An Introduction to Modern Econometrics Using Stata

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Stata Press, Aug 17, 2006 - Business & Economics - 341 pages
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Table of Contents
•PREFACE NOTATION AND TYPOGRAPHY
INTRODUCTION An Overview of Stata’s Distinctive Features Installing the Necessary Software Installing the Support Materials
WORKING WITH ECONOMIC AND FINANCIAL DATA IN STATA The Basics Common Data Transformations
ORGANIZING AND HANDLING ECONOMIC DATA Cross-Sectional Data and Identifier Variables Time-Series Data Pooled Cross-Sectional Time-Series Data Panel Data Tools for Manipulating Panel Data Combining Cross-Sectional and Time-Series Datasets Creating Long-Format Datasets with Append The Reshape Command Using Stata for Reproducible Research
LINEAR REGRESSION Introduction Computing Linear Regression Estimates Interpreting Regression Estimates Presenting Regression Estimates Hypothesis Tests, Linear Restrictions, and Constrained Least Squares Computing Residuals and Predicted Values Computing Marginal Effects Appendix A: Regression as a Least-Squares Estimator Appendix B: The Large-Sample VCE for Linear Regression
SPECIFYING THE FUNCTIONAL FORM Introduction Specification Error Endogeneity and Measurement Error
REGRESSION WITH NON-I.I.D. ERRORS The Generalized Linear Regression Model Heteroskedasticity in the Error Distribution Serial Correlation in the Error Distribution
REGRESSION WITH INDICATOR VARIABLES Testing for Significance of a Qualitative Factor Regression with Qualitative and Quantitative Factors Seasonal Adjustment with Indicator Variables Testing for Structural Stability and Structural Change
INSTRUMENTAL-VARIABLES ESTIMATORS Introduction Endogeneity in Economic Relationships
2SLS The ivreg Command Identification and Tests of Overidentifying Restrictions Computing IV Estimates ivreg2 and GMM Estimation Testing and Overidentifying Restrictions in GMM Testing for Heteroskedasticity in the IV Context Testing the Relevance of Instruments Durbin-Wu-Hausman Tests for Endogeneity in IV Estimation Appendix A: Omitted-Variables Bias Appendix B: Measurement Error
PANEL-DATA MODELS FE and RE Models IV Models for Panel Data Dynamic Panel-Data Models Seemingly Unrelated Regression Models Moving-Window Regression Estimates
MODELS OF DISCRETE AND LIMITED DEPENDENT VARIABLES Binomial Logit and Probit Models Ordered Logit and Probit Models Truncated Regression and Tobit Models Incidental Truncation and Sample-Selection Models Bivariate Probit and Probit with Selection
APPENDIX A: GETTING THE DATA INTO STATA Inputting Data from ASCII Text Files and Spreadsheets Importing Data from Other Package Formats
APPENDIX B: THE BASICS OF STATA PROGRAMMING Local and Global Macros Scalars Loop Constructs Matrices return and ereturn The Program and Syntax Statements Using Mata Functions in Stata Programs
REFERENCES AUTHOR INDEX SUBJECT INDEX
 

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Contents

2 Working with economic and
7
3 Organizing and handling economic
43
4 Linear regression
69
5 Specifying the functional form
115
6 Regression with noniid errors
133
7 Regression with indicator variables
161
1990q1 1992q3 sal
178
ci
183
9 Paneldata models
219
10 15 20 10 15
244
10 Models of discrete and limited
247
A Getting the data into Stata
277
B The basics of Stata programming
289
References
321
Author index
329
Copyright

8 Instrumentalvariables estimators
185

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