说明分析教案stata estimation

Hausman Chapter5.补 Presentregressionresultin Chapter1.EstimationStep1:Step2:SimpleregressionStep3:Step4:Step1:时间变Step2:Step3:SimpleregressionStep4:Step2：截面变量和时间变Step3：DescriptionStep4:模型筛选有：individualeffectcorrelatedwithX?Hausman ThecommandtoprovidesummarystatisticsinStataissummarize.IfyouStatawilldisythenumberofobservationsonthevariableY,itsmean,standarddeviation,minimumand umvalues.Ifyouwantmorethantheabovestatistics(e.g.percentiles,variance,skenwess,kurtosis),youneedtotypethedetailoption:Youcanalsoapplythesummarizecommandtoproducesummarystatisticsonmorethanjustonevariable,e.g.:summarizesummarizeYThecommandalsooffersseveraloptions,whichyoucanfindoutbytyhelpsummarizeAusefulalternativetotheaboveisthetabstatcommand.Forexample:willreportatableshowingthemeanofY.Thiscommandalsohasanumberofoptions(seehelpAusefuloptionofthetabstatcommandisthestatisticsoption,requestingadditionalstatisticsthatyoucanspecify,e.g.:bytyhelptabstatandlookingatthestatisticsoptions,youcanfindalonglistofstatisticsyoucanaskStatatoproduceonvariableY.RegressRegressYX1Multicollinearityariseswhenastronglinearrelationshipexistsbetween2ormoreexvariables(X’s)inaE.g.：IncludetotalassetsandfixedassetsasXvariablesinaregressionmodel.Fixedassetsarepartoftotalassets!Includingbothvariablesleadstomulticollinearity“regYX1X2”GenerallyVIFofmorethan10is没有固定的修正方法，例如可以：去掉一个变量（totalassetfixedasset去掉之一）具体参考其他paper中的处理方法OLSassumption→errortermhomoscedasticobservationerrorterm的ii例如：housingexpenditures e:Poorerconsumershavelittlescopeforvaryingtheirrentexpenditures→Var(εi)isWealthyconsumershavelargescopeforvaryingtheirrentexpenditures→Var(εi)is graphicalmethod是直观上的表达，但并不formal;formal的是whitetestwhitetest和Goldfeldt-Quandttest中小firmwhitetest；：用Goldfeld-Quandttestwhitetesttest——Breusch-Pagantestauxiliaryequation中的exnator，有难度。如果要formaltest，whitetest就够了，所以Breusch-Pagantestplotresidual”againstfittedvaleueofWhite'stestforWhite'stestforHo:againstHa:unrestricted Prob>chi2 Cameron& positionofIM-p4217.thesmallerthepthemorepowerfultorejectH0:→lwage=b0+b1age+b2age2+b3educ+regreglwageageage2educiffemale==1reglwageageage2educifcommand之前，不必再runoverall之后得到两个regressionRsquare——relabelthegroupasLandS,SSRL/(nL-k)>nl(ns)=noofobsinthegroupwithlarger(smaller)计算GSSRL/(nL-kSSRS/(nS-1.3（1.3columnns-row5%1.33rejectnull:equalresidualvariance→如果两组没有相同的residualvariance，即heteroscedasticityregregprofitsassetsmcontrol,Whenyoupresentyourresults,youmustclarifywhiche.s.e.youhaveused.Forexample,manytablesofresultsincludethefootnote“Whitestandarderrorsinparentheses”or“Robuststandarderrorsinparentheses.”Chapter3.TimeseriesStatic（lag：currentY和currentX：lag：currentDLARARDLtssettimetssettimenonstationary→SpuriousRegression→OLSoftenmisleadsusintobelievingYandXarerelated,evenwhentheyarenot.test要对变量进行处理（firstdifferencesOLSlnIPlnSP500dfullerlnIP,trendlags(3)regress一般准则：12inannualdata;4inquarterly准确数目：IC/AIC准则（Eview中可用AugmentedDickey-Fullertestforunit Numberof 10%MacKinnonapproximatep-valueforZ(t)=t[95%..............%→reglnSP500lnIPreglnSP500lnIPDickey-Fullertestforunit Numberof 1%Critical5%1%Critical5%Critical10%t..%→errorterm是stationaryfirstdifference即可)gendlnIP=d.lnIP先确定变量的orderofintergration（gendlnIP=d.lnIPdfullerdlnIP,lags(1)ReglnSP500lnIP或者regdlnSP500dlnIPMulticollinearityariseswhenastronglinearrelationshipexistsbetween2ormoreexvariables(X’s)inaE.g.：IncludetotalassetsandfixedassetsasXvariablesinaregressionmodel.Fixedassetsarepartoftotalassets!Includingbothvariablesleadstomulticollinearity“regYX1X2”GenerallyVIFofmorethan10is没有固定的修正方法，例如可以：去掉一个变量（totalassetfixedasset去掉之一）具体参考其他paper中的处理方法OLSassumption：cov(εt,εs0,fort≠s→若不等于→timeseriesserialcorrelation。不一定要有lagofvariable，只要（没有lagofY）:DW（lagofY）BG-LMAR(1)serialcorrelation：DWAR(P)serialcorrelation:BG-但DW在某些情况下比LM更powerful，所以最好两个都用。此命令前先rundldu（k和ntest结果的括号里找到correlation 558)=注：如果落在indecisionLag此命令之前先runreg：reglnSP500lnIPl.lnSP500（ neweyLnAreaLnPrice,neweyLnAreaLnPrice,LagLMtestChapter4.Paneluseuseappendusingmanuf1995.dtaappendusingmanuf1996.dtasaveasmanuf94-96.dtareshapereshapelongpoptotrateppp,i(country)““Reshape→XtsetXtsetnumberyear指年份：时间变量number:17,19,..., n year:1993,1994,..., T Delta(year)=1yearSpan(year)=11periods(number*yearuniquelyidentifieseachDistributionof 1 7据，最多的有10年的数据。number:17,19,..., n year:1993,1994,..., T Delta(year)=1yearSpan(year)=11periods(number*yearuniquelyidentifieseachDistributionof1147.... (othersum的拓展，各个变量分别在样本总体（overall、组内(between)、组间 Std.--N=-n=-T-bar=0N=.n=-T-bar=.N=.n=.-T-bar=.N=.n=-T-bar=..-N=.-n=.-T-bar=.-N=.-n=-T-bar=Overallvar=betweenvarwithinvar(解释：forlstocka,betweenvariancedominates→morethan80%oftheoverallvariationisduetodifferencesacrossfirms)period，nT-baraveragetimeeffectmodelHausmantest用来决定用REM还是FEMxtregdstockalstockasalesalsalesalcfa,reCommandexLine2：有individualeffect下的regress sd sd=eu Var(u)=chibar2(01) Prob>chibar2 P0.00→rejectH0:pooledmodel→individualeffectmodel→HausmantestFEM还是Hausmaneststorefixedhausmanfixed.............b=consistentunderHoandHa;obtainedfromxtregB=inconsistentunderHa,efficientunderHo;obtainedfromTest:Ho:differenceincoefficientsnotchi2(4)=(b-B)'[(V_b-V_B)^(-1)](b- Prob>chi2 p0→rejectHoindividualeffectXs无关（REM）→确定哪个模型之后，即可正对REMFEM的结果进行分析（两个模型的结果在筛选过程中Chapter5.E.g.industrydummygengen cedum_ind=2ifindustry=="Machinery" cedum_ind=3ifindustry=="Metals&metalrecedum_ind=4ifindustry=="Miscellaneousmanufacturing"recedum_ind=5ifindustry=="Non-metallicmineralproducts"recedum_ind=6ifindustry=="Te