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Applied Econometrics Using Stata-Cameron and Trivedi

Applied Econometrics Using Stata-Cameron and Trivedi

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Published by: Francis Mark Quimba on Dec 05, 2012
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Applied Econometrics using Stata
Ricardo Perez-Truglia
Harvard University
Applied Econometrics using Stata
Ricardo Nicolás Pérez Truglia
Department of Economics
Harvard University 
Extremely early draft: March 2009
Diclaimer: Chapters 3, 4 and 6 are very incomplete andcontain some paragraphs in Spanish.Comments welcomed!
Thanks to my Professors: Walter Sosa Escudero, Sebastian Galiani and Dale Jorgenson. These noteswere originally written to be used in classes taught at Universidad de San Andres (with Martin Rossi).They are still extremely preliminary.
rtruglia@fas.harvard.edu | Harvard University, Department of Economics: Littauer Center, 1805Cambridge Street, Cambridge, MA (02138).
The guides use Stata 9.1. They should work without changes in Stata 10 (orsimply entering "version 9" at the beginning of the code), and with minormodifications they should work in older versions. We try not to include Stata outputin the document in order to emphasize that you should execute the Stata commandswhile you are reading the Notes.It is very important to solve the Problem Sets by your own. They are the mostimportant pedadogical tools in this document. The objective of the Notes and theProblem Sets is to reproduce the Tables of published papers, so the reader canexperience by herself the “cooking” of applied econometrics. In general Montecarloexperiments are not used for teaching econometrics. We think that is the maininnovation of this document, since Montecarlo experiments are a very practical wayto incorporate the intuition behind many econometric results.You can find the databases in the website: ricardotruglia.com.ar. Most of thedatabases are from third parties, downloaded from the author’s original websites.We do not cover deeply the econometric theory, but we give a brief introduction,specially for those models that are not basic (e.g. ordered logit, program evaluation,kernel estimation, etc.).If you feel that you need to refresh some of the econometric theory, werecommend Jeffrey Wooldridge’s “Econometric Analysis of Cross Section and PanelData,” which covers almost every single topic in the notes (or Wooldridge’s“Introductory Econometrics” for the beggineers or for non-economists). It is thestandard textbook in undergraduate and graduate courses in econometrics. Whenevera topic is not completely covered by Wooldridge’s book, we will give furtherreferences.Stata makes applied econometrics extremely easy. However, this comes to aprice: it is extremely easy to run a regression without understanding the truemeaning of what you are doing. You should avoid the temptation to use a modelwithout understanding it, and go to your favorite textbook first.Please cite as: Perez Truglia, Ricardo Nicolas (2009), “Applied Econometricsusing Stata.” Mimeo, Harvard University.

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