|
51 | 51 | {
|
52 | 52 | "cell_type": "markdown",
|
53 | 53 | "metadata": {
|
54 |
| - "heading_collapsed": true |
| 54 | + "heading_collapsed": true, |
| 55 | + "jp-MarkdownHeadingCollapsed": true |
55 | 56 | },
|
56 | 57 | "source": [
|
57 | 58 | "## 固定効果モデル"
|
|
61 | 62 | "cell_type": "markdown",
|
62 | 63 | "metadata": {
|
63 | 64 | "heading_collapsed": true,
|
64 |
| - "hidden": true |
| 65 | + "hidden": true, |
| 66 | + "jp-MarkdownHeadingCollapsed": true |
65 | 67 | },
|
66 | 68 | "source": [
|
67 | 69 | "### 説明"
|
|
615 | 617 | {
|
616 | 618 | "cell_type": "markdown",
|
617 | 619 | "metadata": {
|
618 |
| - "heading_collapsed": true |
| 620 | + "heading_collapsed": true, |
| 621 | + "jp-MarkdownHeadingCollapsed": true |
619 | 622 | },
|
620 | 623 | "source": [
|
621 | 624 | "## ダミー変数モデルとしての固定効果モデル"
|
|
714 | 717 | {
|
715 | 718 | "cell_type": "markdown",
|
716 | 719 | "metadata": {
|
717 |
| - "heading_collapsed": true |
| 720 | + "heading_collapsed": true, |
| 721 | + "jp-MarkdownHeadingCollapsed": true |
718 | 722 | },
|
719 | 723 | "source": [
|
720 | 724 | "## ランダム効果モデル"
|
|
995 | 999 | {
|
996 | 1000 | "cell_type": "markdown",
|
997 | 1001 | "metadata": {
|
998 |
| - "heading_collapsed": true |
| 1002 | + "heading_collapsed": true, |
| 1003 | + "jp-MarkdownHeadingCollapsed": true |
999 | 1004 | },
|
1000 | 1005 | "source": [
|
1001 | 1006 | "## 相関ランダム効果モデル"
|
|
1023 | 1028 | "\n",
|
1024 | 1029 | "* $\\bar{x}_i=\\dfrac{1}{T}\\sum_{t=1}^Tx_{it}$は説明変数の平均\n",
|
1025 | 1030 | "* $\\gamma$は$a_i$と$x_{it}$の相関関係を捉える係数\n",
|
1026 |
| - "* $r_i$は説明変数$x_{it}$と相関しないと仮定,即ち,$\\text{Cov}\\left(r_i\\bar{x}_{it}\\right)$\n", |
| 1031 | + "* $r_i$は説明変数$x_{it}$と相関しないと仮定,即ち,$\\text{Cov}\\left(r_i\\bar{x}_{it}\\right)=0$\n", |
1027 | 1032 | "\n",
|
1028 | 1033 | "(式5)を(式1)に代入すると次式を得る。\n",
|
1029 | 1034 | "\n",
|
|
1041 | 1046 | },
|
1042 | 1047 | "source": [
|
1043 | 1048 | "(含意)\n",
|
1044 |
| - "* $\\text{Cov}\\left(r_i,\\bar{x}_{it}\\right)\\;\\Rightarrow\\;\\text{Cov}\\left(v_i,\\bar{x}_{it}\\right)$\n", |
| 1049 | + "* $\\text{Cov}\\left(r_i,\\bar{x}_{it}\\right)=0\\;\\Rightarrow\\;\\text{Cov}\\left(v_i,\\bar{x}_{it}\\right)=0$\n", |
1045 | 1050 | "* REモデルと同じ構造となっており,違いは$\\bar{x}_i$が追加されている。\n",
|
1046 | 1051 | " * `linearmodels`の`RandomEffects`モジュールが使える。\n",
|
1047 | 1052 | "* 次の結果が成立する。\n",
|
|
1301 | 1306 | "hidden": true
|
1302 | 1307 | },
|
1303 | 1308 | "source": [
|
1304 |
| - "もう一度,FE対RE検定を行ってみよう。検定統計量(Statistics)は減少したが,以前帰無仮説は高い優位性で棄却できる。" |
| 1309 | + "もう一度,FE対RE検定を行ってみよう。検定統計量(Statistics)は減少したが,以前として帰無仮説は高い優位水準で棄却できる。" |
1305 | 1310 | ]
|
1306 | 1311 | },
|
1307 | 1312 | {
|
|
1318 | 1323 | {
|
1319 | 1324 | "cell_type": "markdown",
|
1320 | 1325 | "metadata": {
|
1321 |
| - "heading_collapsed": true |
| 1326 | + "heading_collapsed": true, |
| 1327 | + "jp-MarkdownHeadingCollapsed": true |
1322 | 1328 | },
|
1323 | 1329 | "source": [
|
1324 | 1330 | "## モデルの比較"
|
|
1341 | 1347 | "cell_type": "markdown",
|
1342 | 1348 | "metadata": {
|
1343 | 1349 | "heading_collapsed": true,
|
1344 |
| - "hidden": true |
| 1350 | + "hidden": true, |
| 1351 | + "jp-MarkdownHeadingCollapsed": true |
1345 | 1352 | },
|
1346 | 1353 | "source": [
|
1347 | 1354 | "### OLS"
|
|
1377 | 1384 | "cell_type": "markdown",
|
1378 | 1385 | "metadata": {
|
1379 | 1386 | "heading_collapsed": true,
|
1380 |
| - "hidden": true |
| 1387 | + "hidden": true, |
| 1388 | + "jp-MarkdownHeadingCollapsed": true |
1381 | 1389 | },
|
1382 | 1390 | "source": [
|
1383 | 1391 | "### 比較表の作成"
|
|
1462 | 1470 | "cell_type": "markdown",
|
1463 | 1471 | "metadata": {
|
1464 | 1472 | "heading_collapsed": true,
|
1465 |
| - "hidden": true |
| 1473 | + "hidden": true, |
| 1474 | + "jp-MarkdownHeadingCollapsed": true |
1466 | 1475 | },
|
1467 | 1476 | "source": [
|
1468 | 1477 | "### FD vs. FE"
|
|
1490 | 1499 | "cell_type": "markdown",
|
1491 | 1500 | "metadata": {
|
1492 | 1501 | "heading_collapsed": true,
|
1493 |
| - "hidden": true |
| 1502 | + "hidden": true, |
| 1503 | + "jp-MarkdownHeadingCollapsed": true |
1494 | 1504 | },
|
1495 | 1505 | "source": [
|
1496 | 1506 | "### FE vs. RE"
|
|
1523 | 1533 | {
|
1524 | 1534 | "cell_type": "markdown",
|
1525 | 1535 | "metadata": {
|
1526 |
| - "heading_collapsed": true |
| 1536 | + "heading_collapsed": true, |
| 1537 | + "jp-MarkdownHeadingCollapsed": true |
1527 | 1538 | },
|
1528 | 1539 | "source": [
|
1529 | 1540 | "## シミュレーション"
|
|
1891 | 1902 | {
|
1892 | 1903 | "cell_type": "markdown",
|
1893 | 1904 | "metadata": {
|
1894 |
| - "heading_collapsed": true |
| 1905 | + "heading_collapsed": true, |
| 1906 | + "jp-MarkdownHeadingCollapsed": true |
1895 | 1907 | },
|
1896 | 1908 | "source": [
|
1897 | 1909 | "## 標準誤差の問題"
|
|
1927 | 1939 | "cell_type": "markdown",
|
1928 | 1940 | "metadata": {
|
1929 | 1941 | "heading_collapsed": true,
|
1930 |
| - "hidden": true |
| 1942 | + "hidden": true, |
| 1943 | + "jp-MarkdownHeadingCollapsed": true |
1931 | 1944 | },
|
1932 | 1945 | "source": [
|
1933 | 1946 | "### 分散の確認"
|
|
2063 | 2076 | "cell_type": "markdown",
|
2064 | 2077 | "metadata": {
|
2065 | 2078 | "heading_collapsed": true,
|
2066 |
| - "hidden": true |
| 2079 | + "hidden": true, |
| 2080 | + "jp-MarkdownHeadingCollapsed": true |
2067 | 2081 | },
|
2068 | 2082 | "source": [
|
2069 | 2083 | "### 対処方法"
|
|
2073 | 2087 | "cell_type": "markdown",
|
2074 | 2088 | "metadata": {
|
2075 | 2089 | "heading_collapsed": true,
|
2076 |
| - "hidden": true |
| 2090 | + "hidden": true, |
| 2091 | + "jp-MarkdownHeadingCollapsed": true |
2077 | 2092 | },
|
2078 | 2093 | "source": [
|
2079 | 2094 | "#### 説明と計算"
|
|
2377 | 2392 | "name": "python",
|
2378 | 2393 | "nbconvert_exporter": "python",
|
2379 | 2394 | "pygments_lexer": "ipython3",
|
2380 |
| - "version": "3.11.10" |
| 2395 | + "version": "3.12.7" |
2381 | 2396 | },
|
2382 | 2397 | "toc": {
|
2383 | 2398 | "base_numbering": 1,
|
|
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