回归结果小盘股投资策略
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Correlated Random Effects - Hausman Test Pool: Untitled
Test cross-section random effects
Test Summary Chi-Sq.
Statistic Chi-Sq. d.f. Prob.
Cross-section random 0.108473 1 0.7419 ** Warning: estimated cross-section random effects variance is zero.
Cross-section random effects test comparisons:
Variable Fixed Random Var(Diff.) Prob.
RSCH? 0.967936 0.967653 0.000001 0.7419
Cross-section random effects test equation:
Dependent Variable: RSYH?
Method: Panel Least Squares
Date: 07/04/10 Time: 12:17
Sample: 11/02/2009 6/08/2010
Included observations: 157
Cross-sections included: 4
Total pool (balanced) observations: 628
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000681 0.000338 2.012784 0.0446
RSCH? 0.967936 0.020887 46.34245 0.0000
BZ? NA NA NA NA
Effects Specification
Cross-section fixed (dummy variables)
R-squared 0.776033 Mean dependent var -0.000360 Adjusted R-squared 0.774233 S.D. dependent var 0.017801 S.E. of regression 0.008458 Akaike info criterion -6.697859 Sum squared resid 0.044498 Schwarz criterion -6.655414 Log likelihood 2109.128 F-statistic 431.0387 Durbin-Watson stat 1.781260 Prob(F-statistic) 0.000000
Dependent Variable: RSYH_SHXP
Method: Least Squares
Date: 07/01/10 Time: 14:39
Sample: 11/02/2009 6/08/2010
Included observations: 157
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000950 0.000851 1.116543 0.2659
RSCH_SHXP 1.056604 0.057890 18.25180 0.0000
R-squared 0.682461 Mean dependent var -3.57E-05 Adjusted R-squared 0.680412 S.D. dependent var 0.018820 S.E. of regression 0.010639 Akaike info criterion -6.235840 Sum squared resid 0.017546 Schwarz criterion -6.196907 Log likelihood 491.5134 F-statistic 333.1283 Durbin-Watson stat 1.783377 Prob(F-statistic) 0.000000
Dependent Variable: RSYH_SHDP
Method: Least Squares
Date: 07/01/10 Time: 14:40
Sample: 11/02/2009 6/08/2010
Included observations: 157
Variable Coefficient Std. Error t-Statistic Prob.
C -0.000448 0.000394 -1.137595 0.2570
RSCH_SHDP 1.064592 0.026788 39.74181 0.0000
R-squared 0.910633 Mean dependent var -0.001441 Adjusted R-squared 0.910056 S.D. dependent var 0.016416 S.E. of regression 0.004923 Akaike info criterion -7.777057 Sum squared resid 0.003757 Schwarz criterion -7.738124 Log likelihood 612.4990 F-statistic 1579.412 Durbin-Watson stat 1.730409 Prob(F-statistic) 0.000000
Dependent Variable: RSYH_SZXP
Method: Least Squares
Date: 07/01/10 Time: 14:41
Sample: 11/02/2009 6/08/2010
Included observations: 157