比较两个回归系数(面板数据,多线性回归)

时间:2016-10-29 11:30:08

标签: r regression panel

我想比较我在面板数据中对子样本运行的两个回归系数。公式如下:

 r1 <- plm(y ~ x1+x2+x3, data=regressiondatalow, effect=c("twoways"),index=c("id", "year"))

 r2 <- plm(y ~ x1+x2+x3, data=regressiondatahigh, effect=c("twoways"),index=c("id", "year"))

我想测试x1的影响是否在这些子样本之间存在显着差异。

我想进一步说明x1对样本1的影响远大于样本2的影响。

以下是一些示例数据:

   id  year x1 x2 x3  y
    1  1994 10 20 30  5
    1  1995 15 20 30  6
    2  1993 1  20 30  6 
    2  1994 5  20 30  6

使用逻辑思维在我的数据中显而易见的是,系数显着不同。但对于我的论文,我需要进行某种测试。我更喜欢在R中进行,而不是在excel或handy中计算一些弥补测试。 (例如,系数的差异/标准误差之和的根^ 2)。

我希望你能帮我解决这个问题。

编辑:

dput()的结果

'structure(list(X = c(7L, 119L, 120L, 121L, 122L, 123L), fyear = c(1994L, 
1994L, 1995L, 1996L, 1997L, 1998L), cusip = structure(c(12L, 
254L, 254L, 254L, 254L, 254L), .Label = c("00130H105", "00206R102", 
"00507V109", "00724F101", "00751Y106", "00817Y108", "00846U101", 
"00971T101", "01741R102", "02076X102", "02209S103", "02376R102", 
"03822W406", "04621X108", "05329W102", "05349F402", "05873C106", 
"08658U101", "09062X103", "09247X101", "101137107", "109043109", 
"109696104", "110122108", "111320107", "111412706", "111572103", 
"115637209", "116881202", "117043109", "122014103", "124845108", 
"124857202", "12504L109", "125269100", "125509109", "12572Q105", 
"125896100", "126117100", "126408103", "126650100", "12673P105", 
"127097103", "129500104", "13342B105", "134429109", "139859102", 
"14040H105", "14149Y108", "141705103", "143130102", "143658300", 
"149123101", "151020104", "15189T107", "152312104", "152357109", 
"156700106", "156708109", "156782104", "158525105", "161133103", 
"16361A106", "166764100", "170040109", "171196108", "171340102", 
"171779309", "171798101", "172737108", "17275R102", "172908105", 
"177376100", "181396102", "18683K101", "189054109", "191216100", 
"192446102", "194162103", "197648009", "20030N101", "204493100", 
"205363104", "205862402", "205887102", "205944101", "206197105", 
"207142308", "20825C104", "208368100", "20854P109", "209115104", 
"209615004", "21036P108", "210371100", "212485106", "216831107", 
"218412104", "219350105", "22160K105", "222372104", "222862104", 
"224399105", "225224104", "22822V101", "228368106", "231021106", 
"232809103", "233311109", "233331107", "235851102", "237194105", 
"23918K108", "242370203", "244199105", "247361702", "247916208", 
"248019101", "24906P109", "25179M103", "251893103", "25271C102", 
"253849103", "254067101", "254687106", "25470F104", "25490A309", 
"256677105", "256746108", "25746U109", "257867200", "260003108", 
"260543103", "260561105", "26138E109", "261597108", "263534109", 
"26441C204", "26483E100", "268648102", "26875P101", "26884L109", 
"269157301", "269246401", "27637F100", "277432100", "278642103", 
"278749106", "278751102", "278865100", "281020107", "28176E108", 
"28336L109", "285512109", "285661104", "29084Q100", "291011104", 
"293561106", "293637401", "29364G103", "294429105", "29444U700", 
"30040W108", "30161N101", "30212P303", "302130109", "30219G108", 
"30231G102", "302445101", "302491303", "30249U101", "307000109", 
"311900104", "313135501", "313693103", "314211103", "31428X106", 
"315616102", "31620M106", "337738108", "337932107", "339099103", 
"339130106", "341109007", "343412102", "34354P105", "344849104", 
"345370860", "345838106", "347471104", "34988V106", "354613101", 
"35671D857", "35906A108", "35906P105", "360921209", "36225X100", 
"362320103", "36467W109", "364760108", "369550108", "369604103", 
"370120107", "370334104", "37045V100", "371532102", "37184G104", 
"372460105", "372917104", "373298108", "373712108", "374478105", 
"375048105", "375558103", "375766102", "38141G104", "382388106", 
"38388F108", "384637104", "384802104", "390064103", "390568103", 
"401698105", "40412C101", "40434L105", "406216101", "410252100", 
"41163G101", "412693103", "412822108", "413086109", "413875105", 
"416515104", "417119104", "418056107", "421924309", "421933102", 
"423452101", "427056106", "427866108", "42809H107", "432589109", 
"437076102", "437614100", "438506107", "438516106", "440452100", 
"441060100", "44107P104", "444859102", "445658107", "44919P508", 
"45073V108", "451713101", "452308109", "452327109", "452528102", 
"453258402", "458140100", "45866F104", "458683109", "459200101", 
"459506101", "459902102", "460146103", "460690100", "461202103", 
"46120E602", "46284V101", "466313103", "469814107", "47102X105", 
"478160104", "48020T101", "481088300", "481165108", "482480100", 
"485170302", "485865109", "48666K109", "487836108", "492386107", 
"49271M100", "494368103", "49456B101", "495582108", "495667107", 
"499040103", "500255104", "500754106", "501044101", "501797104", 
"502161102", "502424104", "50540R409", "512807108", "518439104", 
"524660107", "524901105", "524908100", "525327102", "526057104", 
"527288104", "52729N308", "529771107", "53217V109", "532457108", 
"532763109", "535678106", "538021106", "539830109", "540424108", 
"542290408", "543859102", "545700106", "546268103", "546347105", 
"548661107", "549282101", "549463107", "552618100", "552673105", 
"55616P104", "561232109", "563571108", "564054104", "564055101", 
"565849106", "569790108", "571748102", "573284106", "574599106", 
"576206106", "57636Q104", "577081102", "57772K101", "577730104", 
"577778103", "578592107", "579064106", "579780206", "580037109", 
"580135101", "58155Q103", "582834107", "583334107", "58405U102", 
"584699102", "587533100", "58933Y105", "589405109", "589433101", 
"592907109", "594918104", "595017104", "595112103", "59598X002", 
"601073109", "60462E104", "607059102", "608190104", "60871R209", 
"609207105", "60935Y208", "61166W101", "611742107", "61174X109", 
"615369105", "615857109", "617446448", "618447106", "619335102", 
"61945C103", "620076307", "626717102", "629156407", "629377508", 
"62952P102", "629579103", "629853102", "631103108", "635771108", 
"637071101", "637640103", "637657206", "63934E108", "64110D104", 
"64110L106", "64352U103", "650111107", "651229106", "651290108", 
"651587107", "651639106", "65332V103", "65339F101", "653520106", 
"654086107", "654106103", "65473P105", "655044105", "655419000", 
"655664100", "655844108", "656568508", "666807102", "670008101", 
"670346105", "67066G104", "670768100", "67103H107", "674599105", 
"67622P101", "681919106", "682680103", "68389X105", "688222207", 
"690768403", "69331C108", "69344F106", "693506107", "69351T106", 
"693656100", "69370C100", "694890104", "695257105", "695629105", 
"696429307", "697926103", "701094104", "703395103", "704326107", 
"704549203", "708160106", "70931Q109", "711030106", "713278109", 
"713291102", "713409100", "71343P200", "713448108", "714046109", 
"716768106", "716941109", "717081103", "71713U102", "717265102", 
"723484101", "723787107", "724479100", "729251108", "731095105", 
"737630103", "73930R102", "74005P104", "740189105", "740459102", 
"74144T108", "741503403", "742718109", "743315103", "744573106", 
"745867101", "747277101", "74736K101", "747402105", "747525103", 
"74762E102", "74834L100", "748356102", "749121109", "74912E101", 
"74979E101", "751212101", "75409P202", "754603108", "755111507", 
"758110100", "75886F107", "760759100", "761713106", "761763101", 
"767754104", "770323103", "773903109", "774341101", "775371107", 
"776696106", "778296103", "780257804", "782352108", "783520109", 
"783549108", "78409V104", "784635104", "784993941", "785905100", 
"786484105", "78648R203", "786514208", "790849103", "79299X952", 
"79466L302", "80004C101", "801056102", "802183103", "80218K105", 
"803062108", "80589M102", "806407102", "806605101", "806857108", 
"808513105", "808655104", "811054402", "811065101", "811804103", 
"811850106", "81211K100", "812350106", "812387108", "816851109", 
"817565104", "826170102", "826552101", "830830105", "83088M102", 
"832110100", "832696405", "833034101", "835415100", "842587107", 
"844741108", "845467109", "847560109", "851783100", "854502101", 
"855244109", "85590A401", "858122203", "858912108", "861589109", 
"863314100", "863667101", "86732Y109", "86764P109", "868536103", 
"871503108", "871508107", "871829107", "872375100", "872540109", 
"872649108", "875370108", "87612E106", "87901J105", "879131100", 
"87924V101", "879664100", "879868107", "88033G407", "880349105", 
"88076W103", "880770102", "880779103", "881609101", "881694103", 
"882508104", "883203101", "883556102", "884315102", "885535104", 
"88579Y101", "886547108", "887315109", "887317303", "88732J207", 
"887364107", "887389104", "888339207", "891027104", "891490302", 
"891906109", "892356106", "892893108", "893485102", "893719104", 
"899896104", "90130A101", "902494103", "902911106", "903293405", 
"904311107", "904911104", "905530101", "907818108", "910047109", 
"911312106", "911363109", "911910107", "912707106", "912909108", 
"913017109", "91324P102", "913903100", "915289102", "91529Y106", 
"918204108", "91913Y100", "92220P105", "92224R602", "923436109", 
"92343V104", "92345Y106", "92532F100", "92553P201", "925550105", 
"928497304", "929160109", "92939U106", "931142103", "931427108", 
"934488107", "94106K101", "94106L109", "941848103", "94973H108", 
"950590109", "958102105", "959802109", "960878106", "96145D105", 
"962166104", "963320106", "966837106", "969133107", "969457100", 
"97382A200", "981811102", "982526105", "983024100", "98310W108", 
"983134107", "98385X106", "98389B100", "983919101", "984249607", 
"988498101", "989349105", "989824107", "G0177J108", "G0408V102", 
"G1151C101", "G2554F113", "G25839104", "G29183103", "G30401106", 
"G3157S106", "G47791101", "G48833100", "G491BT108", "G51502105", 
"G5960L103", "G6359F103", "G65431101", "G7665A101", "G7945M107", 
"G7S00T104", "G81276100", "G91442106", "G96629103", "G97822103", 
"H27178104", "H2906T109", "H84989104", "H8817H100", "N59465109", 
"V7780T103", "Y09827109"), class = "factor"), conm = structure(c(15L, 
267L, 267L, 267L, 267L, 267L), .Label = c("3COM CORP", "3M CO", 
"ACCENTURE PLC", "ACTIVISION BLIZZARD INC", "ADOBE SYSTEMS INC", 
"ADVANCE AUTO PARTS INC", "AES CORP", "AETNA INC", "AGILENT TECHNOLOGIES INC", 
"AKAMAI TECHNOLOGIES INC", "ALLEGHENY TECHNOLOGIES INC", "ALLERGAN PLC", 
"ALPHA NATURAL RESOURCES INC", "ALTRIA GROUP INC", "AMERICAN AIRLINES GROUP INC", 
"AON PLC", "APPLIED MICRO CIRCUITS CORP", "ASSURANT INC", "AT&T INC", 
"AUTONATION INC", "AVATEX CORP", "BALLY ENTERTAINMENT CORP", 
"BESTFOODS", "BIOGEN INC", "BLACKROCK INC", "BOSTON SCIENTIFIC CORP", 
"BRIGGS & STRATTON", "BRINKS CO", "BRISTOL-MYERS SQUIBB CO", 
"BROADCOM CORP", "BROADCOM LTD", "BROADVISION INC", "BROADWAY STORES INC", 
"BROWN FORMAN CORP", "BRUNOS INC", "BRUNSWICK CORP", "BURLINGTON RESOURCES INC", 
"CA INC", "CABOT OIL & GAS CORP", "CALERES INC", "CAMERON INTERNATIONAL CORP", 
"CAMPBELL SOUP CO", "CAPITAL CITIES/ABC INC", "CAPITAL ONE FINANCIAL CORP", 
"CARDINAL HEALTH INC", "CAREMARK RX INC", "CARMAX INC", "CARNIVAL CORP/PLC (USA)", 
"CATERPILLAR INC", "CBRE GROUP INC", "CBS CORP", "CBS INC", "CELGENE CORP", 
"CENTERPOINT ENERGY INC", "CENTEX CORP", "CENTRAL & SOUTH WEST CORP", 
"CENTURYLINK INC", "CEPHALON INC", "CERNER CORP", "CF INDUSTRIES HOLDINGS INC", 
"CHAMPION INTERNATIONAL CORP", "CHARMING SHOPPES INC", "CHEMFIRST INC", 
"CHEVRON CORP", "CHIRON CORP", "CHRYSLER CORP", "CHURCH & DWIGHT INC", 
"CIENA CORP", "CIGNA CORP", "CIMAREX ENERGY CO", "CINTAS CORP", 
"CIRCUIT CITY STORES INC", "CISCO SYSTEMS INC", "CITRIX SYSTEMS INC", 
"CLARK EQUIPMENT CO", "CLIFFS NATURAL RESOURCES INC", "CLOROX CO/DE", 
"CME GROUP INC", "CMS ENERGY CORP", "CNA FINANCIAL CORP", "COCA-COLA CO", 
"COCA-COLA EUROPEAN PARTNERS", "COGNIZANT TECH SOLUTIONS", "COLGATE-PALMOLIVE CO", 
"COLUMBIA ENERGY GROUP", "COMCAST CORP", "COMPAQ COMPUTER CORP", 
"COMPUTER SCIENCES CORP", "COMVERSE TECHNOLOGY INC", "CON-WAY INC", 
"CONAGRA FOODS INC", "CONCORD EFS INC", "CONEXANT SYSTEMS INC", 
"CONOCOPHILLIPS", "CONRAIL INC", "CONSOL ENERGY INC", "CONSOLIDATED EDISON INC", 
"CONSOLIDATED NATURAL GAS CO", "CONSTELLATION BRANDS", "CONSTELLATION ENERGY GRP INC", 
"CONVERGYS CORP", "COOPER TIRE & RUBBER CO", "CORDANT TECHNOLOGIES INC", 
"CORNING INC", "COSTCO WHOLESALE CORP", "COUNTRYWIDE FINANCIAL CORP", 
"COVENTRY HEALTH CARE INC", "COVIDIEN PLC", "CRANE CO", "CRAY RESEARCH", 
"CROWN CASTLE INTL CORP", "CROWN HOLDINGS INC", "CSX CORP", "CUMMINS INC", 
"CVS HEALTH CORP", "CYPRUS AMAX MINERALS CO", "DANAHER CORP", 
"DARDEN RESTAURANTS INC", "DAVITA INC", "DEAN FOODS CO", "DEERE & CO", 
"DELTA AIR LINES INC", "DELUXE CORP", "DENBURY RESOURCES INC", 
"DENTSPLY SIRONA INC", "DEVON ENERGY CORP", "DEVRY EDUCATION GROUP INC", 
"DIAMOND OFFSHRE DRILLING INC", "DIGITAL EQUIPMENT", "DILLARDS INC  -CL A", 
"DIRECTV", "DISCOVERY COMMUNICATIONS INC", "DISNEY (WALT) CO", 
"DOLLAR GENERAL CORP", "DOLLAR TREE INC", "DOMINION RESOURCES INC", 
"DONNELLEY (R R) & SONS CO", "DOVER CORP", "DOW CHEMICAL", "DOW JONES & CO INC", 
"DR PEPPER SNAPPLE GROUP INC", "DRESSER INDUSTRIES INC", "DSC COMMUNICATIONS CORP", 
"DTE ENERGY CO", "DU PONT (E I) DE NEMOURS", "DUKE ENERGY CORP", 
"DUN & BRADSTREET CORP", "E-SYSTEMS INC", "E TRADE FINANCIAL CORP", 
"EASTERN ENTERPRISES", "EASTMAN CHEMICAL CO", "EATON CORP PLC", 
"EBAY INC", "ECHLIN INC", "ECHO BAY MINES LTD", "ECOLAB INC", 
"EDISON INTERNATIONAL", "EDWARDS LIFESCIENCES CORP", "EL PASO CORP", 
"ELECTRONIC ARTS INC", "ELECTRONIC DATA SYSTEMS CORP", "EMC CORP/MA", 
"EMCOR GROUP INC", "EMERSON ELECTRIC CO", "ENDO INTERNATIONAL PLC", 
"ENRON CORP", "ENSCO PLC", "ENTERASYS NETWORKS INC", "ENTERGY CORP", 
"EOG RESOURCES INC", "EQT CORP", "EQUIFAX INC", "EQUINIX INC", 
"EVERSOURCE ENERGY", "EW SCRIPPS  -CL A", "EXELON CORP", "EXPEDIA INC", 
"EXPEDITORS INTL WASH INC", "EXPRESS SCRIPTS HOLDING CO", "EXXON MOBIL CORP", 
"F5 NETWORKS INC", "FAMILY DOLLAR STORES", "FASTENAL CO", "FEDDERS CORP", 
"FEDERAL PAPER BOARD CO", "FEDERATED INVESTORS INC", "FEDEX CORP", 
"FIDELITY NATIONAL INFO SVCS", "FIRSTENERGY CORP", "FISERV INC", 
"FLEETWOOD ENTERPRISES INC", "FLEMING COMPANIES INC", "FLIR SYSTEMS INC", 
"FLORIDA PROGRESS CORP", "FLOWSERVE CORP", "FLUOR CORP", "FMC CORP", 
"FMC TECHNOLOGIES INC", "FOOT LOCKER INC", "FORD MOTOR CO", "FOREST LABORATORIES  -CL A", 
"FORT JAMES CORP", "FOSSIL GROUP INC", "FOSTER WHEELER AG", "FRANKLIN RESOURCES INC", 
"FREEPORT-MCMORAN INC", "FRONTIER COMMUNICATIONS CORP", "FRONTIER CORP", 
"FURNITURE BRANDS INTL INC", "GAMESTOP CORP", "GAP INC", "GARMIN LTD", 
"GENERAL DYNAMICS CORP", "GENERAL ELECTRIC CO", "GENERAL INSTRUMENT CORP", 
"GENERAL MILLS INC", "GENERAL MOTORS CO", "GENESCO INC", "GENESIS WORLDWIDE INC-OLD", 
"GENUINE PARTS CO", "GENZYME CORP", "GEORGIA-PACIFIC CORP", "GERBER PRODUCTS CO", 
"GIANT FOOD INC  -CL A", "GIDDINGS & LEWIS INC/WI", "GILEAD SCIENCES INC", 
"GILLETTE CO", "GOLDMAN SACHS GROUP INC", "GOODRICH CORP", "GPU INC", 
"GRACE (W R) & CO", "GRAHAM HOLDINGS CO", "GRAINGER (W W) INC", 
"GREAT ATLANTIC & PAC TEA CO", "GREAT LAKES CHEMICAL CORP", "GTE CORP", 
"GUIDANT CORP", "HALLIBURTON CO", "HANDLEMAN CO", "HARCOURT GENERAL INC", 
"HARLAND (JOHN H.) CO", "HARLEY-DAVIDSON INC", "HARMAN INTERNATIONAL INDS", 
"HARRIS CORP", "HARTFORD FINANCIAL SERVICES", "HARTMARX CORP", 
"HASBRO INC", "HCA HOLDINGS INC", "HEALTH MANAGEMENT ASSOC", 
"HEALTHSOUTH CORP", "HELMERICH & PAYNE", "HERCULES INC", "HERSHEY CO", 
"HESS CORP", "HILLSHIRE BRANDS CO", "HOME DEPOT INC", "HOMESTAKE MINING", 
"HONEYWELL INC", "HONEYWELL INTERNATIONAL INC", "HORMEL FOODS CORP", 
"HOSPIRA INC", "HOST HOTELS & RESORTS INC", "HP INC", "HUMANA INC", 
"HUNT (JB) TRANSPRT SVCS INC", "IAC/INTERACTIVECORP", "IKON OFFICE SOLUTIONS", 
"ILLINOIS TOOL WORKS", "ILLUMINA INC", "IMMUNEX CORP", "INCO LTD", 
"INGERSOLL-RAND PLC", "INTEL CORP", "INTERCONTINENTAL EXCHANGE", 
"INTERGRAPH CORP", "INTERPUBLIC GROUP OF COS", "INTL BUSINESS MACHINES CORP", 
"INTL FLAVORS & FRAGRANCES", "INTL GAME TECHNOLOGY", "INTL PAPER CO", 
"INTUIT INC", "INTUITIVE SURGICAL INC", "INVESCO LTD", "IRON MOUNTAIN INC", 
"ITT INC", "JABIL CIRCUIT INC", "JACOBS ENGINEERING GROUP INC", 
"JANUS CAPITAL GROUP INC", "JOHNSON & JOHNSON", "JOHNSON CONTROLS INTL PLC", 
"JONES GROUP INC", "JOSTENS INC", "JOY GLOBAL INC", "KANSAS CITY SOUTHERN", 
"KATE SPADE & CO", "KB HOME", "KELLOGG CO", "KERR-MCGEE CORP", 
"KEURIG GREEN MOUNTAIN INC", "KIMBERLY-CLARK CORP", "KINDER MORGAN INC", 
"KING PHARMACEUTICALS INC", "KING WORLD PRODUCTIONS INC", "KLA-TENCOR CORP", 
"KNIGHT-RIDDER INC", "KOHL'S CORP", "KRAFT HEINZ CO", "KROGER CO", 
"L-3 COMMUNICATIONS HLDGS INC", "L BRANDS INC", "LABORATORY CP OF AMER HLDGS", 
"LAM RESEARCH CORP", "LAUDER (ESTEE) COS INC -CL A", "LEGG MASON INC", 
"LEGGETT & PLATT INC", "LEHMAN BROTHERS HOLDINGS INC", "LEIDOS HOLDINGS INC", 
"LENNAR CORP", "LEUCADIA NATIONAL CORP", "LEVEL 3 COMMUNICATIONS INC", 
"LEXMARK INTL INC  -CL A", "LIFE TECHNOLOGIES CORP", "LILLY (ELI) & CO", 
"LIN BROADCASTING", "LINEAR TECHNOLOGY CORP", "LITTON INDUSTRIES INC", 
"LOCKHEED MARTIN CORP", "LOEWS CORP", "LONE STAR INDUSTRIES", 
"LORAL CORP", "LOTUS DEVELOPMENT CORP", "LOUISIANA-PACIFIC CORP", 
"LOUISIANA LAND & EXPLORATION", "LOWE'S COMPANIES INC", "LSI CORP", 
"LUBYS INC", "LUCENT TECHNOLOGIES INC", "M/A-COM INC", "MACY'S INC", 
"MALLINCKRODT INC", "MANITOWOC CO", "MANOR CARE INC", "MANOR CARE INC-OLD", 
"MARATHON OIL CORP", "MARION MERRELL DOW INC", "MARSH & MCLENNAN COS", 
"MARTIN MARIETTA MATERIALS", "MASCO CORP", "MASSEY ENERGY CO", 
"MASTERCARD INC", "MATTEL INC", "MAXIM INTEGRATED PRODUCTS", 
"MAXUS ENERGY CORP", "MAY DEPARTMENT STORES CO", "MAYTAG CORP", 
"MCAFEE INC", "MCCORMICK & CO INC", "MCDERMOTT INTL INC", "MCDONALD'S CORP", 
"MCI COMMUNICATIONS", "MCKESSON CORP", "MEAD CORP", "MEADWESTVACO CORP", 
"MEDCO HEALTH SOLUTIONS INC", "MEDIMMUNE INC", "MEDTRONIC PLC", 
"MERCANTILE STORES CO INC", "MERCK & CO", "MERCURY INTERACTIVE CORP", 
"MEREDITH CORP", "MEYER (FRED) INC", "MICROCHIP TECHNOLOGY INC", 
"MICRON TECHNOLOGY INC", "MICROSOFT CORP", "MILLIPORE CORP", 
"MIRAGE RESORTS INC", "MOBIL CORP", "MOHAWK INDUSTRIES INC", 
"MOLSON COORS BREWING CO", "MONDELEZ INTERNATIONAL INC", "MONEYGRAM INTERNATIONAL INC", 
"MONSANTO CO", "MONSTER BEVERAGE CORP", "MONSTER WORLDWIDE INC", 
"MOODY'S CORP", "MOORE WALLACE INC", "MORGAN STANLEY", "MORRISON KNUDSEN CORP OLD", 
"MORTON INTERNATIONAL INC", "MOSAIC CO", "MOTOROLA SOLUTIONS INC", 
"MURPHY OIL CORP", "MYLAN NV", "NABISCO GROUP HOLDINGS CORP", 
"NABORS INDUSTRIES LTD", "NACCO INDUSTRIES  -CL A", "NALCO CHEMICAL CO", 
"NASDAQ INC", "NATIONAL EDUCATION CORP", "NATIONAL OILWELL VARCO INC", 
"NATIONAL SEMICONDUCTOR CORP", "NATIONAL SERVICE INDS INC", "NAVISTAR INTERNATIONAL CORP", 
"NETAPP INC", "NETFLIX INC", "NEW CENTURY ENERGIES INC", "NEW YORK TIMES CO  -CL A", 
"NEWELL BRANDS INC", "NEWFIELD EXPLORATION CO", "NEWMARKET CORP", 
"NEWMONT MINING CORP", "NEXTEL COMMUNICATIONS INC", "NEXTERA ENERGY INC", 
"NIAGARA MOHAWK HOLDINGS INC", "NICOR INC", "NIKE INC", "NISOURCE INC", 
"NL INDUSTRIES", "NOBLE CORP PLC", "NOBLE ENERGY INC", "NORAM ENERGY CORP", 
"NORDSTROM INC", "NORFOLK SOUTHERN CORP", "NORTEL NETWORKS CORP", 
"NORTHROP GRUMMAN CORP", "NOVELLUS SYSTEMS INC", "NRG ENERGY INC", 
"NUCOR CORP", "NVIDIA CORP", "NYNEX CORP", "O'REILLY AUTOMOTIVE INC", 
"OCCIDENTAL PETROLEUM CORP", "OFFICEMAX INC", "OMNICOM GROUP", 
"ONEOK INC", "ORACLE CORP", "OSHKOSH B'GOSH INC  -CL A", "OWENS-ILLINOIS INC", 
"PACIFIC TELESIS GROUP", "PACIFICORP", "PACTIV CORP", "PAINE WEBBER GROUP", 
"PALL CORP", "PANENERGY CORP", "PARKER-HANNIFIN CORP", "PATTERSON COMPANIES INC", 
"PAYCHEX INC", "PEABODY ENERGY CORP", "PENNEY (J C) CO", "PENNZENERGY CO", 
"PENTAIR PLC", "PEOPLES ENERGY CORP", "PEP BOYS-MANNY MOE & JACK", 
"PEPCO HOLDINGS INC", "PEPSI BOTTLING GROUP INC", "PEPSIAMERICAS INC", 
"PEPSICO INC", "PERKINELMER INC", "PERRIGO CO PLC", "PETSMART INC", 
"PFIZER INC", "PG&E CORP", "PHARMACIA & UPJOHN INC", "PHARMACIA CORP", 
"PHELPS DODGE CORP", "PINNACLE WEST CAPITAL CORP", "PIONEER NATURAL RESOURCES CO", 
"PITNEY BOWES INC", "PLUM CREEK TIMBER CO INC", "PMC-SIERRA INC", 
"POTLATCH CORP", "POWER-ONE INC", "PPG INDUSTRIES INC", "PPL CORP", 
"PRAXAIR INC", "PRECISION CASTPARTS CORP", "PREMARK INTERNATIONAL INC", 
"PRICE (T. ROWE) GROUP", "PRICELINE GROUP INC", "PRIMARY PDC INC", 
"PROCTER & GAMBLE CO", "PROGRESSIVE CORP-OHIO", "PTC INC", "PUBLIC SERVICE ENTRP GRP INC", 
"PULTEGROUP INC", "PVH CORP", "QLOGIC CORP", "QORVO INC", "QUAKER OATS CO", 
"QUALCOMM INC", "QUANTA SERVICES INC", "QUEST DIAGNOSTICS INC", 
"QUESTAR CORP", "QWEST COMMUNICATION INTL INC", "R & B FALCON CORP", 
"RALPH LAUREN CORP", "RATIONAL SOFTWARE CORP", "RAYCHEM CORP", 
"RAYTHEON CO", "REEBOK INTERNATIONAL LTD", "REGENERON PHARMACEUTICALS", 
"REPUBLIC SERVICES INC", "REYNOLDS AMERICAN INC", "REYNOLDS METALS CO", 
"RITE AID CORP", "ROBERT HALF INTL INC", "ROCKWELL AUTOMATION", 
"ROCKWELL COLLINS INC", "ROHM AND HAAS CO", "ROPER TECHNOLOGIES INC", 
"ROSS STORES INC", "ROWAN COMPANIES PLC", "ROYAL CARIBBEAN CRUISES LTD", 
"ROYAL DUTCH PETROLEUM NV", "RS LEGACY CORP", "RUSSELL CORP", 
"RYAN'S RESTAURANT GROUP INC", "RYDER SYSTEM INC", "S&P GLOBAL INC", 
"SABRE HOLDINGS CORP  -CL A", "SAFETY-KLEEN CORP", "SAFETY-KLEEN CORP-OLD", 
"SAFEWAY INC", "SALESFORCE.COM INC", "SANDISK CORP", "SANMINA CORP", 
"SANTA FE PACIFIC CORP", "SANTA FE SNYDER CORP", "SAPIENT CORP", 
"SCANA CORP", "SCHEIN (HENRY) INC", "SCHERING-PLOUGH", "SCHLUMBERGER LTD", 
"SCHWAB (CHARLES) CORP", "SCIENTIFIC-ATLANTA INC", "SCRIPPS NETWORKS INTERACTIVE", 
"SEAGATE TECHNOLOGY-OLD", "SEAGATE TECHNOLOGY PLC", "SEAGRAM CO LTD", 
"SEALED AIR CORP", "SEARS HOLDINGS CORP", "SEARS ROEBUCK & CO", 
"SEMPRA ENERGY", "SERVICE CORP INTERNATIONAL", "SIEBEL SYSTEMS INC", 
"SIGMA-ALDRICH CORP", "SIGNET JEWELERS LTD", "SKYLINE CORP", 
"SKYWORKS SOLUTIONS INC", "SMITH INTERNATIONAL INC", "SMUCKER (JM) CO", 
"SNAP-ON INC", "SONAT INC", "SOUTHERN CO", "SOUTHWEST AIRLINES", 
"SOUTHWESTERN ENERGY CO", "SPECTRA ENERGY CORP", "SPRINGS INDUSTRIES  -CL A", 
"SPX CORP", "SPX CORP-OLD", "ST JUDE MEDICAL INC", "ST PAUL COS", 
"STANLEY BLACK & DECKER INC", "STARBUCKS CORP", "STARWOOD HOTELS&RESORTS WRLD", 
"STEEL EXCEL INC", "STERICYCLE INC", "STONE CONTAINER CORP", 
"STRIDE RITE CORP", "STRYKER CORP", "SUNEDISON INC", "SUNOCO INC", 
"SUPERVALU INC", "SYMANTEC CORP", "SYMBOL TECHNOLOGIES", "SYSCO CORP", 
"TANDEM COMPUTERS INC", "TARGET CORP", "TE CONNECTIVITY LTD", 
"TECO ENERGY INC", "TEGNA INC", "TEKTRONIX INC", "TELE-COMM TCI GROUP  -SER A", 
"TELLABS INC", "TEMPLE-INLAND INC", "TENET HEALTHCARE CORP", 
"TENNECO INC", "TERADATA CORP", "TERADYNE INC", "TEREX CORP", 
"TESORO CORP", "TEXACO INC", "TEXAS INSTRUMENTS INC", "TEXTRON INC", 
"THERMO FISHER SCIENTIFIC INC", "THOMAS & BETTS CORP", "TIFFANY & CO", 
"TIME WARNER CABLE INC", "TIME WARNER INC", "TIME WARNER INC-OLD", 
"TIMES MIRROR CO  -SER A", "TIMKEN CO", "TITANIUM METALS CORP", 
"TJX COMPANIES INC", "TORCHMARK CORP", "TOSCO CORP", "TOTAL SYSTEM SERVICES INC", 
"TRACTOR SUPPLY CO", "TRANE INC", "TRANSAMERICA CORP", "TRANSITIONAL HOSPITALS CP", 
"TRANSOCEAN LTD", "TRW INC", "TUPPERWARE BRANDS CORP", "TWENTY-FIRST CENTURY FOX INC", 
"TYCO INTERNATIONAL PLC", "TYSON FOODS INC  -CL A", "U S HEALTHCARE INC", 
"U S SURGICAL CORP", "UNDER ARMOUR INC", "UNICOM CORP", "UNION CAMP CORP", 
"UNION PACIFIC CORP", "UNITED CONTINENTAL HLDGS INC", "UNITED PARCEL SERVICE INC", 
"UNITED RENTALS INC", "UNITED STATES STEEL CORP", "UNITED TECHNOLOGIES CORP", 
"UNITEDHEALTH GROUP INC", "UNIVERSAL HEALTH SVCS INC", "UNOCAL CORP", 
"UNUM GROUP", "USG CORP", "UST INC", "VALERO ENERGY CORP", "VARIAN MEDICAL SYSTEMS INC", 
"VARITY CORP", "VERISK ANALYTICS INC", "VERITAS SOFTWARE CORP", 
"VERIZON COMMUNICATIONS INC", "VERTEX PHARMACEUTICALS INC", "VF CORP", 
"VIACOM INC", "VIAVI SOLUTIONS INC", "VITESSE SEMICONDUCTOR CORP", 
"VULCAN MATERIALS CO", "WAL-MART STORES INC", "WALGREENS BOOTS ALLIANCE INC", 
"WARNER-LAMBERT CO", "WASTE MANAGEMENT INC", "WASTE MANAGEMENT INC-OLD", 
"WATERS CORP", "WEATHERFORD INTL PLC", "WEC ENERGY GROUP INC", 
"WELLPOINT HEALTH NETWRKS INC", "WENDY'S INTERNATIONAL INC", 
"WESTERN DIGITAL CORP", "WESTERN UNION CO", "WESTMORELAND COAL CO", 
"WESTROCK CO", "WEYERHAEUSER CO", "WHIRLPOOL CORP", "WHOLE FOODS MARKET INC", 
"WILLAMETTE INDUSTRIES", "WILLIAMS COS INC", "WILLIS TOWERS WATSON PLC", 
"WINDSTREAM HOLDINGS INC", "WORTHINGTON INDUSTRIES", "WRIGLEY (WM) JR CO", 
"WYETH", "WYNDHAM WORLDWIDE CORP", "WYNN RESORTS LTD", "XCEL ENERGY INC", 
"XILINX INC", "XTO ENERGY INC", "YRC WORLDWIDE INC", "YUM BRANDS INC", 
"ZENITH ELECTRONICS CORP", "ZURN INDUSTRIES INC"), class = "factor"), 
    I.K.t.1. = c(0.079702368, 0.321001933, 0.280364009, 0.39636167, 
    0.680748676, 0.621385582), DACCR = c(0.029927891, -0.085398902, 
    0.075742559, -0.299361335, 0.070140074, -0.030889249), Q..t.1. = c(1.081423988, 
    1.522132109, 1.633073863, 1.228791523, 1.860783866, 1.41824731
    ), CF.t.1..K.t.2. = c(0.080339548, 0.29557373, 0.497805857, 
    0.92950922, 0.76617651, 0.98271337), sic_2.digits = c(45L, 
    50L, 50L, 50L, 50L, 50L), help = c(199445L, 199450L, 199550L, 
    199650L, 199750L, 199850L), Herfindahl = c(0.237181274, 0.360013173, 
    0.377860292, 0.317920418, 0.25537942, 0.257585389), Price.to.book.ratio = c(1.224008177, 
    2.927106179, 1.857270202, 3.455686667, 3.146659023, 1.031723126
    )), .Names = c("X", "fyear", "cusip", "conm", "I.K.t.1.", 
"DACCR", "Q..t.1.", "CF.t.1..K.t.2.", "sic_2.digits", "help", 
"Herfindahl", "Price.to.book.ratio"), row.names = c(1L, 43L, 
44L, 45L, 46L, 47L), class = "data.frame")'

1 个答案:

答案 0 :(得分:0)

可以通过ANOVA完成。我不会落后于数学,因为它不是你问题的焦点而不是这个网站的焦点。但是为了测试两个斜率和截距的差异并拒绝你的假设。我们可以使用ANOVA:

anova(r1,r2)

您可能会发现here ANOVA常用于线性回归模型的原因。

Wald test相当于嵌套模型中的ANOVA

 waldtest(r1, r2, vcov = vcovHC)