Chow 检验

Chow 检验是什么？

Chow 检验问的是两个组或断点前后的回归系数是否相同。它不是检验某一组内部是否显著，而是检验模型关系是否在已知分组或已知时间断点上发生结构变化。

先用一句话理解

把 Chow 检验想成问两条线是不是同一条线。A 组有一条斜率，B 组也有一条斜率；Chow 检验关心的是这两条线的截距和斜率是否可以看作一样。

什么时候用

把它和相近方法分清楚

核心直觉和模型公式

系数稳定性假设

Chow 检验的核心原假设是两组系数相同：

SSR_p 是合并样本残差平方和，SSR_A 和 SSR_B 是两组分别回归的残差平方和。

公式里的符号怎么读

专业使用口径

专业 Chow 写法要说明断点是事前给定的，不是为了显著性搜索出来的。

一步一步做：从问题到结果的五步

结果怎么读：先读口径，再读数字

本页案例读表时，先记住这个口径：本案例二分组检验的组间系数差是 -0.000924，标准误是 0.080567，p 值是 0.9909。

初学者最容易错在哪里

先看这个案例的结论

• 本案例二分组检验的组间系数差是 -0.000924，标准误是 0.080567，p 值是 0.9909。
• 输出结论为：组间差异不显著。
• Chow/交互项检验回答的是“组间系数是否不同”，不是“每组内部是否显著”。这两个问题不能混写。

变量要求和案例口径

实际代码

下面是本页案例里的最小 Stata 代码。它的作用是帮助你看清变量怎么进入模型、结果文件怎么生成，而不是要求你在网页里手动运行。

log using "/root/workspace/empirical-wizard/workspace/f3e008aa/analysis.log", replace text
global JOB_DIR "/root/workspace/empirical-wizard/workspace/f3e008aa"
set more off
adopath + "/root/ado/plus"
global DATA_PATH "/root/workspace/empirical-wizard/workspace/test_e2e/csmar_innovation.csv"
import delimited "/root/workspace/empirical-wizard/workspace/test_e2e/csmar_innovation.csv", clear case(preserve)
capture confirm global JOB_DIR
if _rc global JOB_DIR "."
* 自动去除完全重复行（同列同值），避免 N 虚增与 xtset 失败
quietly duplicates drop
local idvar ""
local timevar ""
capture confirm variable stkcd
if !_rc {
    capture confirm numeric variable stkcd
    if _rc {
        tempvar __ewiz_id
        capture encode stkcd, gen(`__ewiz_id')
        if !_rc local idvar "`__ewiz_id'"
    }
    else {
        local idvar "stkcd"
    }
}
else {
    di as text "面板ID变量不存在，跳过 xtset ID：stkcd"
}
capture confirm variable year
if !_rc {
    capture confirm numeric variable year
    if _rc {
        tempvar __ewiz_time
        capture encode year, gen(`__ewiz_time')
        if !_rc local timevar "`__ewiz_time'"
    }
    else {
        local timevar "year"
    }
}
else {
    di as text "时间变量不存在，跳过 xtset time：year"
}
if "`idvar'" != "" & "`timevar'" != "" {
    capture xtset `idvar' `timevar'
}
capture confirm numeric variable size
tempvar __grp_src
if _rc {
    encode size, gen(`__grp_src')
}
else {
    gen double `__grp_src' = size
}
quietly summarize `__grp_src', detail
local __med = r(p50)
tempvar __grp
gen byte `__grp' = cond(`__grp_src' >= `__med', 1, 0) if !missing(`__grp_src')
levelsof `__grp', local(groups_all)
// 样本充分性护栏：每组至少需要 params+10 观测才跑回归，否则跳过
local _min_n = 27  // params (iv+controls) + safety buffer
local groups ""
foreach g of local groups_all {
    quietly count if `__grp'==`g'
    if r(N) >= `_min_n' {
        local groups "`groups' `g'"
    }
    else {
        di as text "[异质性] 跳过 g=`g'，N=" r(N) " < " `_min_n' "（样本不足以承载 FE + 控制变量，会导致 R²=1 过拟合）"
    }
}
if "`groups'" == "" {
    di as error "[异质性] 所有分组样本均不足，无法执行异质性分析。建议改为 by_median 或 by_terciles 粗分组。"
    exit 0
}
tempname fh
capture file close `fh'
file open `fh' using "$JOB_DIR/regression_table_异质性检验.csv", write replace
local __hdr = "变量"
foreach g of local groups {
    local __grp_label "(size<中位数)"
    if "`g'" == "1" local __grp_label "(size≥中位数)"
    local __hdr = "`__hdr',`__grp_label'"
}
file write `fh' "`__hdr'" _n
local __row = "dfi_index"
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __c = _b[dfi_index]
        capture local __se = _se[dfi_index]
        capture local __p = 2*ttail(e(df_r), abs(`__c'/`__se'))
        local __stars = cond(`__p'<0.01,"***",cond(`__p'<0.05,"**",cond(`__p'<0.1,"*","")))
        local __coef_s : display %9.4f `__c'
        capture if abs(`__c') < 0.00005 & `__c' != 0 local __coef_s : display %9.2e `__c'
        local __row = "`__row',`__coef_s'`__stars'"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = ""
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __se = _se[dfi_index]
        local __se_s : display %9.4f `__se'
        capture if abs(`__se') < 0.00005 & `__se' != 0 local __se_s : display %9.2e `__se'
        local __row = "`__row',(`__se_s')"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = "roa"
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __c = _b[roa]
        capture local __se = _se[roa]
        capture local __p = 2*ttail(e(df_r), abs(`__c'/`__se'))
        local __stars = cond(`__p'<0.01,"***",cond(`__p'<0.05,"**",cond(`__p'<0.1,"*","")))
        local __coef_s : display %9.4f `__c'
        capture if abs(`__c') < 0.00005 & `__c' != 0 local __coef_s : display %9.2e `__c'
        local __row = "`__row',`__coef_s'`__stars'"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = ""
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __se = _se[roa]
        local __se_s : display %9.4f `__se'
        capture if abs(`__se') < 0.00005 & `__se' != 0 local __se_s : display %9.2e `__se'
        local __row = "`__row',(`__se_s')"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = "lev"
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __c = _b[lev]
        capture local __se = _se[lev]
        capture local __p = 2*ttail(e(df_r), abs(`__c'/`__se'))
        local __stars = cond(`__p'<0.01,"***",cond(`__p'<0.05,"**",cond(`__p'<0.1,"*","")))
        local __coef_s : display %9.4f `__c'
        capture if abs(`__c') < 0.00005 & `__c' != 0 local __coef_s : display %9.2e `__c'
        local __row = "`__row',`__coef_s'`__stars'"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = ""
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __se = _se[lev]
        local __se_s : display %9.4f `__se'
        capture if abs(`__se') < 0.00005 & `__se' != 0 local __se_s : display %9.2e `__se'
        local __row = "`__row',(`__se_s')"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = "size"
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __c = _b[size]
        capture local __se = _se[size]
        capture local __p = 2*ttail(e(df_r), abs(`__c'/`__se'))
        local __stars = cond(`__p'<0.01,"***",cond(`__p'<0.05,"**",cond(`__p'<0.1,"*","")))
        local __coef_s : display %9.4f `__c'
        capture if abs(`__c') < 0.00005 & `__c' != 0 local __coef_s : display %9.2e `__c'
        local __row = "`__row',`__coef_s'`__stars'"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = ""
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __se = _se[size]
        local __se_s : display %9.4f `__se'
        capture if abs(`__se') < 0.00005 & `__se' != 0 local __se_s : display %9.2e `__se'
        local __row = "`__row',(`__se_s')"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = "growth"
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __c = _b[growth]
        capture local __se = _se[growth]
        capture local __p = 2*ttail(e(df_r), abs(`__c'/`__se'))
        local __stars = cond(`__p'<0.01,"***",cond(`__p'<0.05,"**",cond(`__p'<0.1,"*","")))
        local __coef_s : display %9.4f `__c'
        capture if abs(`__c') < 0.00005 & `__c' != 0 local __coef_s : display %9.2e `__c'
        local __row = "`__row',`__coef_s'`__stars'"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = ""
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __se = _se[growth]
        local __se_s : display %9.4f `__se'
        capture if abs(`__se') < 0.00005 & `__se' != 0 local __se_s : display %9.2e `__se'
        local __row = "`__row',(`__se_s')"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = "cashflow"
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __c = _b[cashflow]
        capture local __se = _se[cashflow]
        capture local __p = 2*ttail(e(df_r), abs(`__c'/`__se'))
        local __stars = cond(`__p'<0.01,"***",cond(`__p'<0.05,"**",cond(`__p'<0.1,"*","")))
        local __coef_s : display %9.4f `__c'
        capture if abs(`__c') < 0.00005 & `__c' != 0 local __coef_s : display %9.2e `__c'
        local __row = "`__row',`__coef_s'`__stars'"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = ""
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __se = _se[cashflow]
        local __se_s : display %9.4f `__se'
        capture if abs(`__se') < 0.00005 & `__se' != 0 local __se_s : display %9.2e `__se'
        local __row = "`__row',(`__se_s')"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = "tobinq"
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __c = _b[tobinq]
        capture local __se = _se[tobinq]
        capture local __p = 2*ttail(e(df_r), abs(`__c'/`__se'))
        local __stars = cond(`__p'<0.01,"***",cond(`__p'<0.05,"**",cond(`__p'<0.1,"*","")))
        local __coef_s : display %9.4f `__c'
        capture if abs(`__c') < 0.00005 & `__c' != 0 local __coef_s : display %9.2e `__c'
        local __row = "`__row',`__coef_s'`__stars'"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = ""
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __se = _se[tobinq]
        local __se_s : display %9.4f `__se'
        capture if abs(`__se') < 0.00005 & `__se' != 0 local __se_s : display %9.2e `__se'
        local __row = "`__row',(`__se_s')"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = "top1"
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __c = _b[top1]
        capture local __se = _se[top1]
        capture local __p = 2*ttail(e(df_r), abs(`__c'/`__se'))
        local __stars = cond(`__p'<0.01,"***",cond(`__p'<0.05,"**",cond(`__p'<0.1,"*","")))
        local __coef_s : display %9.4f `__c'
        capture if abs(`__c') < 0.00005 & `__c' != 0 local __coef_s : display %9.2e `__c'
        local __row = "`__row',`__coef_s'`__stars'"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = ""
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __se = _se[top1]
        local __se_s : display %9.4f `__se'
        capture if abs(`__se') < 0.00005 & `__se' != 0 local __se_s : display %9.2e `__se'
        local __row = "`__row',(`__se_s')"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = "dual"
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __c = _b[dual]
        capture local __se = _se[dual]
        capture local __p = 2*ttail(e(df_r), abs(`__c'/`__se'))
        local __stars = cond(`__p'<0.01,"***",cond(`__p'<0.05,"**",cond(`__p'<0.1,"*","")))
        local __coef_s : display %9.4f `__c'
        capture if abs(`__c') < 0.00005 & `__c' != 0 local __coef_s : display %9.2e `__c'
        local __row = "`__row',`__coef_s'`__stars'"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = ""
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __se = _se[dual]
        local __se_s : display %9.4f `__se'
        capture if abs(`__se') < 0.00005 & `__se' != 0 local __se_s : display %9.2e `__se'
        local __row = "`__row',(`__se_s')"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = "board"
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __c = _b[board]
        capture local __se = _se[board]
        capture local __p = 2*ttail(e(df_r), abs(`__c'/`__se'))
        local __stars = cond(`__p'<0.01,"***",cond(`__p'<0.05,"**",cond(`__p'<0.1,"*","")))
        local __coef_s : display %9.4f `__c'
        capture if abs(`__c') < 0.00005 & `__c' != 0 local __coef_s : display %9.2e `__c'
        local __row = "`__row',`__coef_s'`__stars'"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = ""
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __se = _se[board]
        local __se_s : display %9.4f `__se'
        capture if abs(`__se') < 0.00005 & `__se' != 0 local __se_s : display %9.2e `__se'
        local __row = "`__row',(`__se_s')"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = "indep"
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __c = _b[indep]
        capture local __se = _se[indep]
        capture local __p = 2*ttail(e(df_r), abs(`__c'/`__se'))
        local __stars = cond(`__p'<0.01,"***",cond(`__p'<0.05,"**",cond(`__p'<0.1,"*","")))
        local __coef_s : display %9.4f `__c'
        capture if abs(`__c') < 0.00005 & `__c' != 0 local __coef_s : display %9.2e `__c'
        local __row = "`__row',`__coef_s'`__stars'"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = ""
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __se = _se[indep]
        local __se_s : display %9.4f `__se'
        capture if abs(`__se') < 0.00005 & `__se' != 0 local __se_s : display %9.2e `__se'
        local __row = "`__row',(`__se_s')"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = "soe"
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __c = _b[soe]
        capture local __se = _se[soe]
        capture local __p = 2*ttail(e(df_r), abs(`__c'/`__se'))
        local __stars = cond(`__p'<0.01,"***",cond(`__p'<0.05,"**",cond(`__p'<0.1,"*","")))
        local __coef_s : display %9.4f `__c'
        capture if abs(`__c') < 0.00005 & `__c' != 0 local __coef_s : display %9.2e `__c'
        local __row = "`__row',`__coef_s'`__stars'"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = ""
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __se = _se[soe]
        local __se_s : display %9.4f `__se'
        capture if abs(`__se') < 0.00005 & `__se' != 0 local __se_s : display %9.2e `__se'
        local __row = "`__row',(`__se_s')"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = "age"
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __c = _b[age]
        capture local __se = _se[age]
        capture local __p = 2*ttail(e(df_r), abs(`__c'/`__se'))
        local __stars = cond(`__p'<0.01,"***",cond(`__p'<0.05,"**",cond(`__p'<0.1,"*","")))
        local __coef_s : display %9.4f `__c'
        capture if abs(`__c') < 0.00005 & `__c' != 0 local __coef_s : display %9.2e `__c'
        local __row = "`__row',`__coef_s'`__stars'"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = ""
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        capture local __se = _se[age]
        local __se_s : display %9.4f `__se'
        capture if abs(`__se') < 0.00005 & `__se' != 0 local __se_s : display %9.2e `__se'
        local __row = "`__row',(`__se_s')"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = "N"
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        local __v = e(N)
        local __v_s : display %9.0f `__v'
        local __row = "`__row',`__v_s'"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
local __row = "R²"
foreach g of local groups {
    capture quietly reghdfe patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp'==`g', absorb(`timevar' ind) vce(robust) keepsingletons
    if _rc==0 {
        local __v = e(r2)
        local __v_s : display %9.4f `__v'
        local __row = "`__row',`__v_s'"
    }
    else {
        local __row = "`__row',"
    }
}
file write `fh' "`__row'" _n
file close `fh'

* ── 组间系数差异检验（two-group case）──
* 构造 group × 核心解释变量 交互项，若交互显著则组间差异显著
tempname diff_fh
capture file close `diff_fh'
file open `diff_fh' using "$JOB_DIR/heterogeneity_diff_test.csv", write replace
file write `diff_fh' "项目,值,说明" _n
quietly count if !missing(`__grp')
local _n_total = r(N)
quietly levelsof `__grp', local(_all_g)
local _n_groups : word count `_all_g'
file write `diff_fh' "分组数,`_n_groups',仅二分组情形下 Chow/交互项检验成立" _n
if `_n_groups' == 2 {
    tempvar __g_bin __iv_x_g
    quietly gen double `__g_bin' = `__grp' - `: word 1 of `_all_g''
    quietly replace `__g_bin' = `__g_bin' / (`: word 2 of `_all_g'' - `: word 1 of `_all_g'')
    quietly gen double `__iv_x_g' = dfi_index * `__g_bin'
    capture reg patent_count dfi_index `__g_bin' `__iv_x_g' roa lev size growth cashflow tobinq top1 dual board indep soe age if !missing(`__grp'), vce(robust)
    if _rc == 0 {
        local diff_coef = _b[`__iv_x_g']
        local diff_se = _se[`__iv_x_g']
        local diff_t = `diff_coef' / `diff_se'
        * Use t-distribution with regression df_r when available; fall
        * back to normal only when df_r is missing. Normal approximation
        * over-rejects in small/medium samples.
        capture local _diff_df = e(df_r)
        if "`_diff_df'" == "" | "`_diff_df'" == "." {
            local diff_p = 2*(1 - normal(abs(`diff_t')))
        }
        else {
            local diff_p = 2*ttail(`_diff_df', abs(`diff_t'))
        }
        local diff_coef_s : display %12.6f `diff_coef'
        local diff_se_s : display %12.6f `diff_se'
        local diff_p_s : display %9.4f `diff_p'
        file write `diff_fh' "组间系数差（组2-组1）,`diff_coef_s'," _n
        file write `diff_fh' "标准误,`diff_se_s'," _n
        file write `diff_fh' "p 值,`diff_p_s',p<0.1 * / p<0.05 ** / p<0.01 ***" _n
        if `diff_p' < 0.01 {
            file write `diff_fh' "结论,组间差异显著,在 1%% 水平显著" _n
        }
        else if `diff_p' < 0.05 {
            file write `diff_fh' "结论,组间差异显著,在 5%% 水平显著" _n
        }
        else if `diff_p' < 0.1 {
            file write `diff_fh' "结论,组间差异边际显著,在 10%% 水平显著" _n
        }
        else {
            file write `diff_fh' "结论,组间差异不显著,p 值 = `diff_p_s'不能拒绝组间系数相等" _n
        }
    }
    else {
        file write `diff_fh' "结论,交互项回归失败," _n
    }
}
else if `_n_groups' >= 3 & `_n_groups' <= 6 {
    * ── >2 组：suest 多组系数联合相等检验 ──
    * 对每个 group 单独估计同一规格，suest 合并方差矩阵后做
    * H0: [g1] iv = [g2] iv = ... = [gk] iv 的 Wald 检验。
    local __suest_ok = 1
    local __est_names ""
    local __test_eq ""
    local __i = 0
    foreach _gv of local _all_g {
        local __i = `__i' + 1
        capture noisily {
            quietly reg patent_count dfi_index roa lev size growth cashflow tobinq top1 dual board indep soe age if `__grp' == `_gv', vce(robust)
        }
        if _rc != 0 {
            local __suest_ok = 0
        }
        else {
            estimates store __het`__i'
            local __est_names "`__est_names' __het`__i'"
            if `__i' == 1 {
                local __test_eq "[__het`__i'_mean]dfi_index"
            }
            else {
                local __test_eq "`__test_eq' = [__het`__i'_mean]dfi_index"
            }
        }
    }
    if `__suest_ok' == 1 {
        capture noisily suest `__est_names', vce(robust)
        if _rc == 0 {
            capture noisily test `__test_eq'
            if _rc == 0 {
                local joint_chi2 = r(chi2)
                local joint_df = r(df)
                local joint_p = r(p)
                local joint_chi2_s : display %9.4f `joint_chi2'
                local joint_df_s : display %2.0f `joint_df'
                local joint_p_s : display %9.4f `joint_p'
                file write `diff_fh' "Wald chi2,`joint_chi2_s',suest 联合检验" _n
                file write `diff_fh' "df,`joint_df_s'," _n
                file write `diff_fh' "p 值,`joint_p_s'," _n
                if `joint_p' < 0.01 file write `diff_fh' "结论,各组系数显著不等,1% 水平拒绝同质" _n
                else if `joint_p' < 0.05 file write `diff_fh' "结论,各组系数显著不等,5% 水平拒绝同质" _n
                else if `joint_p' < 0.1 file write `diff_fh' "结论,各组系数边际不等,10% 水平拒绝同质" _n
                else file write `diff_fh' "结论,各组系数同质性未被拒绝,p=`joint_p_s'" _n
            }
            else {
                file write `diff_fh' "结论,suest test 失败,可能是估计向量不可比" _n
            }
        }
        else {
            file write `diff_fh' "结论,suest 合并方差矩阵失败," _n
        }
    }
    else {
        file write `diff_fh' "结论,部分子组回归失败 — 无法做 suest 联合检验," _n
    }
    foreach _en of local __est_names {
        capture estimates drop `_en'
    }
}
else {
    file write `diff_fh' "结论,分组数过多 (>6) — 跳过 suest，建议改为子样本回归," _n
}
file close `diff_fh'

* ── 扩展异质性候选矩阵（exploratory disclosure matrix）──
* 目的：记录候选分组变量的组间差异检验结果；不把显著项自动包装为预设主结论。
tempname cm_fh
capture file close `cm_fh'
file open `cm_fh' using "$JOB_DIR/heterogeneity_candidate_matrix.csv", write replace
file write `cm_fh' "candidate,method,source_groups,n_group0,n_group1,diff_coef,diff_se,diff_p,status,note" _n
* candidate grouping: size
capture confirm variable size
if _rc {
    file write `cm_fh' "size,auto_binary_or_median,.,.,.,.,.,.,missing_variable,候选变量不存在" _n
}
else {
    tempvar __cm_src __cm_grp __cm_gbin __cm_xg __cm_tag
    capture confirm numeric variable size
    if _rc {
        capture encode size, gen(`__cm_src')
    }
    else {
        capture gen double `__cm_src' = size
    }
    if _rc {
        file write `cm_fh' "size,auto_binary_or_median,.,.,.,.,.,.,encoding_failed,变量无法数值化" _n
    }
    else {
        quietly egen byte `__cm_tag' = tag(`__cm_src') if !missing(`__cm_src')
        quietly count if `__cm_tag' == 1
        local __cm_ng = r(N)
        if `__cm_ng' < 2 {
            file write `cm_fh' "size,auto_binary_or_median,`__cm_ng',.,.,.,.,.,degenerate,有效分组少于2组" _n
        }
        else {
            if `__cm_ng' == 2 {
                quietly levelsof `__cm_src' if !missing(`__cm_src'), local(__cm_lvls)
                quietly gen double `__cm_grp' = `__cm_src'
                local __cm_method "binary_or_two_value"
            }
            else {
                quietly summarize `__cm_src' if !missing(`__cm_src'), detail
                local __cm_med = r(p50)
                quietly gen byte `__cm_grp' = (`__cm_src' >= `__cm_med') if !missing(`__cm_src')
                local __cm_method "median_split"
            }
            quietly levelsof `__cm_grp' if !missing(`__cm_grp'), local(__cm_glvls)
            local __cm_gg : word count `__cm_glvls'
            if `__cm_gg' != 2 {
                file write `cm_fh' "size,auto_binary_or_median,`__cm_ng',.,.,.,.,.,degenerate,二分后仍不是2组" _n
            }
            else {
                local __cm_g0 : word 1 of `__cm_glvls'
                local __cm_g1 : word 2 of `__cm_glvls'
                quietly count if `__cm_grp'==`__cm_g0'
                local __cm_n0 = r(N)
                quietly count if `__cm_grp'==`__cm_g1'
                local __cm_n1 = r(N)
                quietly gen double `__cm_gbin' = (`__cm_grp' == `__cm_g1') if !missing(`__cm_grp')
                quietly gen double `__cm_xg' = dfi_index * `__cm_gbin'
                capture reg patent_count dfi_index `__cm_gbin' `__cm_xg' roa lev growth cashflow tobinq top1 dual board indep soe age if !missing(`__cm_grp'), vce(robust)
                if _rc == 0 {
                    local __cm_diff = _b[`__cm_xg']
                    local __cm_se = _se[`__cm_xg']
                    local __cm_t = `__cm_diff' / `__cm_se'
                    capture local __cm_df = e(df_r)
                    local __cm_p = cond("`__cm_df'"=="" | "`__cm_df'"==".", 2*(1-normal(abs(`__cm_t'))), 2*ttail(`__cm_df', abs(`__cm_t')))
                    local __cm_diff_s : display %12.6f `__cm_diff'
                    local __cm_se_s : display %12.6f `__cm_se'
                    local __cm_p_s : display %9.4f `__cm_p'
                    local __cm_status "not_supported"
                    if `__cm_p' < 0.1 local __cm_status "supported"
                    file write `cm_fh' "size,`__cm_method',`__cm_ng',`__cm_n0',`__cm_n1',`__cm_diff_s',`__cm_se_s',`__cm_p_s',`__cm_status',exploratory disclosed candidate" _n
                }
                else {
                    file write `cm_fh' "size,auto_binary_or_median,`__cm_ng',`__cm_n0',`__cm_n1',.,.,.,regression_failed,交互项回归失败" _n
                }
            }
        }
    }
}
* candidate grouping: age
capture confirm variable age
if _rc {
    file write `cm_fh' "age,auto_binary_or_median,.,.,.,.,.,.,missing_variable,候选变量不存在" _n
}
else {
    tempvar __cm_src __cm_grp __cm_gbin __cm_xg __cm_tag
    capture confirm numeric variable age
    if _rc {
        capture encode age, gen(`__cm_src')
    }
    else {
        capture gen double `__cm_src' = age
    }
    if _rc {
        file write `cm_fh' "age,auto_binary_or_median,.,.,.,.,.,.,encoding_failed,变量无法数值化" _n
    }
    else {
        quietly egen byte `__cm_tag' = tag(`__cm_src') if !missing(`__cm_src')
        quietly count if `__cm_tag' == 1
        local __cm_ng = r(N)
        if `__cm_ng' < 2 {
            file write `cm_fh' "age,auto_binary_or_median,`__cm_ng',.,.,.,.,.,degenerate,有效分组少于2组" _n
        }
        else {
            if `__cm_ng' == 2 {
                quietly levelsof `__cm_src' if !missing(`__cm_src'), local(__cm_lvls)
                quietly gen double `__cm_grp' = `__cm_src'
                local __cm_method "binary_or_two_value"
            }
            else {
                quietly summarize `__cm_src' if !missing(`__cm_src'), detail
                local __cm_med = r(p50)
                quietly gen byte `__cm_grp' = (`__cm_src' >= `__cm_med') if !missing(`__cm_src')
                local __cm_method "median_split"
            }
            quietly levelsof `__cm_grp' if !missing(`__cm_grp'), local(__cm_glvls)
            local __cm_gg : word count `__cm_glvls'
            if `__cm_gg' != 2 {
                file write `cm_fh' "age,auto_binary_or_median,`__cm_ng',.,.,.,.,.,degenerate,二分后仍不是2组" _n
            }
            else {
                local __cm_g0 : word 1 of `__cm_glvls'
                local __cm_g1 : word 2 of `__cm_glvls'
                quietly count if `__cm_grp'==`__cm_g0'
                local __cm_n0 = r(N)
                quietly count if `__cm_grp'==`__cm_g1'
                local __cm_n1 = r(N)
                quietly gen double `__cm_gbin' = (`__cm_grp' == `__cm_g1') if !missing(`__cm_grp')
                quietly gen double `__cm_xg' = dfi_index * `__cm_gbin'
                capture reg patent_count dfi_index `__cm_gbin' `__cm_xg' roa lev size growth cashflow tobinq top1 dual board indep soe if !missing(`__cm_grp'), vce(robust)
                if _rc == 0 {
                    local __cm_diff = _b[`__cm_xg']
                    local __cm_se = _se[`__cm_xg']
                    local __cm_t = `__cm_diff' / `__cm_se'
                    capture local __cm_df = e(df_r)
                    local __cm_p = cond("`__cm_df'"=="" | "`__cm_df'"==".", 2*(1-normal(abs(`__cm_t'))), 2*ttail(`__cm_df', abs(`__cm_t')))
                    local __cm_diff_s : display %12.6f `__cm_diff'
                    local __cm_se_s : display %12.6f `__cm_se'
                    local __cm_p_s : display %9.4f `__cm_p'
                    local __cm_status "not_supported"
                    if `__cm_p' < 0.1 local __cm_status "supported"
                    file write `cm_fh' "age,`__cm_method',`__cm_ng',`__cm_n0',`__cm_n1',`__cm_diff_s',`__cm_se_s',`__cm_p_s',`__cm_status',exploratory disclosed candidate" _n
                }
                else {
                    file write `cm_fh' "age,auto_binary_or_median,`__cm_ng',`__cm_n0',`__cm_n1',.,.,.,regression_failed,交互项回归失败" _n
                }
            }
        }
    }
}
* candidate grouping: indep
capture confirm variable indep
if _rc {
    file write `cm_fh' "indep,auto_binary_or_median,.,.,.,.,.,.,missing_variable,候选变量不存在" _n
}
else {
    tempvar __cm_src __cm_grp __cm_gbin __cm_xg __cm_tag
    capture confirm numeric variable indep
    if _rc {
        capture encode indep, gen(`__cm_src')
    }
    else {
        capture gen double `__cm_src' = indep
    }
    if _rc {
        file write `cm_fh' "indep,auto_binary_or_median,.,.,.,.,.,.,encoding_failed,变量无法数值化" _n
    }
    else {
        quietly egen byte `__cm_tag' = tag(`__cm_src') if !missing(`__cm_src')
        quietly count if `__cm_tag' == 1
        local __cm_ng = r(N)
        if `__cm_ng' < 2 {
            file write `cm_fh' "indep,auto_binary_or_median,`__cm_ng',.,.,.,.,.,degenerate,有效分组少于2组" _n
        }
        else {
            if `__cm_ng' == 2 {
                quietly levelsof `__cm_src' if !missing(`__cm_src'), local(__cm_lvls)
                quietly gen double `__cm_grp' = `__cm_src'
                local __cm_method "binary_or_two_value"
            }
            else {
                quietly summarize `__cm_src' if !missing(`__cm_src'), detail
                local __cm_med = r(p50)
                quietly gen byte `__cm_grp' = (`__cm_src' >= `__cm_med') if !missing(`__cm_src')
                local __cm_method "median_split"
            }
            quietly levelsof `__cm_grp' if !missing(`__cm_grp'), local(__cm_glvls)
            local __cm_gg : word count `__cm_glvls'
            if `__cm_gg' != 2 {
                file write `cm_fh' "indep,auto_binary_or_median,`__cm_ng',.,.,.,.,.,degenerate,二分后仍不是2组" _n
            }
            else {
                local __cm_g0 : word 1 of `__cm_glvls'
                local __cm_g1 : word 2 of `__cm_glvls'
                quietly count if `__cm_grp'==`__cm_g0'
                local __cm_n0 = r(N)
                quietly count if `__cm_grp'==`__cm_g1'
                local __cm_n1 = r(N)
                quietly gen double `__cm_gbin' = (`__cm_grp' == `__cm_g1') if !missing(`__cm_grp')
                quietly gen double `__cm_xg' = dfi_index * `__cm_gbin'
                capture reg patent_count dfi_index `__cm_gbin' `__cm_xg' roa lev size growth cashflow tobinq top1 dual board soe age if !missing(`__cm_grp'), vce(robust)
                if _rc == 0 {
                    local __cm_diff = _b[`__cm_xg']
                    local __cm_se = _se[`__cm_xg']
                    local __cm_t = `__cm_diff' / `__cm_se'
                    capture local __cm_df = e(df_r)
                    local __cm_p = cond("`__cm_df'"=="" | "`__cm_df'"==".", 2*(1-normal(abs(`__cm_t'))), 2*ttail(`__cm_df', abs(`__cm_t')))
                    local __cm_diff_s : display %12.6f `__cm_diff'
                    local __cm_se_s : display %12.6f `__cm_se'
                    local __cm_p_s : display %9.4f `__cm_p'
                    local __cm_status "not_supported"
                    if `__cm_p' < 0.1 local __cm_status "supported"
                    file write `cm_fh' "indep,`__cm_method',`__cm_ng',`__cm_n0',`__cm_n1',`__cm_diff_s',`__cm_se_s',`__cm_p_s',`__cm_status',exploratory disclosed candidate" _n
                }
                else {
                    file write `cm_fh' "indep,auto_binary_or_median,`__cm_ng',`__cm_n0',`__cm_n1',.,.,.,regression_failed,交互项回归失败" _n
                }
            }
        }
    }
}
* candidate grouping: ind
capture confirm variable ind
if _rc {
    file write `cm_fh' "ind,auto_binary_or_median,.,.,.,.,.,.,missing_variable,候选变量不存在" _n
}
else {
    tempvar __cm_src __cm_grp __cm_gbin __cm_xg __cm_tag
    capture confirm numeric variable ind
    if _rc {
        capture encode ind, gen(`__cm_src')
    }
    else {
        capture gen double `__cm_src' = ind
    }
    if _rc {
        file write `cm_fh' "ind,auto_binary_or_median,.,.,.,.,.,.,encoding_failed,变量无法数值化" _n
    }
    else {
        quietly egen byte `__cm_tag' = tag(`__cm_src') if !missing(`__cm_src')
        quietly count if `__cm_tag' == 1
        local __cm_ng = r(N)
        if `__cm_ng' < 2 {
            file write `cm_fh' "ind,auto_binary_or_median,`__cm_ng',.,.,.,.,.,degenerate,有效分组少于2组" _n
        }
        else {
            if `__cm_ng' == 2 {
                quietly levelsof `__cm_src' if !missing(`__cm_src'), local(__cm_lvls)
                quietly gen double `__cm_grp' = `__cm_src'
                local __cm_method "binary_or_two_value"
            }
            else {
                quietly summarize `__cm_src' if !missing(`__cm_src'), detail
                local __cm_med = r(p50)
                quietly gen byte `__cm_grp' = (`__cm_src' >= `__cm_med') if !missing(`__cm_src')
                local __cm_method "median_split"
            }
            quietly levelsof `__cm_grp' if !missing(`__cm_grp'), local(__cm_glvls)
            local __cm_gg : word count `__cm_glvls'
            if `__cm_gg' != 2 {
                file write `cm_fh' "ind,auto_binary_or_median,`__cm_ng',.,.,.,.,.,degenerate,二分后仍不是2组" _n
            }
            else {
                local __cm_g0 : word 1 of `__cm_glvls'
                local __cm_g1 : word 2 of `__cm_glvls'
                quietly count if `__cm_grp'==`__cm_g0'
                local __cm_n0 = r(N)
                quietly count if `__cm_grp'==`__cm_g1'
                local __cm_n1 = r(N)
                quietly gen double `__cm_gbin' = (`__cm_grp' == `__cm_g1') if !missing(`__cm_grp')
                quietly gen double `__cm_xg' = dfi_index * `__cm_gbin'
                capture reg patent_count dfi_index `__cm_gbin' `__cm_xg' roa lev size growth cashflow tobinq top1 dual board indep soe age if !missing(`__cm_grp'), vce(robust)
                if _rc == 0 {
                    local __cm_diff = _b[`__cm_xg']
                    local __cm_se = _se[`__cm_xg']
                    local __cm_t = `__cm_diff' / `__cm_se'
                    capture local __cm_df = e(df_r)
                    local __cm_p = cond("`__cm_df'"=="" | "`__cm_df'"==".", 2*(1-normal(abs(`__cm_t'))), 2*ttail(`__cm_df', abs(`__cm_t')))
                    local __cm_diff_s : display %12.6f `__cm_diff'
                    local __cm_se_s : display %12.6f `__cm_se'
                    local __cm_p_s : display %9.4f `__cm_p'
                    local __cm_status "not_supported"
                    if `__cm_p' < 0.1 local __cm_status "supported"
                    file write `cm_fh' "ind,`__cm_method',`__cm_ng',`__cm_n0',`__cm_n1',`__cm_diff_s',`__cm_se_s',`__cm_p_s',`__cm_status',exploratory disclosed candidate" _n
                }
                else {
                    file write `cm_fh' "ind,auto_binary_or_median,`__cm_ng',`__cm_n0',`__cm_n1',.,.,.,regression_failed,交互项回归失败" _n
                }
            }
        }
    }
}
* candidate grouping: board
capture confirm variable board
if _rc {
    file write `cm_fh' "board,auto_binary_or_median,.,.,.,.,.,.,missing_variable,候选变量不存在" _n
}
else {
    tempvar __cm_src __cm_grp __cm_gbin __cm_xg __cm_tag
    capture confirm numeric variable board
    if _rc {
        capture encode board, gen(`__cm_src')
    }
    else {
        capture gen double `__cm_src' = board
    }
    if _rc {
        file write `cm_fh' "board,auto_binary_or_median,.,.,.,.,.,.,encoding_failed,变量无法数值化" _n
    }
    else {
        quietly egen byte `__cm_tag' = tag(`__cm_src') if !missing(`__cm_src')
        quietly count if `__cm_tag' == 1
        local __cm_ng = r(N)
        if `__cm_ng' < 2 {
            file write `cm_fh' "board,auto_binary_or_median,`__cm_ng',.,.,.,.,.,degenerate,有效分组少于2组" _n
        }
        else {
            if `__cm_ng' == 2 {
                quietly levelsof `__cm_src' if !missing(`__cm_src'), local(__cm_lvls)
                quietly gen double `__cm_grp' = `__cm_src'
                local __cm_method "binary_or_two_value"
            }
            else {
                quietly summarize `__cm_src' if !missing(`__cm_src'), detail
                local __cm_med = r(p50)
                quietly gen byte `__cm_grp' = (`__cm_src' >= `__cm_med') if !missing(`__cm_src')
                local __cm_method "median_split"
            }
            quietly levelsof `__cm_grp' if !missing(`__cm_grp'), local(__cm_glvls)
            local __cm_gg : word count `__cm_glvls'
            if `__cm_gg' != 2 {
                file write `cm_fh' "board,auto_binary_or_median,`__cm_ng',.,.,.,.,.,degenerate,二分后仍不是2组" _n
            }
            else {
                local __cm_g0 : word 1 of `__cm_glvls'
                local __cm_g1 : word 2 of `__cm_glvls'
                quietly count if `__cm_grp'==`__cm_g0'
                local __cm_n0 = r(N)
                quietly count if `__cm_grp'==`__cm_g1'
                local __cm_n1 = r(N)
                quietly gen double `__cm_gbin' = (`__cm_grp' == `__cm_g1') if !missing(`__cm_grp')
                quietly gen double `__cm_xg' = dfi_index * `__cm_gbin'
                capture reg patent_count dfi_index `__cm_gbin' `__cm_xg' roa lev size growth cashflow tobinq top1 dual indep soe age if !missing(`__cm_grp'), vce(robust)
                if _rc == 0 {
                    local __cm_diff = _b[`__cm_xg']
                    local __cm_se = _se[`__cm_xg']
                    local __cm_t = `__cm_diff' / `__cm_se'
                    capture local __cm_df = e(df_r)
                    local __cm_p = cond("`__cm_df'"=="" | "`__cm_df'"==".", 2*(1-normal(abs(`__cm_t'))), 2*ttail(`__cm_df', abs(`__cm_t')))
                    local __cm_diff_s : display %12.6f `__cm_diff'
                    local __cm_se_s : display %12.6f `__cm_se'
                    local __cm_p_s : display %9.4f `__cm_p'
                    local __cm_status "not_supported"
                    if `__cm_p' < 0.1 local __cm_status "supported"
                    file write `cm_fh' "board,`__cm_method',`__cm_ng',`__cm_n0',`__cm_n1',`__cm_diff_s',`__cm_se_s',`__cm_p_s',`__cm_status',exploratory disclosed candidate" _n
                }
                else {
                    file write `cm_fh' "board,auto_binary_or_median,`__cm_ng',`__cm_n0',`__cm_n1',.,.,.,regression_failed,交互项回归失败" _n
                }
            }
        }
    }
}
* candidate grouping: cashflow
capture confirm variable cashflow
if _rc {
    file write `cm_fh' "cashflow,auto_binary_or_median,.,.,.,.,.,.,missing_variable,候选变量不存在" _n
}
else {
    tempvar __cm_src __cm_grp __cm_gbin __cm_xg __cm_tag
    capture confirm numeric variable cashflow
    if _rc {
        capture encode cashflow, gen(`__cm_src')
    }
    else {
        capture gen double `__cm_src' = cashflow
    }
    if _rc {
        file write `cm_fh' "cashflow,auto_binary_or_median,.,.,.,.,.,.,encoding_failed,变量无法数值化" _n
    }
    else {
        quietly egen byte `__cm_tag' = tag(`__cm_src') if !missing(`__cm_src')
        quietly count if `__cm_tag' == 1
        local __cm_ng = r(N)
        if `__cm_ng' < 2 {
            file write `cm_fh' "cashflow,auto_binary_or_median,`__cm_ng',.,.,.,.,.,degenerate,有效分组少于2组" _n
        }
        else {
            if `__cm_ng' == 2 {
                quietly levelsof `__cm_src' if !missing(`__cm_src'), local(__cm_lvls)
                quietly gen double `__cm_grp' = `__cm_src'
                local __cm_method "binary_or_two_value"
            }
            else {
                quietly summarize `__cm_src' if !missing(`__cm_src'), detail
                local __cm_med = r(p50)
                quietly gen byte `__cm_grp' = (`__cm_src' >= `__cm_med') if !missing(`__cm_src')
                local __cm_method "median_split"
            }
            quietly levelsof `__cm_grp' if !missing(`__cm_grp'), local(__cm_glvls)
            local __cm_gg : word count `__cm_glvls'
            if `__cm_gg' != 2 {
                file write `cm_fh' "cashflow,auto_binary_or_median,`__cm_ng',.,.,.,.,.,degenerate,二分后仍不是2组" _n
            }
            else {
                local __cm_g0 : word 1 of `__cm_glvls'
                local __cm_g1 : word 2 of `__cm_glvls'
                quietly count if `__cm_grp'==`__cm_g0'
                local __cm_n0 = r(N)
                quietly count if `__cm_grp'==`__cm_g1'
                local __cm_n1 = r(N)
                quietly gen double `__cm_gbin' = (`__cm_grp' == `__cm_g1') if !missing(`__cm_grp')
                quietly gen double `__cm_xg' = dfi_index * `__cm_gbin'
                capture reg patent_count dfi_index `__cm_gbin' `__cm_xg' roa lev size growth tobinq top1 dual board indep soe age if !missing(`__cm_grp'), vce(robust)
                if _rc == 0 {
                    local __cm_diff = _b[`__cm_xg']
                    local __cm_se = _se[`__cm_xg']
                    local __cm_t = `__cm_diff' / `__cm_se'
                    capture local __cm_df = e(df_r)
                    local __cm_p = cond("`__cm_df'"=="" | "`__cm_df'"==".", 2*(1-normal(abs(`__cm_t'))), 2*ttail(`__cm_df', abs(`__cm_t')))
                    local __cm_diff_s : display %12.6f `__cm_diff'
                    local __cm_se_s : display %12.6f `__cm_se'
                    local __cm_p_s : display %9.4f `__cm_p'
                    local __cm_status "not_supported"
                    if `__cm_p' < 0.1 local __cm_status "supported"
                    file write `cm_fh' "cashflow,`__cm_method',`__cm_ng',`__cm_n0',`__cm_n1',`__cm_diff_s',`__cm_se_s',`__cm_p_s',`__cm_status',exploratory disclosed candidate" _n
                }
                else {
                    file write `cm_fh' "cashflow,auto_binary_or_median,`__cm_ng',`__cm_n0',`__cm_n1',.,.,.,regression_failed,交互项回归失败" _n
                }
            }
        }
    }
}
* candidate grouping: dual
capture confirm variable dual
if _rc {
    file write `cm_fh' "dual,auto_binary_or_median,.,.,.,.,.,.,missing_variable,候选变量不存在" _n
}
else {
    tempvar __cm_src __cm_grp __cm_gbin __cm_xg __cm_tag
    capture confirm numeric variable dual
    if _rc {
        capture encode dual, gen(`__cm_src')
    }
    else {
        capture gen double `__cm_src' = dual
    }
    if _rc {
        file write `cm_fh' "dual,auto_binary_or_median,.,.,.,.,.,.,encoding_failed,变量无法数值化" _n
    }
    else {
        quietly egen byte `__cm_tag' = tag(`__cm_src') if !missing(`__cm_src')
        quietly count if `__cm_tag' == 1
        local __cm_ng = r(N)
        if `__cm_ng' < 2 {
            file write `cm_fh' "dual,auto_binary_or_median,`__cm_ng',.,.,.,.,.,degenerate,有效分组少于2组" _n
        }
        else {
            if `__cm_ng' == 2 {
                quietly levelsof `__cm_src' if !missing(`__cm_src'), local(__cm_lvls)
                quietly gen double `__cm_grp' = `__cm_src'
                local __cm_method "binary_or_two_value"
            }
            else {
                quietly summarize `__cm_src' if !missing(`__cm_src'), detail
                local __cm_med = r(p50)
                quietly gen byte `__cm_grp' = (`__cm_src' >= `__cm_med') if !missing(`__cm_src')
                local __cm_method "median_split"
            }
            quietly levelsof `__cm_grp' if !missing(`__cm_grp'), local(__cm_glvls)
            local __cm_gg : word count `__cm_glvls'
            if `__cm_gg' != 2 {
                file write `cm_fh' "dual,auto_binary_or_median,`__cm_ng',.,.,.,.,.,degenerate,二分后仍不是2组" _n
            }
            else {
                local __cm_g0 : word 1 of `__cm_glvls'
                local __cm_g1 : word 2 of `__cm_glvls'
                quietly count if `__cm_grp'==`__cm_g0'
                local __cm_n0 = r(N)
                quietly count if `__cm_grp'==`__cm_g1'
                local __cm_n1 = r(N)
                quietly gen double `__cm_gbin' = (`__cm_grp' == `__cm_g1') if !missing(`__cm_grp')
                quietly gen double `__cm_xg' = dfi_index * `__cm_gbin'
                capture reg patent_count dfi_index `__cm_gbin' `__cm_xg' roa lev size growth cashflow tobinq top1 board indep soe age if !missing(`__cm_grp'), vce(robust)
                if _rc == 0 {
                    local __cm_diff = _b[`__cm_xg']
                    local __cm_se = _se[`__cm_xg']
                    local __cm_t = `__cm_diff' / `__cm_se'
                    capture local __cm_df = e(df_r)
                    local __cm_p = cond("`__cm_df'"=="" | "`__cm_df'"==".", 2*(1-normal(abs(`__cm_t'))), 2*ttail(`__cm_df', abs(`__cm_t')))
                    local __cm_diff_s : display %12.6f `__cm_diff'
                    local __cm_se_s : display %12.6f `__cm_se'
                    local __cm_p_s : display %9.4f `__cm_p'
                    local __cm_status "not_supported"
                    if `__cm_p' < 0.1 local __cm_status "supported"
                    file write `cm_fh' "dual,`__cm_method',`__cm_ng',`__cm_n0',`__cm_n1',`__cm_diff_s',`__cm_se_s',`__cm_p_s',`__cm_status',exploratory disclosed candidate" _n
                }
                else {
                    file write `cm_fh' "dual,auto_binary_or_median,`__cm_ng',`__cm_n0',`__cm_n1',.,.,.,regression_failed,交互项回归失败" _n
                }
            }
        }
    }
}
* candidate grouping: growth
capture confirm variable growth
if _rc {
    file write `cm_fh' "growth,auto_binary_or_median,.,.,.,.,.,.,missing_variable,候选变量不存在" _n
}
else {
    tempvar __cm_src __cm_grp __cm_gbin __cm_xg __cm_tag
    capture confirm numeric variable growth
    if _rc {
        capture encode growth, gen(`__cm_src')
    }
    else {
        capture gen double `__cm_src' = growth
    }
    if _rc {
        file write `cm_fh' "growth,auto_binary_or_median,.,.,.,.,.,.,encoding_failed,变量无法数值化" _n
    }
    else {
        quietly egen byte `__cm_tag' = tag(`__cm_src') if !missing(`__cm_src')
        quietly count if `__cm_tag' == 1
        local __cm_ng = r(N)
        if `__cm_ng' < 2 {
            file write `cm_fh' "growth,auto_binary_or_median,`__cm_ng',.,.,.,.,.,degenerate,有效分组少于2组" _n
        }
        else {
            if `__cm_ng' == 2 {
                quietly levelsof `__cm_src' if !missing(`__cm_src'), local(__cm_lvls)
                quietly gen double `__cm_grp' = `__cm_src'
                local __cm_method "binary_or_two_value"
            }
            else {
                quietly summarize `__cm_src' if !missing(`__cm_src'), detail
                local __cm_med = r(p50)
                quietly gen byte `__cm_grp' = (`__cm_src' >= `__cm_med') if !missing(`__cm_src')
                local __cm_method "median_split"
            }
            quietly levelsof `__cm_grp' if !missing(`__cm_grp'), local(__cm_glvls)
            local __cm_gg : word count `__cm_glvls'
            if `__cm_gg' != 2 {
                file write `cm_fh' "growth,auto_binary_or_median,`__cm_ng',.,.,.,.,.,degenerate,二分后仍不是2组" _n
            }
            else {
                local __cm_g0 : word 1 of `__cm_glvls'
                local __cm_g1 : word 2 of `__cm_glvls'
                quietly count if `__cm_grp'==`__cm_g0'
                local __cm_n0 = r(N)
                quietly count if `__cm_grp'==`__cm_g1'
                local __cm_n1 = r(N)
                quietly gen double `__cm_gbin' = (`__cm_grp' == `__cm_g1') if !missing(`__cm_grp')
                quietly gen double `__cm_xg' = dfi_index * `__cm_gbin'
                capture reg patent_count dfi_index `__cm_gbin' `__cm_xg' roa lev size cashflow tobinq top1 dual board indep soe age if !missing(`__cm_grp'), vce(robust)
                if _rc == 0 {
                    local __cm_diff = _b[`__cm_xg']
                    local __cm_se = _se[`__cm_xg']
                    local __cm_t = `__cm_diff' / `__cm_se'
                    capture local __cm_df = e(df_r)
                    local __cm_p = cond("`__cm_df'"=="" | "`__cm_df'"==".", 2*(1-normal(abs(`__cm_t'))), 2*ttail(`__cm_df', abs(`__cm_t')))
                    local __cm_diff_s : display %12.6f `__cm_diff'
                    local __cm_se_s : display %12.6f `__cm_se'
                    local __cm_p_s : display %9.4f `__cm_p'
                    local __cm_status "not_supported"
                    if `__cm_p' < 0.1 local __cm_status "supported"
                    file write `cm_fh' "growth,`__cm_method',`__cm_ng',`__cm_n0',`__cm_n1',`__cm_diff_s',`__cm_se_s',`__cm_p_s',`__cm_status',exploratory disclosed candidate" _n
                }
                else {
                    file write `cm_fh' "growth,auto_binary_or_median,`__cm_ng',`__cm_n0',`__cm_n1',.,.,.,regression_failed,交互项回归失败" _n
                }
            }
        }
    }
}
file close `cm_fh'
di "异质性分析完成：分组变量=size，方法=by_median"
log close

实际输出表

这张表是本方法页配套案例的输出结果，用来把前面的公式、变量口径和代码对应到实际数字。

补充输出

下面这些文件来自同一次案例生成流程，用来补齐主表之外的诊断信息。

heterogeneity_candidate_matrix.csv

regression_table_异质性检验.csv

案例图

这是一张由同一份案例数据生成的页面内诊断图。

论文里怎么写

本文在共用企业面板样本上报告Chow 已知断点检验，核心输出见 chow_test_results.csv。结果解释时同时关注样本口径、变量构造、系数方向、标准误和适用前提，避免只凭单个 p 值完成方法选择。

检查清单

• 先说明断点或分组是事前确定的，不是看结果后挑出来的。
• Chow 检验回答的是两组系数是否相同，不是每组内部是否显著。
• 如果主表使用稳健标准误，最好用交互项或 Wald 检验作稳健口径。

返回教程库 · 查看共用案例