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STATA Introductory manual

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QUIZ What are the main OLS assumptions? 1.On average right 2.Linear 3.Predicting variables and error term uncorrelated 4.No serial correlation in error term 5.Homoscedasticity + Normality of error term

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QUIZ Do we know the error term? Do we know the coefficients? How can we know whether all the assumptions are fulfilled 1.On average right => ??? 2.Linearity => ??? 3.X and ε uncorrelated => ??? 4.ε serially uncorrelated => ??? 5.ε homoscedastic => ???

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STATA as calculator Multiplication and other simple operations –display (7*(6+5)/4)^(-0.3) Statistical calculations –display norm(1.96) Generating variables –gen t=year-1967 Etc...

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STATA for matrices Writing down matrix –matrix X=(1,4\1,-2\1,3\1,-5) Reading a matrix (you have to know its name) –matrix list X Learning what matrices there are –matrix dir Multiplications –matrix XX=X’*X –matrix IXX=inv(XX) Etc...

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Getting data to STATA How to get data to STATA? –From Excel [Copy&Paste, remember „commas”] –Manually [if one has the time... ] –From other sources [import function] How to know what it is? –Describe [read the texts] –summarize [statistical properties] Learning more about your data set –correlate x1 y [just to see how it works] –histogram x1 [graphing is easier from the menu] –scatter x1 y [as above ]

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Regression with STATA How to do regression? –regress y x –regress y x, nocons and that’s it

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Diagnostics with STATA Normality of the residual –predict e, residual [directly after regress] –sktest e [Jarque-Bery test] RESET test –ovtest, rhs

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Diagnostics with STATA Heteroscedasticity –hettest, rhs [Breush-Pagan test] –imtest, white [White test] Autocorrelation –tsset t –dwstat [Durbin-Watson test] –bgodfrey, lags(1 2 3) [Breush-Godfrey test]

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Diagnostics with STATA Structural stability [Chow] –gen d=0 –gen dx1=0 –gen dx2=0 –gen dx3=0 –replace d=1 if t>50 –replace dx1=x1 if t>50 –replace dx2=x2 if t>50 –replace dx3=x3 if t>50 –reg y x1 x2 x3 d dx1 dx2 dx3 –test (d=0) (dx1=0) (dx2=0) (dx3=0)

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Introduction to Regression Analysis, Chapter 13,

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