11172
26 | 2.307994 .0961905 23.99 0.000 2.119464 2.496524
27 | -1.948226 .0587524 -33.16 0.000 -2.063379 -1.833074
28 | 2.772034 .1243572 22.29 0.000 2.528299 3.01577
29 | 2.152383 .0757696 28.41 0.000 2.003877 2.300889
30 | 3.788775 .1011858 37.44 0.000 3.590454 3.987095
31 | 4.658553 .1534057 30.37 0.000 4.357883 4.959222
32 | 5.213811 .1362273 38.27 0.000 4.94681 5.480812
33 | 5.716709 .0623063 91.75 0.000 5.594591 5.838827
34 | 4.362383 .1426449 30.58 0.000 4.082804 4.641962
35 | 8.293418 .0903492 91.79 0.000 8.116337 8.470499
36 | 2.588986 .1054642 24.55 0.000 2.38228 2.795692
37 | 3.055802 .1149653 26.58 0.000 2.830474 3.28113
38 | 3.666222 .1312912 27.92 0.000 3.408896 3.923548
39 | -.8992449 .0596531 -15.07 0.000 -1.016163 -.7823269
40 | .4432902 .059064 7.51 0.000 .327527 .5590534
41 | 2.690753 .0668766 40.23 0.000 2.559678 2.821829
42 | 2.282115 .1333772 17.11 0.000 2.020701 2.54353
43 | 4.281511 .1434794 29.84 0.000 4.000297 4.562726
44 | .8252661 .0671542 12.29 0.000 .6936463 .9568859
45 | .5749851 .0842814 6.82 0.000 .4097965 .7401737
46 | 5.236055 .1475543 35.49 0.000 4.946854 5.525256
47 | 2.442306 .0869076 28.10 0.000 2.271971 2.612642
48 | 4.474086 .1227764 36.44 0.000 4.233449 4.714723
49 | 4.963385 .1648171 30.11 0.000 4.64035 5.286421
50 | 2.851285 .1036398 27.51 0.000 2.648154 3.054415
51 | 3.36449 .0891324 37.75 0.000 3.189794 3.539187
52 | 2.192825 .0979006 22.40 0.000 2.000943 2.384706
53 | 4.341262 .1238963 35.04 0.000 4.09843 4.584094
54 | 3.237197 .1057529 30.61 0.000 3.029925 3.444469
55 | 2.469389 .0933055 26.47 0.000 2.286513 2.652264
56 | 2.507486 .1144083 21.92 0.000 2.28325 2.731722
57 | 2.936069 .1140125 25.75 0.000 2.712609 3.159529
58 | 3.869468 .1220904 31.69 0.000 3.630175 4.108761
59 | 4.846872 .1733468 27.96 0.000 4.507119 5.186626
60 | 5.073226 .1565876 32.40 0.000 4.76632 5.380133
61 | 3.950464 .1466366 26.94 0.000 3.663062 4.237867
62 | 5.335386 .1646221 32.41 0.000 5.012733 5.65804
63 | 3.335438 .1166738 28.59 0.000 3.106762 3.564115
64 | 1.736917 .0646402 26.87 0.000 1.610224 1.863609
65 | 4.779294 .169642 28.17 0.000 4.446801 5.111786
66 | -.4668238 .0590378 -7.91 0.000 -.5825358 -.3511117
67 | 5.257302 .1639079 32.07 0.000 4.936048 5.578555
68 | 1.576727 .0879242 17.93 0.000 1.404399 1.749055
69 | .3090506 .0600119 5.15 0.000 .1914294 .4266719
70 | 1.437396 .073565 19.54 0.000 1.293211 1.58158
71 | 3.273535 .1170351 27.97 0.000 3.04415 3.502919
72 | -.7049707 .0609972 -11.56 0.000 -.8245231 -.5854183
73 | -3.563726 .1997316 -17.84 0.000 -3.955193 -3.172259
74 | 5.183883 .1743299 29.74 0.000 4.842203 5.525564
75 | -.6566536 .0622262 -10.55 0.000 -.7786147 -.5346925
76 | 2.746813 .1191671 23.05 0.000 2.513249 2.980376
77 | -.313813 .0603515 -5.20 0.000 -.4320998 -.1955262
78 | 3.193312 .095505 33.44 0.000 3.006125 3.380498
79 | .8159879 .0585874 13.93 0.000 .7011587 .9308171
80 | .7335282 .0637813 11.50 0.000 .6085192 .8585371
81 | 1.191529 .0660116 18.05 0.000 1.062148 1.320909
82 | 5.081496 .1765555 28.78 0.000 4.735453 5.427538
83 | 2.299777 .0836186 27.50 0.000 2.135887 2.463666
84 | 2.168748 .1009118 21.49 0.000 1.970964 2.366531
85 | 1.692805 .0863317 19.61 0.000 1.523598 1.862012
86 | -1.182553 .062998 -18.77 0.000 -1.306027 -1.059079
87 | 1.900393 .1155495 16.45 0.000 1.673921 2.126866
88 | 2.400692 .1231804 19.49 0.000 2.159263 2.642121
89 | 1.324928 .1699009 7.80 0.000 .9919285 1.657928
90 | 1.636154 .108001 15.15 0.000 1.424475 1.847832
91 | 2.644196 .1049861 25.19 0.000 2.438427 2.849965
92 | 2.559138 .1050926 24.35 0.000 2.35316 2.765116
93 | .6557033 .0830874 7.89 0.000 .4928551 .8185515
94 | 1.804883 .0773295 23.34 0.000 1.65332 1.956447
95 | 3.723468 .1015475 36.67 0.000 3.524439 3.922498
96 | 4.452104 .1264265 35.21 0.000 4.204313 4.699895
97 | 4.481492 .1409598 31.79 0.000 4.205215 4.757768
98 | 3.867754 .1619334 23.88 0.000 3.55037 4.185137
99 | 5.432618 .1626429 33.40 0.000 5.113844 5.751392
100 | 4.777885 .14085 33.92 0.000 4.501824 5.053946
101 | 4.640294 .09754 47.57 0.000 4.449119 4.831469
102 | 1.036152 .0766087 13.53 0.000 .8860018 1.186302
103 | 2.287926 .1116764 20.49 0.000 2.069045 2.506808
104 | 2.30747 .067969 33.95 0.000 2.174253 2.440687
105 | 1.304788 .0644328 20.25 0.000 1.178502 1.431074
106 | 8.128763 .20606 39.45 0.000 7.724892 8.532633
107 | 4.213346 .1391939 30.27 0.000 3.940531 4.486161
108 | 3.40191 .1033008 32.93 0.000 3.199444 3.604376
109 | -.0648071 .0617585 -1.05 0.294 -.1858514 .0562373
110 | .4993205 .0657721 7.59 0.000 .3704095 .6282314
111 | 2.668047 .128321 20.79 0.000 2.416542 2.919551
112 | 5.141413 .1490727 34.49 0.000 4.849236 5.43359
113 | 3.290843 .1258178 26.16 0.000 3.044244 3.537441
114 | 3.64314 .1145489 31.80 0.000 3.418628 3.867652
115 | 2.680405 .0762075 35.17 0.000 2.531041 2.829769
116 | 4.329355 .1579936 27.40 0.000 4.019693 4.639016
117 | 3.363536 .1114117 30.19 0.000 3.145173 3.581899
118 | 3.804646 .1057696 35.97 0.000 3.597342 4.011951
119 | 1.083082 .0626813 17.28 0.000 .9602289 1.205935
120 | 3.627315 .1529941 23.71 0.000 3.327453 3.927178
121 | 4.53954 .1645105 27.59 0.000 4.217105 4.861975
122 | .6943768 .0591901 11.73 0.000 .5783664 .8103872
123 | 2.263076 .0972707 23.27 0.000 2.072429 2.453723
124 | 2.743639 .142672 19.23 0.000 2.464007 3.023271
125 | 2.281054 .111463 20.46 0.000 2.062591 2.499518
126 | 3.364248 .0883373 38.08 0.000 3.19111 3.537386
127 | 1.418029 .0780389 18.17 0.000 1.265075 1.570982
128 | .5589294 .0659305 8.48 0.000 .429708 .6881508
129 | 1.765455 .0805962 21.90 0.000 1.60749 1.923421
271 | 1.598469 .0767154 20.84 0.000 1.44811 1.748829
|
_cons | 2.547114 .1084305 23.49 0.000 2.334594 2.759634
-------------------+----------------------------------------------------------------
sigma_u | 0
sigma_e | .1706838
rho | 0 (fraction of variance due to u_i)
------------------------------------------------------------------------------------