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Table Of Contents

1 AN OVERVIEW OF STATA
Transforming variables
Continuing the example
2 STATA LANGUAGE
Basic Rules of Stata
Stata functions
Missing values
Time series operators
Setting panel data
Importing data from comma separated values (.csv) files
Reading Stata files: the use command
Saving a Stata data set: the save command
Culling your data: the keep and drop commands
Transforming your data: the generate and replace
4 GRAPHS
5 USING DO-FILES
6 USING STATA HELP
7 REGRESSION
Linear regression
Correlation and regression
How well does the line fit the data?
The regression fallacy
Horace Secrist
Some tools of the trade
Summation and deviations
Expected value
Expected values, means and variance
8 THEORY OF LEAST SQUARES
Method of least squares
Properties of estimators
Small sample properties
Bias
Efficiency
efficiency
Mean square error
Large sample properties
Consistency
Mean of the sampling distribution ofˆ
Variance ofˆ
Consistency of OLS
Proof of the Gauss-Markov Theorem
Inference and hypothesis testing
Normal, Student’s t, Fisher’s F, and Chi-square
Normal distribution
Chi-square distribution
F-distribution
t-distribution
Asymptotic properties
Testing hypotheses concerning
Degrees of Freedom
Estimating the variance of the error term
Chebyshev’s Inequality
Law of Large Numbers
Central Limit Theorem
Method of maximum likelihood
Likelihood ratio test
Multiple regression and instrumental variables
Interpreting the multiple regression coefficient
Multiple regression and omitted variable bias
The omitted variable theorem
Proxy variables
Dummy variables
Useful tests
F-test
Chow test
Granger causality test
J-test for non-nested hypotheses
LM test
9 REGRESSION DIAGNOSTICS
Influential observations
DFbetas
. dfbeta
Multicollinearity
Variance inflation factors
10 HETEROSKEDASTICITY
Testing for heteroskedasticity
Breusch-Pagan test
Weighted least squares
Robust standard errors and t-ratios
11 ERRORS IN VARIABLES
Cure for errors in variables
Two stage least squares
Hausman-Wu test
12 SIMULTANEOUS EQUATIONS
Example: supply and demand
Indirect least squares
The identification problem
Illustrative example
Tests of overidentifying restrictions:
Test for weak instruments
Seemingly unrelated regressions
Three stage least squares
Types of equation systems
Strategies for dealing with simultaneous equations
Another example
Summary
13 TIME SERIES MODELS
Linear dynamic models
ADL model
Lag operator
Static model
AR model
Random walk model
First difference model
Distributed lag model
Partial adjustment model
Error correction model
Cochrane-Orcutt model
14 AUTOCORRELATION
Effect of autocorrelation on OLS estimates
Testing for autocorrelation
The Durbin Watson test
The LM test for autocorrelation
Testing for higher order autocorrelation
Cure for autocorrelation
The Cochrane-Orcutt method
Curing autocorrelation with lags
Heteroskedastic and autocorrelation consistent
Random walks and ordinary least squares
Testing for unit roots
Choosing the number of lags with F tests
Digression: model selection criteria
Choosing lags using model selection criteria
DF-GLS test
Trend stationarity vs. difference stationarity
Cointegration
Dynamic ordinary least squares
17 PANEL DATA MODELS
The Fixed Effects Model
Time series issues
Linear trends
Unit roots and panel data
Clustering
Other Panel Data Models
Digression: the between estimator13
The Random Effects Model
Choosing between the Random Effects Model and the Fixed
Hausman-Wu test again
The Random Coefficients Model
Index
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54549213-Stata-Manual-2009

54549213-Stata-Manual-2009

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Published by: Ho Van on Jun 16, 2011
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11/25/2012

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