Строим модели, включая новые переменные
Строим регрессию по всем факторам
. reg priceperm totsp livesp kitsp dist metrdist walk brick tel bal floor new floors nfloor floor1 floor2 sw w nw
note: floor1 omitted because of collinearity
| priceperm | Coef. | Std. Err. t | P>t | [95% Conf. | Interval] |
| totsp | -23.83594 | 8.222067 -2.90 | 0.004 | -39.97708 | -7.694796 |
| livesp | 2.229188 | 11.62848 0.19 | 0.848 | -20.59924 | 25.05762 |
| kitsp | 120.9425 | 22.36393 5.41 | 0.000 | 77.03878 | 164.8462 |
| dist | -114.3117 | 6.939782 -16.47 | 0.000 | -127.9356 | -100.6879 |
| metrdist | -31.75717 | 5.466021 -5.81 | 0.000 | -42.48779 | -21.02656 |
| walk | 512.4305 | 50.0966 10.23 | 0.000 | 414.0834 | 610.7776 |
| brick | 241.3125 | 56.45363 4.27 | 0.000 | 130.4856 | 352.1394 |
| tel | 131.6624 | 64.80613 2.03 | 0.043 | 4.438296 | 258.8865 |
| bal | -58.10572 | 68.42888 -0.85 | 0.396 | -192.4418 | 76.23037 |
| floor | 504.257 | 89.0837 5.66 | 0.000 | 329.3724 | 679.1416 |
| new | -382.2859 | 157.241 -2.43 | 0.015 | -690.9735 | -73.59829 |
| floors | 43.17511 | 6.588258 6.55 | 0.000 | 30.24137 | 56.10884 |
| nfloor | 21.12263 | 6.87479 3.07 | 0.002 | 7.626393 | 34.61887 |
| floor1 | (omitted) | ||||
| floor2 | 193.6415 | 121.1757 1.60 | 0.110 | -44.24439 | 431.5274 |
| sw | 220.4716 | 69.50931 3.17 | 0.002 | 84.01449 | 356.9288 |
| w | -15.53594 | 69.18949 -0.22 | 0.822 | -151.3652 | 120.2933 |
| nw | (omitted) | ||||
| _cons | 5688.65 | 239.3413 23.77 | 0.000 | 5218.787 | 6158.513 |
note: nw omitted because of collinearity
Source | SS df MS Number of obs = 763
-------------+------------------------------ F( 16, 746) = 45.02
Model | 280918767 16 17557423 Prob > F = 0.0000
Residual | 290939912 746 389999.882 R-squared = 0.4912
-------------+------------------------------ Adj R-squared = 0.4803
Total | 571858679 762 750470.708 Root MSE = 624.5
Убираем из модели незначимые переменные
. reg priceperm totsp kitsp dist metrdist walk brick tel bal floor new floors nfloor floor1 floor2 sw w nw
note: floor1 omitted because of collinearity
note: nw omitted because of collinearity
| Source | SS | df MS | Number of obs | = 763 | |
| F( 15, 747) | = 48.08 | ||||
| Model | 15 18726962.3 | Prob > F | = 0.0000 | ||
| Residual | 747 389496.98 | R-squared | = 0.4912 | ||
| Adj R-squared | = 0.4810 | ||||
| Total | 762 750470.708 | Root MSE | = 624.1 | ||
| priceperm | Coef. | Std. Err. t | P>t | [95% Conf. | Interval] |
| totsp | -22.63279 | 5.308048 -4.26 | 0.000 | -33.05325 | -12.21232 |
| kitsp | 119.9648 | 21.76058 5.51 | 0.000 | 77.24564 | 162.684 |
| dist | -114.3706 | 6.92851 -16.51 | 0.000 | -127.9723 | -100.7689 |
| metrdist | -31.74165 | 5.461896 -5.81 | 0.000 | -42.46414 | -21.01916 |
| walk | 512.3406 | 50.0621 10.23 | 0.000 | 414.0614 | 610.6197 |
| brick | 240.2024 | 56.11963 4.28 | 0.000 | 130.0314 | 350.3733 |
| tel | 131.0143 | 64.67614 2.03 | 0.043 | 4.045638 | 257.9829 |
| bal | -58.17913 | 68.38367 -0.85 | 0.395 | -192.4262 | 76.06792 |
| floor | 503.1923 | 88.85308 5.66 | 0.000 | 328.7609 | 677.6238 |
| new | -385.053 | 156.4761 -2.46 | 0.014 | -692.2383 | -77.86774 |
| floors | 43.03555 | 6.543687 6.58 | 0.000 | 30.18934 | 55.88175 |
| nfloor | 21.04038 | 6.856964 3.07 | 0.002 | 7.579171 | 34.5016 |
| floor1 | (omitted) | ||||
| floor2 | 193.2616 | 121.0813 1.60 | 0.111 | -44.43857 | 430.9617 |
| sw | 220.4665 | 69.46448 3.17 | 0.002 | 84.09768 | 356.8353 |
| w | -15.43383 | 69.14281 -0.22 | 0.823 | -151.1712 | 120.3035 |
| nw | (omitted) | ||||
| _cons | 5708.533 | 215.5608 26.48 | 0.000 | 5285.356 | 6131.71 |
. reg priceperm totsp kitsp dist metrdist walk brick tel bal floor new floors nfloor floor2 sw
| Source | SS | df MS | Number of obs | = 763 | |
| F( 14, 748) | = 51.58 | ||||
| Model | 14 20063216.3 | Prob > F | = 0.0000 | ||
| Residual | 748 389002.207 | R-squared | = 0.4912 | ||
| Adj R-squared | = 0.4817 | ||||
| Total | 762 750470.708 | Root MSE | = 623.7 | ||
| priceperm | Coef. | Std. Err. t | P>t | [95% Conf. | Interval] |
| totsp | -22.64478 | 5.304404 -4.27 | 0.000 | -33.05807 | -12.23149 |
| kitsp | 120.0053 | 21.746 5.52 | 0.000 | 77.31483 | 162.6958 |
| dist | -113.9993 | 6.721552 -16.96 | 0.000 | -127.1946 | -100.8039 |
| metrdist | -31.794 | 5.453392 -5.83 | 0.000 | -42.49977 | -21.08823 |
| walk | 512.5497 | 50.02153 10.25 | 0.000 | 414.3504 | 610.749 |
| brick | 241.6689 | 55.69832 4.34 | 0.000 | 132.3253 | 351.0125 |
| tel | 131.0826 | 64.63432 2.03 | 0.043 | 4.196389 | 257.9689 |
| bal | -58.05207 | 68.33786 -0.85 | 0.396 | -192.2089 | 76.10474 |
| floor | 501.937 | 88.6186 5.66 | 0.000 | 327.9663 | 675.9078 |
| new | -384.8134 | 156.373 -2.46 | 0.014 | -691.7956 | -77.83121 |
| floors | 42.86903 | 6.496896 6.60 | 0.000 | 30.11471 | 55.62335 |
| nfloor | 21.0565 | 6.852228 3.07 | 0.002 | 7.604613 | 34.50839 |
| floor2 | 192.429 | 120.9469 1.59 | 0.112 | -45.00689 | 429.8648 |
| sw | 231.6783 | 47.95305 4.83 | 0.000 | 137.5397 | 325.8169 |
| _cons | 5695.598 | 207.4935 27.45 | 0.000 | 5288.259 | 6102.937 |
. reg priceperm totsp kitsp dist metrdist walk brick tel floor new floors nfloor floor2 sw
| Source | SS | df MS | Number of obs | = 763 | |
| F( 13, 749) | = 55.51 | ||||
| Model | 13 21584947.2 | Prob > F | = 0.0000 | ||
| Residual | 749 388857.631 | R-squared | = 0.4907 | ||
| Adj R-squared | = 0.4818 | ||||
| Total | 762 750470.708 | Root MSE | = 623.58 | ||
| priceperm | Coef. | Std. Err. t | P>t | [95% Conf. | Interval] |
| totsp | -22.59862 | 5.30314 -4.26 | 0.000 | -33.0094 | -12.18783 |
| kitsp | 119.6491 | 21.73792 5.50 | 0.000 | 76.97455 | 162.3235 |
| dist | -113.8151 | 6.716805 -16.94 | 0.000 | -127.0011 | -100.6291 |
| metrdist | -31.72283 | 5.451735 -5.82 | 0.000 | -42.42532 | -21.02033 |
| walk | 513.9156 | 49.98639 10.28 | 0.000 | 415.7855 | 612.0457 |
| brick | 241.5738 | 55.68785 4.34 | 0.000 | 132.251 | 350.8967 |
| tel | 129.9915 | 64.60955 2.01 | 0.045 | 3.154135 | 256.8288 |
| floor | 462.8857 | 75.74849 6.11 | 0.000 | 314.1811 | 611.5903 |
| new | -391.6494 | 156.1368 -2.51 | 0.012 | -698.1672 | -85.13158 |
| floors | 42.22122 | 6.450787 6.55 | 0.000 | 29.55745 | 54.88499 |
| nfloor | 20.87844 | 6.847748 3.05 | 0.002 | 7.435375 | 34.3215 |
| floor2 | 149.2331 | 109.7179 1.36 | 0.174 | -66.15818 | 364.6243 |
| sw | 231.8342 | 47.94379 4.84 | 0.000 | 137.714 | 325.9544 |
| _cons | 5691.661 | 207.4032 27.44 | 0.000 | 5284.5 | 6098.822 |
. reg priceperm totsp kitsp dist metrdist walk brick tel floor new floors nfloor sw
| Source | SS | df MS | Number of obs | = 763 | |
| F( 12, 750) | = 59.91 | ||||
| Model | 12 23323743.5 | Prob > F | = 0.0000 | ||
| Residual | 750 389298.343 | R-squared | = 0.4894 | ||
| Adj R-squared | = 0.4813 | ||||
| Total | 762 750470.708 | Root MSE | = 623.94 | ||
| priceperm | Coef. | Std. Err. t | P>t | [95% Conf. | Interval] |
| totsp | -22.14878 | 5.295816 -4.18 | 0.000 | -32.54517 | -11.7524 |
| kitsp | 117.0832 | 21.66818 5.40 | 0.000 | 74.54572 | 159.6207 |
| dist | -112.9848 | 6.692801 -16.88 | 0.000 | -126.1237 | -99.84598 |
| metrdist | -31.68811 | 5.454763 -5.81 | 0.000 | -42.39653 | -20.97969 |
| walk | 512.5983 | 50.00532 10.25 | 0.000 | 414.4313 | 610.7654 |
| brick | 244.0884 | 55.68869 4.38 | 0.000 | 134.7642 | 353.4127 |
| tel | 131.2453 | 64.63957 2.03 | 0.043 | 4.349287 | 258.1413 |
| floor | 391.6417 | 54.75053 7.15 | 0.000 | 284.1592 | 499.1242 |
| new | -403.7455 | 155.9716 -2.59 | 0.010 | -709.9384 | -97.55256 |
| floors | 40.00396 | 6.244949 6.41 | 0.000 | 27.7443 | 52.26362 |
| nfloor | 25.84808 | 5.794812 4.46 | 0.000 | 14.4721 | 37.22406 |
| sw | 234.2453 | 47.93815 4.89 | 0.000 | 140.1364 | 328.3543 |
| _cons | 5744.119 | 203.9011 28.17 | 0.000 | 5343.834 | 6144.404 |
Описательные данные
. sum
| Variable | Obs | Mean | Std. Dev. | Min | Max |
| price | 277400.7 | 59191.17 | |||
| totsp | 50.69528 | 7.042669 | |||
| livesp | 30.62726 | 3.590044 | |||
| kitsp | 8.130799 | 1.855631 | |||
| dist | 11.87169 | 3.733502 | 3.5 | 20.5 | |
| metrdist | 9.406291 | 4.406219 | |||
| walk | .6330275 | .4822951 | |||
| brick | .3591088 | .4800538 | |||
| tel | .8558322 | .3514902 | |||
| bal | .7758847 | .4172719 | |||
| floor | .757536 | .4288546 | |||
| new | .0222805 | .147691 | |||
| floors | 11.90826 | 5.466382 | |||
| nfloor | 6.165138 | 4.53554 | |||
| floor1 | .1310616 | .3376891 | |||
| floor2 | .1114024 | .3148361 | |||
| sw | .3748362 | .4843981 | |||
| w | .4665793 | .499209 | |||
| nw | .1585845 | .3655278 | |||
| h13 | .0445609 | .2064731 | |||
| f13 | .0353866 | .1848762 | |||
| h7 | .0629096 | .2429595 | |||
| f7 | .0576671 | .2332658 | |||
| h3 | .0707733 | .2566139 | |||
| f3 | .0629096 | .2429595 | |||
| priceperm | 5469.564 | 866.2971 | 3514.118 | 7966.089 |
Добавляем логарифмы значимых переменных
. gen lnpriceperm=ln(priceperm)
. gen lntotsp=ln(totsp)
. gen lnkitsp=ln(kitsp)
. gen lndist=ln(dist)
. gen lnmetrdist=ln(metrdist)
. gen lnfloors=ln(floors)
. gen lnnfloor=ln(nfloor)
Строим логарифмическую модель
. reg lnpriceperm lntotsp lnkitsp lndist lnmetrdist lnfloors lnnfloor walk brick tel floor new sw
| Source | SS | df MS | Number of obs | = 763 | |
| F( 12, 750) | = 58.59 | ||||
| Model | 9.11274569 | 12 .759395474 | Prob > F | = 0.0000 | |
| Residual | 9.7214236 | 750 .012961898 | R-squared | = 0.4838 | |
| Adj R-squared | = 0.4756 | ||||
| Total | 18.8341693 | 762 .024716758 | Root MSE | = .11385 | |
| lnpriceperm | Coef. | Std. Err. t | P>t | [95% Conf. | Interval] |
| lntotsp | -.1994131 | .0491942 -4.05 | 0.000 | -.2959878 | -.1028384 |
| lnkitsp | .1488611 | .0338481 4.40 | 0.000 | .0824127 | .2153094 |
| lndist | -.2114004 | .0131866 -16.03 | 0.000 | -.2372874 | -.1855133 |
| lnmetrdist | -.038846 | .008135 -4.78 | 0.000 | -.0548159 | -.022876 |
| lnfloors | .0979816 | .0127182 7.70 | 0.000 | .0730141 | .122949 |
| lnnfloor | .0251988 | .005752 4.38 | 0.000 | .0139068 | .0364908 |
| walk | .0992604 | .0090582 10.96 | 0.000 | .0814781 | .1170428 |
| brick | .055766 | .0103708 5.38 | 0.000 | .0354067 | .0761253 |
| tel | .0268293 | .0117936 2.27 | 0.023 | .003677 | .0499817 |
| floor | .0569536 | .0105399 5.40 | 0.000 | .0362624 | .0776448 |
| new | -.0656276 | .0283623 -2.31 | 0.021 | -.1213065 | -.0099488 |
| sw | .0445313 | .0087298 5.10 | 0.000 | .0273935 | .0616691 |
| _cons | 9.227774 | .1493441 61.79 | 0.000 | 8.934591 | 9.520956 |
Делаем РЕ-тест МакКиннона
. predict priceperm_hat
(option xb assumed; fitted values)
. g lg_priceperm_hat=log(priceperm_hat)
. predict lgpriceperm_hat
(option xb assumed; fitted values)
. g exp_lnpriceperm_hat=exp(lgpriceperm_hat)
Добавляем переменные для двух моделей, чтобы понять уровень значимости необъяснённых данных в каждой из моделей
. . g d_lnpriceperm_hat= lg_priceperm_hat- lgpriceperm_hat
. . g d_priceperm_hat= priceperm_hat- exp_lnpriceperm_hat
Строим модели, включая новые переменные
. . reg lnpriceperm totsp kitsp dist metrdist walk brick tel floor new floors nfloor sw d_priceperm_hat
| Source | SS | df MS | Number of obs | = 763 | |
| F( 13, 749) | = 56.78 | ||||
| Model | 9.34801688 | 13 .719078222 | Prob > F | = 0.0000 | |
| Residual | 9.48615241 | 749 .01266509 | R-squared | = 0.4963 | |
| Adj R-squared | = 0.4876 | ||||
| Total | 18.8341693 | 762 .024716758 | Root MSE | = .11254 | |
| lnpriceperm | Coef. | Std. Err. t | P>t | [95% Conf. | Interval] |
| totsp | -.0040325 | .0009567 -4.22 | 0.000 | -.0059106 | -.0021545 |
| kitsp | .0211111 | .0039226 5.38 | 0.000 | .0134104 | .0288117 |
| dist | -.0205492 | .0012446 -16.51 | 0.000 | -.0229925 | -.0181058 |
| metrdist | -.0062592 | .0010011 -6.25 | 0.000 | -.0082246 | -.0042939 |
| walk | .0945092 | .0090207 10.48 | 0.000 | .0768004 | .1122179 |
| brick | .0431358 | .0100682 4.28 | 0.000 | .0233706 | .062901 |
| tel | .0234605 | .0117022 2.00 | 0.045 | .0004875 | .0464334 |
| floor | .0740622 | .0099061 7.48 | 0.000 | .0546151 | .0935092 |
| new | -.0720445 | .0281432 -2.56 | 0.011 | -.1272934 | -.0167956 |
| floors | .0073291 | .0011264 6.51 | 0.000 | .0051178 | .0095404 |
| nfloor | .0044789 | .0010529 4.25 | 0.000 | .0024119 | .0065458 |
| sw | .0430066 | .0086524 4.97 | 0.000 | .0260209 | .0599924 |
| d_priceper~t | -.0000824 | .0000996 -0.83 | 0.408 | -.000278 | .0001131 |
| _cons | 8.652102 | .0370245 233.69 | 0.000 | 8.579418 | 8.724786 |
. . reg priceperm totsp kitsp dist metrdist walk brick tel floor new floors nfloor sw d_lnpriceperm_hat
| Source | SS | df MS | Number of obs | = 763 | |
| F( 13, 749) | = 56.41 | ||||
| Model | 13 21761615.9 | Prob > F | = 0.0000 | ||
| Residual | 749 385791.286 | R-squared | = 0.4947 | ||
| Adj R-squared | = 0.4859 | ||||
| Total | 762 750470.708 | Root MSE | = 621.12 | ||
| priceperm | Coef. | Std. Err. t | P>t | [95% Conf. | Interval] |
| totsp | -23.3354 | 5.288962 -4.41 | 0.000 | -33.71835 | -12.95245 |
| kitsp | 123.0898 | 21.67707 5.68 | 0.000 | 80.53472 | 165.6448 |
| dist | -117.8863 | 6.889341 -17.11 | 0.000 | -131.411 | -104.3616 |
| metrdist | -29.3464 | 5.494344 -5.34 | 0.000 | -40.13254 | -18.56025 |
| walk | 516.8712 | 49.80302 10.38 | 0.000 | 419.1011 | 614.6413 |
| brick | 234.4734 | 55.54383 4.22 | 0.000 | 125.4333 | 343.5135 |
| tel | 147.1764 | 64.59951 2.28 | 0.023 | 20.35872 | 273.994 |
| floor | 382.1324 | 54.60936 7.00 | 0.000 | 274.9268 | 489.338 |
| new | -416.482 | 155.3343 -2.68 | 0.007 | -721.4244 | -111.5396 |
| floors | 40.33897 | 6.217911 6.49 | 0.000 | 28.13236 | 52.54558 |
| nfloor | 27.59376 | 5.802338 4.76 | 0.000 | 16.20298 | 38.98454 |
| sw | 237.472 | 47.73568 4.97 | 0.000 | 143.7603 | 331.1836 |
| d_lnpricep~t | -7856.148 | 2809.727 -2.80 | 0.005 | -13372.02 | -2340.271 |
| _cons | 5818.423 | 204.7128 28.42 | 0.000 | 5416.544 | 6220.302 |