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STATA

STATA. Introductory manual. QUIZ. What are the main OLS assumptions? On average right Linear Predicting variables and error term uncorrelated No serial correlation in error term Homoscedasticity + Normality of error term. QUIZ. Do we know the error term? Do we know the coefficients?

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STATA

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  1. STATA Introductory manual

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

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

  4. 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...

  5. 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...

  6. 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 ]

  7. Regression with STATA • How to do regression? • regress y x • regress y x, nocons and that’s it 

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

  9. 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]

  10. 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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