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
Chi-Sq.
Test Summary Statistic Chi-Sq.d.f.Prob. Cross-section random0.10847310.7419 **Warning:estimated cross-section random effects variance is zero.
Cross-section random effects test comparisons:
Variable Fixed Random Var(Diff.)Prob.
RSCH?0.9679360.9676530.0000010.7419
Cross-section random effects test equation:
Dependent Variable:RSYH?
Method:Panel Least Squares
Date:07/04/10Time:12:17
Sample:11/02/20096/08/2010
Included observations:157
Cross-sections included:4
Total pool(balanced)observations:628
Variable Coefficient Std.Error t-Statistic Prob.
C0.0006810.000338 2.0127840.0446 RSCH?0.9679360.02088746.342450.0000
BZ?NA NA NA NA
Effects Specification
Cross-section fixed(dummy variables)
R-squared0.776033Mean dependent var-0.000360 Adjusted R-squared0.774233S.D.dependent var0.017801 S.E.of regression0.008458Akaike info criterion-6.697859 Sum squared resid0.044498Schwarz criterion-6.655414 Log likelihood2109.128F-statistic431.0387 Durbin-Watson stat 1.781260Prob(F-statistic)0.000000
Dependent Variable:RSYH_SHXP
Method:Least Squares
Date:07/01/10Time:14:39
Sample:11/02/20096/08/2010
Included observations:157
Variable Coefficient Std.Error t-Statistic Prob.
C0.0009500.000851 1.1165430.2659 RSCH_SHXP 1.0566040.05789018.251800.0000
R-squared0.682461Mean dependent var-3.57E-05 Adjusted R-squared0.680412S.D.dependent var0.018820 S.E.of regression0.010639Akaike info criterion-6.235840 Sum squared resid0.017546Schwarz criterion-6.196907 Log likelihood491.5134F-statistic333.1283 Durbin-Watson stat 1.783377Prob(F-statistic)0.000000
Dependent Variable:RSYH_SHDP
Method:Least Squares
Date:07/01/10Time:14:40
Sample:11/02/20096/08/2010
Included observations:157
Variable Coefficient Std.Error t-Statistic Prob.
C-0.0004480.000394-1.1375950.2570 RSCH_SHDP 1.0645920.02678839.741810.0000
R-squared0.910633Mean dependent var-0.001441 Adjusted R-squared0.910056S.D.dependent var0.016416 S.E.of regression0.004923Akaike info criterion-7.777057 Sum squared resid0.003757Schwarz criterion-7.738124 Log likelihood612.4990F-statistic1579.412 Durbin-Watson stat 1.730409Prob(F-statistic)0.000000
Dependent Variable:RSYH_SZXP
Method:Least Squares
Date:07/01/10Time:14:41
Sample:11/02/20096/08/2010
Included observations:157
Variable Coefficient Std.Error t-Statistic Prob.
C0.0020060.000915 2.1928540.0298 RSCH_SZXP0.8337630.05207116.011980.0000
R-squared0.623223Mean dependent var0.000990 Adjusted R-squared0.620792S.D.dependent var0.018568 S.E.of regression0.011434Akaike info criterion-6.091777 Sum squared resid0.020264Schwarz criterion-6.052844 Log likelihood480.2045F-statistic256.3835 Durbin-Watson stat 1.738163Prob(F-statistic)0.000000
Dependent Variable:RSYH_SZDP
Method:Least Squares
Date:07/01/10Time:14:42
Sample:11/02/20096/08/2010
Included observations:157
Variable Coefficient Std.Error t-Statistic Prob.
C0.0002300.0002470.9304620.3536 RSCH_SZDP0.9722850.01407869.063770.0000
R-squared0.968527Mean dependent var-0.000955 Adjusted R-squared0.968324S.D.dependent var0.017369 S.E.of regression0.003091Akaike info criterion-8.707763 Sum squared resid0.001481Schwarz criterion-8.668830 Log likelihood685.5594F-statistic4769.805 Durbin-Watson stat 1.925003Prob(F-statistic)0.000000
Null Hypothesis:Unit root(individual unit root process)
Date:07/01/10Time:12:41
Sample:11/02/20096/08/2010
Series:RSCH_SHDP,RSCH_SHXP,RSCH_SZDP,RSCH_SZXP, RSYH_SHDP,RSYH_SHXP,RSYH_SZDP,RSYH_SZXP
Exogenous variables:Individual effects
Automatic selection of maximum lags
Automatic selection of lags based on SIC:0
Total(balanced)observations:1248
Cross-sections included:8