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 " REFACE 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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2 Working with economic and
3 Organizing and handling economic
4 Linear regression
5 Specifying the functional form
6 Regression with noniid errors
7 Regression with indicator variables
1990q1 1992q3 sal
9 Paneldata models
10 15 20 10 15
10 Models of discrete and limited
A Getting the data into Stata
B The basics of Stata programming
Author index

8 Instrumentalvariables estimators

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