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    1. The document reports the results of regression analyses using three models - common effect, fixed effect, and random effect - to analyze panel data on total costs (TC), quantity (Q), price of factors (PF), and labor force (LF). 2. Estimates from the three models are stored and presented in a table in a separate file. 3. A Hausman test is conducted to select the preferred model, but problems are reported computing the test from the fixed and random effect outputs.

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    1. The document reports the results of regression analyses using three models - common effect, fixed effect, and random effect - to analyze panel data on total costs (TC), quantity (Q), price of factors (PF), and labor force (LF). 2. Estimates from the three models are stored and presented in a table in a separate file. 3. A Hausman test is conducted to select the preferred model, but problems are reported computing the test from the fixed and random effect outputs.

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    1. The document reports the results of regression analyses using three models - common effect, fixed effect, and random effect - to analyze panel data on total costs (TC), quantity (Q), price of factors (PF), and labor force (LF). 2. Estimates from the three models are stored and presented in a table in a separate file. 3. A Hausman test is conducted to select the preferred model, but problems are reported computing the test from the fixed and random effect outputs.

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    29 views6 pages

    Log

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    1. The document reports the results of regression analyses using three models - common effect, fixed effect, and random effect - to analyze panel data on total costs (TC), quantity (Q), price of factors (PF), and labor force (LF). 2. Estimates from the three models are stored and presented in a table in a separate file. 3. A Hausman test is conducted to select the preferred model, but problems are reported computing the test from the fixed and random effect outputs.

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    Friday March 18 07:16:1 2022 Page 1

    ___
    ____ ____ ____ ____(R)
    /__ / ____/ / ____/
    ___/ / /___/ / /___/
    Statistics/Data Analysis

    F(3, 86) = 503.12


    name: <unnamed>
    log: C:\Users\rdliv\Downloads\log.smcl
    log type: smcl
    opened on: 18 Mar 2022, 07:13:29

    1 . import excel "C:\Users\rdliv\Downloads\data3.xls", sheet("Table1") firstrow

    2 . do "C:\Users\rdliv\Downloads\Tugas data3.do"

    3 . *Analisis data panel: Common Effect, Fixed Effect, Random Effect


    4 .
    5 . *Common Effect: observasi antar waktu independent satu sama lain
    6 . reg TC Q PF LF

    Source SS df MS Number of obs = 90


    TC Coef. Std. Err. t F(3, 86)
    P>|t| [95% Conf. = Interval]
    503.12
    Model 1.1966e+14 3 3.9885e+13 Prob > F = 0.0000
    Residual
    Q 6.8177e+12
    2026114 61806.9586 7.9276e+10
    32.78 R-squared
    0.000 1903246 = 0.9461
    2148982
    PF 1.225348 .1037217 11.81 Adj R-squared
    0.000 1.019156 = 0.9442
    1.43154
    Total
    LF 1.2647e+14
    -3065753 696327.389 1.4210e+12
    -4.40 Root MSE
    0.000 -4450006 = -1681500
    2.8e+05
    _cons 1158559 360592.7 3.21 0.002 441724.6 1875394

    7 . estimate store ols

    8 .
    9 . //setting data panel
    10 . xtset Firm Year
    panel variable: Firm (strongly balanced)
    time variable: Year, 1970 to 1984
    delta: 1 unit

    11 .
    12 . *Fixed Effects
    13 . xtreg TC Q PF LF , fe

    Fixed-effects (within) regression Number of obs = 90


    Group variable: Firm Number of groups = 6

    R-sq: Obs per group:


    within = 0.9294 min = 15
    between = 0.9929 avg = 15.0
    overall = 0.9112 max = 15

    F(3,81) = 355.25
    corr(u_i, Xb) = -0.9045 Prob > F = 0.0000

    TC Coef. Std. Err. t P>|t| [95% Conf. Interval]

    Q 3319023 171354.1 19.37 0.000 2978082 3659964


    PF .7730709 .097319 7.94 0.000 .5794365 .9667053
    LF -3797368 613773.1 -6.19 0.000 -5018584 -2576152
    _cons 1077303 310799.2 3.47 0.001 458909.9 1695696

    sigma_u 748483
    sigma_e 210422.78
    rho .92675366 (fraction of variance due to u_i)
    Friday March 18 07:16:2 2022 Page
    F test that all u_i=0: F(5, 81) = 14.60 Prob > F = 0.0000

    14 . estimate store fixed

    15 .
    16 . *Random Effects
    17 . xtreg TC Q PF LF , re

    Random-effects GLS regression Number of obs = 90


    Group variable: Firm Number of groups = 6

    R-sq: Obs per group:


    within = 0.9037 min = 15
    between = 0.9934 avg = 15.0
    overall = 0.9432 max = 15

    Wald chi2(3) = 883.50


    corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000

    TC Coef. Std. Err. z P>|z| [95% Conf. Interval]

    Q 2288588 109493.7 20.90 0.000 2073984 2503192


    PF 1.123591 .1034406 10.86 0.000 .9208516 1.326331
    LF -3084994 725679.8 -4.25 0.000 -4507300 -1662688
    _cons 1074293 377468 2.85 0.004 334469.3 1814117

    sigma_u 107411.2
    sigma_e 210422.78
    rho .206704 (fraction of variance due to u_i)

    18 . estimate store random

    19 .
    20 . *menyajikan tabel hasil estimasi berbagai model
    21 . esttab ols fixed random using panel.rtf, replace se star (* 0.1 ** 0.05 *** 0.01) mtitle ("OLS"
    (output written to panel.rtf)

    22 .
    23 . *Uji Hausman: memilih model
    24 . xtreg TC Q PF LF , fe

    Fixed-effects (within) regression Number of obs = 90


    Group variable: Firm Number of groups = 6

    R-sq: Obs per group:


    within = 0.9294 min = 15
    between = 0.9929 avg = 15.0
    overall = 0.9112 max = 15

    F(3,81) = 355.25
    corr(u_i, Xb) = -0.9045 Prob > F = 0.0000

    TC Coef. Std. Err. t P>|t| [95% Conf. Interval]

    Q 3319023 171354.1 19.37 0.000 2978082 3659964


    PF .7730709 .097319 7.94 0.000 .5794365 .9667053
    LF -3797368 613773.1 -6.19 0.000 -5018584 -2576152
    _cons 1077303 310799.2 3.47 0.001 458909.9 1695696

    sigma_u 748483
    sigma_e 210422.78
    rho .92675366 (fraction of variance due to u_i)

    F test that all u_i=0: F(5, 81) = 14.60 Prob > F = 0.0000
    Friday March 18 07:16:51 Page

    25 . estimate store fixed

    26 .
    27 . xtreg TC Q PF LF , re

    Random-effects GLS regression Number of obs = 90


    Group variable: Firm Number of groups = 6

    R-sq: Obs per group:


    within = 0.9037 min = 15
    between = 0.9934 avg = 15.0
    overall = 0.9432 max = 15

    Wald chi2(3) = 883.50


    corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000

    TC Coef. Std. Err. z P>|z| [95% Conf. Interval]

    Q 2288588 109493.7 20.90 0.000 2073984 2503192


    PF 1.123591 .1034406 10.86 0.000 .9208516 1.326331
    LF -3084994 725679.8 -4.25 0.000 -4507300 -1662688
    _cons 1074293 377468 2.85 0.004 334469.3 1814117

    sigma_u 107411.2
    sigma_e 210422.78
    rho .206704 (fraction of variance due to u_i)

    28 . estimate store random

    29 .
    30 . hausman fixed random

    Note: the rank of the differenced variance matrix (2) does not equal the number of coefficients be
    problems computing the test. Examine the output of your estimators for anything unexpecte
    coefficients are on a similar scale.

    Coefficients
    (b) (B) (b-B) sqrt(diag(V_b-V_B))
    fixed random Difference S.E.
    Q 3319023 2288588 1030435 131808
    PF .7730709 1.123591 -.3505204 .
    LF -3797368 -3084994 -712373.5 .

    b = consistent under Ho and Ha; obtained from xtreg


    B = inconsistent under Ha, efficient under Ho; obtained from xtreg

    Test: Ho: difference in coefficients not systematic

    chi2(2) = (b-B)'[(V_b-V_B)^(-1)](b-B)
    = 60.87
    Prob>chi2 = 0.0000
    (V_b-V_B is not positive definite)
    Friday March 18 07:16:51 Page
    31 . //Jika H0 ditolak direkomendasikan memilih FE
    32 .
    33 . *Hasil Esttab
    34 . eststo: xtreg TC Q PF LF , fe

    Fixed-effects (within) regression Number of obs = 90


    Group variable: Firm Number of groups = 6

    R-sq: Obs per group:


    within = 0.9294 min = 15
    between = 0.9929 avg = 15.0
    overall = 0.9112 max = 15

    F(3,81) = 355.25
    corr(u_i, Xb) = -0.9045 Prob > F = 0.0000

    TC Coef. Std. Err. t P>|t| [95% Conf. Interval]

    Q 3319023 171354.1 19.37 0.000 2978082 3659964


    PF .7730709 .097319 7.94 0.000 .5794365 .9667053
    LF -3797368 613773.1 -6.19 0.000 -5018584 -2576152
    _cons 1077303 310799.2 3.47 0.001 458909.9 1695696

    sigma_u 748483
    sigma_e 210422.78
    rho .92675366 (fraction of variance due to u_i)

    F test that all u_i=0: F(5, 81) = 14.60 Prob > F = 0.0000
    (est1 stored)

    35 . eststo: xtreg TC Q PF LF , re

    Random-effects GLS regression Number of obs = 90


    Group variable: Firm Number of groups = 6

    R-sq: Obs per group:


    within = 0.9037 min = 15
    between = 0.9934 avg = 15.0
    overall = 0.9432 max = 15

    Wald chi2(3) = 883.50


    corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000

    TC Coef. Std. Err. z P>|z| [95% Conf. Interval]

    Q 2288588 109493.7 20.90 0.000 2073984 2503192


    PF 1.123591 .1034406 10.86 0.000 .9208516 1.326331
    LF -3084994 725679.8 -4.25 0.000 -4507300 -1662688
    _cons 1074293 377468 2.85 0.004 334469.3 1814117

    sigma_u 107411.2
    sigma_e 210422.78
    rho .206704 (fraction of variance due to u_i)

    (est2 stored)
    Friday March 18 07:16:51 Page
    36 . eststo: hausman fixed random

    Note: the rank of the differenced variance matrix (2) does not equal the number of coefficients be
    problems computing the test. Examine the output of your estimators for anything unexpecte
    coefficients are on a similar scale.

    Coefficients
    (b) (B) (b-B) sqrt(diag(V_b-V_B))
    fixed random Difference S.E.
    Q 3319023 2288588 1030435 131808
    PF .7730709 1.123591 -.3505204 .
    LF -3797368 -3084994 -712373.5 .

    b = consistent under Ho and Ha; obtained from xtreg


    B = inconsistent under Ha, efficient under Ho; obtained from xtreg

    Test: Ho: difference in coefficients not systematic

    chi2(2) = (b-B)'[(V_b-V_B)^(-1)](b-B)
    = 60.87
    Prob>chi2 = 0.0000
    (V_b-V_B is not positive definite)
    (est3 stored)

    37 . esttab

    (1) (2) (3)


    TC TC TC

    Q 3319023.3*** 2288588.0*** 2288588.0***


    (19.37) (20.90) (20.90)

    PF 0.773*** 1.124*** 1.124***


    (7.94) (10.86) (10.86)

    LF -3797367.6*** -3084994.1*** -3084994.1***


    (-6.19) (-4.25) (-4.25)

    _cons 1077302.7*** 1074293.0** 1074293.0**


    (3.47) (2.85) (2.85)

    N 90 90 90

    t statistics in parentheses
    * p<0.05, ** p<0.01, *** p<0.001

    38 . esttab, se r2

    (1) (2) (3)


    TC TC TC

    Q 3319023.3*** 2288588.0*** 2288588.0***


    (171354.1) (109493.7) (109493.7)

    PF 0.773*** 1.124*** 1.124***


    (0.0973) (0.103) (0.103)

    LF -3797367.6*** -3084994.1*** -3084994.1***


    (613773.1) (725679.8) (725679.8)
    Friday March 18 07:16:51 Page
    _cons 1077302.7*** 1074293.0** 1074293.0**
    (310799.2) (377468.0) (377468.0)

    N 90 90 90
    R-sq 0.929

    Standard errors in parentheses


    * p<0.05, ** p<0.01, *** p<0.001

    39 .
    end of do-file

    40 . log close
    name: <unnamed>
    log: C:\Users\rdliv\Downloads\log.smcl
    log type: smcl
    closed on: 18 Mar 2022, 07:14:01

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