Q10-2 テキスト P191 1. 記述統計量 ( 変数 :YY95) 表示変数として 平均 中央値 最大値 最小値 標準偏差 観測値 を選択 A. 都道府県別 Descriptive Statistics for YY95 Categorized by values of PREFNUM Date: 05/11/06 Time: 14:36 Sample: 1990 2002 Included observations: 611 PREFNUM Mean Median Max Min. Std. Dev. Obs. 1 19998.23 20228.40 20675.10 18613.10 621.5943 13 2 4391.092 4475.100 4656.500 4041.700 208.2045 13 3 4635.015 4801.200 5156.400 4072.900 343.1432 13 4 8402.508 8583.100 8857.900 7638.400 399.9275 13 5 3798.277 3920.800 4005.600 3511.500 192.7465 13 ( 中略 ) 20 8279.377 8612.100 9241.100 7418.300 636.0440 13 21 7243.377 7342.900 7483.000 6809.400 224.7977 13 22 15550.05 15715.80 16600.60 14635.20 620.3207 13 23 3.08 33997.20 36519.00 30612.40 1897.328 13 24 6966.538 7133.800 7490.900 6270.800 384.1199 13 25 5617.154 5592.300 5957.100 5093.100 260.5582 13 26 9676.492 9658.600 10066.00 9224.000 202.2770 13 27 40285.10 40468.20 41615.00 39208.10 677.1486 13 28 19997.86 19882.30 21228.70 19212.90 558.1170 13 29 3704.569 3808.900 4018.500 3354.100 256.6822 13 30 3350.700 3373.500 3459.300 3210.800 71.75466 13 31 2071.346 2077.400 2163.400 1951.400 63.32828 13 32 2412.269 2426.900 2579.700 2200.500 129.2642 13 33 7277.646 7242.600 7502.900 6849.100 176.6619 13 34 11216.53 11210.00 11549.70 10988.90 155.2923 13 35 5633.015 5678.600 5898.000 5172.300 185.2473 13 36 2529.038 2589.700 2639.600 2337.600 109.3407 13 37 3712.731 3772.100 3862.900 3385.200 144.9472 13 38 4806.646 4888.500 5146.300 4402.600 224.2134 13 39 2431.615 2490.000 2583.500 2141.600 133.3821 13 40 17374.35 17757.90 18200.10 15889.90 805.3513 13 41 2821.146 2902.300 3011.000 2480.200 174.1299 13 42 4359.131 4445.600 4577.200 3993.100 177.3037 13 43 5776.046 5764.900 6079.100 5488.200 197.8587 13 44 4399.854 4417.200 4861.200 3962.700 276.7450 13 45 3456.215 3547.000 3731.600 3159.200 174.1643 13 46 5048.131 5048.600 5426.100 4591.600 281.1809 13 47 3351.338 3372.500 3589.200 3066.400 178.6209 13 All 10649.91 5685.400 86269.20 1951.400 13624.11 611 312
B. 年度別 Descriptive Statistics for YY95 Categorized by values of YEAR Date: 05/11/06 Time: 14:42 Sample: 1990 2002 Included observations: 611 YEAR Mean Median Max Min. Std. Dev. Obs. 1990 10014.84 5172.300 81012.10 1951.400 13341.31 47 1991 10281.77 5431.500 81408.50 2006.100 13519.55 47 1992 10300.14 5583.900 81412.20 1999.900 13494.14 47 1993 10282.26 5498.500 79907.10 2007.100 13259.53 47 1994 10389.84 5605.000 79518.50 2076.600 13212.87 47 1995 10616.31 5685.400 80799.70 2092.400 13467.01 47 1996 10946.03 5957.100 83379.10 2123.800 13909.21 47 1997 10846.69 5856.200 84859.60 2088.800 13994.49 47 1998 10852.51 5694.600 85260.70 2077.400 14031.52 47 1999 10894.82 5706.000 85127.20 2128.700 14017.70 47 2000 11105.63 5934.500 86071.00 2163.400 14201.86 47 2001 10931.09 5755.500 86269.20 2141.500 14159.26 47 2002 10986.89 5898.000 85819.90 2070.400 14157.17 47 All 10649.91 5685.400 86269.20 1951.400 13624.11 611 313
2. 都道府県別の 1 折れ線グラフ YY95 1 2 3 4 5 6 7 20800 4700 5200 9000 4100 8800 20400 20000 19600 19200 18800 4100 5000 8800 8600 8400 8200 8000 7800 3900 3700 3600 4100 3900 8400 8000 18400 3700 6800 8 9 10 11 12 13 14 12000 8600 8000 21500 20000 87000 32400 11600 11200 10800 10400 8400 8200 8000 7800 7900 7800 7700 7500 7400 7300 21000 20500 20000 19500 19000 19600 19200 18800 18400 18000 1 1 86000 85000 8 83000 82000 81000 80000 32000 31600 31200 30800 30400 30000 10000 7400 18500 16800 79000 29600 15 16 17 18 19 20 21 9800 4900 4900 9600 7500 9600 9400 9200 9000 8800 8600 8400 4700 4700 3200 3100 3200 3100 3000 9200 8800 8400 8000 7400 7300 7100 7000 6900 8200 3000 2900 6800 22 23 24 25 26 27 28 16800 37000 6000 10100 0 21600 16400 16000 15600 15200 1 36000 0 3 0 32000 31000 7400 7000 6800 6600 6400 5800 5600 5400 5200 10000 9900 9800 9700 9600 9500 9400 9300 41500 41000 40500 0 39500 21200 20800 20400 20000 19600 19200 1 30000 6200 5000 9200 39000 18800 29 30 31 32 33 34 35 4100 2200 2600 11600 6000 3900 3700 3600 3450 3350 3250 2160 2120 2080 2040 2000 1960 2500 2400 2300 2200 7500 7400 7300 7100 7000 6900 11500 11400 11300 11200 11100 11000 5900 5800 5700 5600 5500 5400 5300 5200 3200 1920 2100 6800 10900 5100 36 37 38 39 40 41 42 2650 3900 5200 2600 18500 3100 2600 2550 2500 2450 2400 2350 3700 3600 5100 5000 4900 4700 2500 2400 2300 2200 18000 17500 17000 16500 16000 3000 2900 2800 2700 2600 2500 4100 2300 2100 15500 2400 3900 43 44 45 46 47 6100 5000 5600 3600 6000 3700 5400 5900 3600 5200 5800 5700 5000 5600 3200 5500 3200 3100 5400 3100 3000 314
Q10-3. 固定効果モデルによる推計結果 テキスト P198 Dependent Variable: CP95 Method: Panel Least Squares Date: 05/11/06 Time: 14:52 Sample: 1990 2002 Cross-sections included: 47 Total panel (balanced) observations: 611 Variable Coefficien t Std. Error t-statistic Prob. C 1102.012 148.7882 7.406577 0.0000 YY95 0.374952 0.013951 26.87641 0.0000 Effects Specification Cross-section fixed (dummy variables) R-squared 0.998891 Mean dependent var 5095.215 Adjusted R-squared 0.998798 S.D. dependent var 5656.749 S.E. of regression 196.1269 Akaike info criterion 13.47070 Sum squared resid 21656222 Schwarz criterion 13.81755 Log likelihood -4067.300 F-statistic 10784.73 Durbin-Watson stat 0.608617 Prob(F-statistic) 0.000000 固定効果の有無に関する F 検定と尤度比検定 Redundant Fixed Effects Tests Equation: Untitled Test cross-section fixed effects Effects Test Statistic d.f. Prob. Cross-section F 688.430837 (46,563) 0.0000 Cross-section Chi-square 2472.960631 46 0.0000 315
固定効果の表示 CROSSID Effect 1 2326.237 2-441.4676 3-447.2808 4-178.1938 5-425.1672 6-633.2300 7-706.0463 8-514.4523 9-524.3203 10-453.9330 11 3921.764 12 3468.262 13-3089.157 14 5410.428 15-149.7867 16-941.3753 17-581.1088 18-812.1760 19-732.0889 20-105.8564 21-145.7601 22-322.8797 23 1580.036 24-515.4975 25-924.6586 26-148.5921 27 3330.507 28 1622.353 29 117.2071 30-647.0705 31-791.2051 32-790.4657 33-323.1325 34 24.27526 35-566.4520 36-767.3639 37-688.9685 38-616.7341 39-654.3965 40 312.1802 41-723.0210 42-501.8835 43-121.1202 44-662.2373 45-488.1491 46-238.3254 47-739.6945 316
Q10-4 テキスト P199 推計結果 Dependent Variable: CP95 Method: Panel Least Squares Date: 05/11/06 Time: 16:10 Sample: 1990 2002 Cross-sections included: 47 Total panel (balanced) observations: 611 Variable Coefficien t Std. Error t-statistic Prob. C 1996.356 167.6638 11.90690 0.0000 YY95 0.290975 0.015729 18.49957 0.0000 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared 0.999110 Mean dependent var 5095.215 Adjusted R-squared 0.999014 S.D. dependent var 5656.749 S.E. of regression 177.5833 Akaike info criterion 13.28979 Sum squared resid 17376244 Schwarz criterion 13.72336 Log likelihood -.032 F-statistic 10481.43 Durbin-Watson stat 0.594198 Prob(F-statistic) 0.000000 固定効果の有無に関する F 検定 尤度比検定の結果 Redundant Fixed Effects Tests Equation: EQ01 Test cross-section and period fixed effects Effects Test Statistic d.f. Prob. Cross-section F 840.692474 (46,551) 0.0000 Cross-section Chi-square 2606.086112 46 0.0000 Period F 11.309828 (12,551) 0.0000 Period Chi-square 134.535368 12 0.0000 Cross-Section/Period F 668.318368 (58,551) 0.0000 Cross-Section/Period Chi-square 2607.495999 58 0.0000 317
固体別の固定効果 CROSSID Effect 1 3111.278 2-967.0624 3-952.3918 4-366.9232 5-1000.545 6-1183.921 7-944.4828 8-473.0274 9-742.5384 10-705.9879 11 4721.331 12 4147.982 13 2998.481 14 7111.846 15-269.0053 16-1446.829 17-1093.127 18-1427.974 19-1363.765 20-304.9259 21-431.8295 22 88.61828 23 3490.520 24-824.8148 25-1347.293 26-230.3364 27 5819.172 28 2407.363 29-466.0396 30-1260.034 31-1511.605 32-1482.235 33-606.3241 34 71.85827 35-987.7542 36-1449.328 37-1271.530 38-1107.432 39-1344.542 40 876.8769 41-1380.455 42-1030.162 43-530.4111 44-1187.096 45-1092.252 46-708.7442 47-1352.604 時点別の固定効果 DATEID Effect 1/1/1990-205.951 1/1/1991-141.292 1/1/1992-86.0602 1/1/1993-28.6479 1/1/1994 25.10468 1/1/1995 7.965536 1/1/1996 13.37527 1/1/1997-5.396 1/1/1998 13.80014 1/1/1999 66.06326 1/1/2000 55.25938 1/1/2001 123.3083 1/1/2002 162.4697 318
Q10-5 テキスト P201 推計結果 Dependent Variable: CP95 Method: Panel Least Squares Date: 05/11/06 Time: 16:40 Sample (adjusted): 1991 2002 Cross-sections included: 47 Total panel (balanced) observations: 564 Convergence achieved after 9 iterations Variable Coefficien t Std. Error t-statistic Prob. C 4305.596 195.0081 22.07906 0.0000 YY95 0.096061 0.017084 5.622910 0.0000 AR(1) 0.815834 0.020566 39.66810 0.0000 Effects Specification Cross-section fixed (dummy variables) R-squared 0.999650 Mean dependent var 5127.777 Adjusted R-squared 0.999618 S.D. dependent var 5682.763 S.E. of regression 111.0954 Akaike info criterion 12.34153 Sum squared resid 6356232. Schwarz criterion 12.71816 Log likelihood -3431.311 F-statistic 30679.04 Durbin-Watson stat 1.989030 Prob(F-statistic) 0.000000 Inverted AR Roots.82 319
Q10-6 テキスト P205 変量効果モデルの推計結果 Dependent Variable: CP95 Method: Panel EGLS (Cross-section random effects) Date: 05/11/06 Time: 19:15 Sample: 1990 2002 Cross-sections included: 47 Total panel (balanced) observations: 611 Swamy and Arora estimator of component variances Variable Coefficien t Std. Error t-statistic Prob. C 973.5932 237.6465 4.096812 0.0000 YY95 0.387010 0.010362 37.34988 0.0000 Effects Specification S.D. Rho Cross-section random 1441.896 0.9818 Idiosyncratic random 196.1269 0.0182 Weighted Statistics R-squared 0.695878 Mean dependent var 192.0813 Adjusted R-squared 0.695379 S.D. dependent var 355.5451 S.E. of regression 196.2341 Sum squared resid 23451273 F-statistic 1393.489 Durbin-Watson stat 0.575203 Prob(F-statistic) 0.000000 Unweighted Statistics R-squared 0.935215 Mean dependent var 5095.215 Sum squared resid 1.26E+09 Durbin-Watson stat 0.010667 320
Q10-7 テキスト P211 Wu-Hausman 検定の結果 Correlated Random Effects - Hausman Test Equation: EQ01 Test cross-section random effects Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Cross-section random 82.170015 2 0.0000 Cross-section random effects test comparisons: Variable Fixed Random Var(Diff.) Prob. YY95 0.249293 0.317618 0.001202 0.0488 DEPO/P95 0.068011 0.059510 0.000001 0.0000 p 値 ( 帰無仮説が正しい確率 ) が 0% 帰無仮説 : 個別効果は変量効果である が棄却される 固定効果モデルが採択される 固定効果モデルの推計結果 Dependent Variable: CP95 Method: Panel Least Squares Date: 05/11/06 Time: 20:53 Sample (adjusted): 1998 2002 Cross-sections included: 47 Total panel (balanced) observations: 235 Variable Coefficien t Std. Error t-statistic Prob. C 1847.108 400.6215 4.610607 0.0000 YY95 0.249293 0.037028 6.732553 0.0000 DEPO/P95 0.068011 0.005767 11.79261 0.0000 Effects Specification Cross-section fixed (dummy variables) R-squared 0.999689 Mean dependent var 5267.932 Adjusted R-squared 0.999609 S.D. dependent var 5819.638 S.E. of regression 115.0480 Akaike info criterion 12.51176 Sum squared resid 2461905. Schwarz criterion 13.23312 Log likelihood -1421.132 F-statistic 12470.20 Durbin-Watson stat 1.758620 Prob(F-statistic) 0.000000 321