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Simons, 1-May-11

**Useful Stata Commands (for Stata version 11)
**

Kenneth L. Simons

– This document is updated continually. For the latest version, open it from the course disk space. – This document briefly summarizes Stata commands useful in ECON-4570 Econometrics and ECON6570 Advanced Econometrics. This presumes a basic working knowledge of how to open Stata, use the menus, use the data editor, and use the do-file editor. We will cover these topics in early Stata sessions in class. If you miss the sessions, you might ask a fellow student to show you through basic usage of Stata, and get the recommended text about Stata for the course and use it to practice with Stata. More replete information is available in three very useful books: Lawrence C. Hamilton’s Statistics with Stata updated for version 10 (recommended in past for ECON-4570 Econometrics), Christopher F. Baum’s An Introduction to Modern Econometrics Using Stata (recommended for ECON-6570 Advanced Econometrics), and A. Colin Cameron and Pravin K. Trivedi’s Microeconometrics using Stata (recently released and is great and the most thorough of the three). Readers on the Internet: I apologize but I cannot generally answer Stata questions. Useful places to direct Stata questions are: (1) built-in help and manuals (see Stata’s Help menu), (2) your friends and colleagues, (3) Stata’s technical support staff (you will need your serial number), (4) Statalist (http://www.stata.com/statalist/) (but check the Statalist archives before asking a question there).

Throughout, estimation commands specify robust standard errors (Eicker-Huber-White heteroskedastic-consistent standard errors). This does not imply that robust rather than conventional estimates of Var[b|X] should always be used, nor that they are sufficient. Other estimators shown here include Davidson and MacKinnon’s improved small-sample robust estimators for OLS, cluster-robust estimators useful when errors may be arbitrarily correlated within groups (one application is across time for an individual), and the Newey-West estimator to allow for time series correlation of errors. Selected GLS estimators are listed as well. Hopefully the constant presence of “vce(robust)” in estimation commands will make readers sensitive to the need to account for heteroskedasticity and other properties of errors typical in real data and models.

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Kenneth L. Simons, 1-May-11

Contents Preliminaries for RPI Dot.CIO Labs........................................................................................................... 5 A. Loading Data.......................................................................................................................................... 5 B. Variable Lists, If-Statements, and Options ............................................................................................ 5 C. Lowercase and Uppercase Letters.......................................................................................................... 6 D. Review Window, and Abbreviating Command Names ......................................................................... 6 E. Viewing and Summarizing Data ............................................................................................................ 6 E1. Just Looking ..................................................................................................................................... 6 E2. Mean, Variance, Number of Non-missing Observations, Minimum, Maximum, Etc. .................... 6 E3. Tabulations, Histograms, Density Function Estimates..................................................................... 7 E4. Scatter Plots and Other Plots ............................................................................................................ 7 E5. Correlations and Covariances........................................................................................................... 7 F. Generating and Changing Variables....................................................................................................... 8 F1. Generating Variables ........................................................................................................................ 8 F2. Missing Data..................................................................................................................................... 8 F3. True-False Variables......................................................................................................................... 8 F4. Random Numbers ............................................................................................................................. 9 F5. Replacing Values of Variables ....................................................................................................... 10 F6. Getting Rid of Variables................................................................................................................. 10 F7. If-then-else Formulas...................................................................................................................... 10 F8. Quick Calculations.......................................................................................................................... 10 F9. More................................................................................................................................................ 11 G. Means: Hypothesis Tests and Confidence Intervals ............................................................................ 11 G1. Confidence Intervals ...................................................................................................................... 11 G2. Hypothesis Tests ............................................................................................................................ 11 H. OLS Regression (and WLS and GLS) ................................................................................................. 11 H1. Variable Lists with Automated Category Dummies and Interactions ........................................... 12 H2. Improved Robust Standard Errors in Finite Samples..................................................................... 12 H3. Weighted Least Squares................................................................................................................. 13 H4. Feasible Generalized Least Squares............................................................................................... 13 I. Post-Estimation Commands .................................................................................................................. 13 I1. Fitted Values, Residuals, and Related Plots .................................................................................... 13 I2. Confidence Intervals and Hypothesis Tests..................................................................................... 14 I3. Nonlinear Hypothesis Tests............................................................................................................. 14 I4. Computing Estimated Expected Values for the Dependent Variable.............................................. 14 I5. Displaying Adjusted R2 and Other Estimation Results ................................................................... 15 I6. Plotting Any Mathematical Function .............................................................................................. 15 I7. Influence Statistics........................................................................................................................... 15 I8. Functional Form Test....................................................................................................................... 16 I9. Heteroskedasticity Tests .................................................................................................................. 16 I10. Serial Correlation Tests ................................................................................................................. 17 I11. Variance Inflation Factors ............................................................................................................. 17 I12. Marginal Effects ............................................................................................................................ 17 J. Tables of Regression Results ................................................................................................................ 17 J0. Copying and Pasting from Stata to a Word Processor or Spreadsheet Program............................. 17

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Kenneth L. Simons, 1-May-11

J1. Tables of Regression Results Using Stata’s Built-In Commands ................................................... 18 J2. Tables of Regression Results Using Add-On Commands............................................................... 19 J2a. Installing or Accessing the Add-On Commands ....................................................................... 19 J2b. Storing Results and Making Tables........................................................................................... 19 J2c. Near-Publication-Quality Tables............................................................................................... 20 J2d. Understanding the Table Command’s Options ......................................................................... 20 J2e. Saving Tables as Files ............................................................................................................... 21 J2f. Wide Tables ............................................................................................................................... 21 J2g. Storing Additional Results ........................................................................................................ 21 J2h. Clearing Stored Results ............................................................................................................. 21 J2i. More Options and Related Commands ...................................................................................... 22 K. Data Types, When 3.3 ≠ 3.3, and Missing Values............................................................................... 22 L. Results Returned after Commands ....................................................................................................... 22 M. Do-Files and Programs........................................................................................................................ 23 N. Monte-Carlo Simulations..................................................................................................................... 24 O. Doing Things Once for Each Group .................................................................................................... 24 P. Generating Variables for Time-Series and Panel Data......................................................................... 25 P1. Creating Time Variables that Start from a First Time and Increase by 1 at Each Observation ..... 25 P2. Creating Time Variables Using a String Date ................................................................................ 26 P3. Telling Stata You Have Time Series or Panel Data ....................................................................... 26 P4. Lags, Forward Leads, and Differences ........................................................................................... 26 P5. Generating Means and Other Statistics by Individual, Year, or Group.......................................... 27 Q. Panel Data Statistical Methods ............................................................................................................ 27 Q1. Fixed Effects – Using Dummy Variables ...................................................................................... 27 Q2. Fixed Effects – De-Meaning .......................................................................................................... 28 Q3. Other Panel Data Estimators .......................................................................................................... 28 Q4. Time-Series Plots for Multiple Individuals.................................................................................... 29 R. Probit and Logit Models....................................................................................................................... 29 R1. Interpreting Coefficients in Probit and Logit Models .................................................................... 29 S. Other Models for Limited Dependent Variables .................................................................................. 31 S1. Censored and Truncated Regressions with Normally Distributed Errors ...................................... 31 S2. Count Data Models ......................................................................................................................... 32 S3. Survival Models (a.k.a. Hazard Models, Duration Models, Failure Time Models) ....................... 32 T. Instrumental Variables Regression....................................................................................................... 33 T1. GMM Instrumental Variables Regression...................................................................................... 34 T2. Other Instrumental Variables Models ............................................................................................ 34 U. Time Series Models ............................................................................................................................. 35 U1. Autocorrelations............................................................................................................................. 35 U2. Autoregressions (AR) and Autoregressive Distributed Lag (ADL) Models ................................. 35 U3. Information Criteria for Lag Length Selection .............................................................................. 35 U4. Augmented Dickey Fuller Tests for Unit Roots ............................................................................ 36 U5. Forecasting ..................................................................................................................................... 36 U6. Newey-West Heteroskedastic-and-Autocorrelation-Consistent Standard Errors .......................... 36 U7. Dynamic Multipliers and Cumulative Dynamic Multipliers ......................................................... 37 V. System Estimation Commands ............................................................................................................ 37 V1. Three-Stage Least Squares............................................................................................................. 37 3

Kenneth L. Simons, 1-May-11

V2. Seemingly Unrelated Regression ................................................................................................... 38 V3. Multivariate Regression ................................................................................................................. 38 W. Other Estimation Methods .................................................................................................................. 38 W1. Nonlinear Least Squares ............................................................................................................... 38 W2. Generalized Method of Moments Estimation for Custom Models ............................................... 39 W3. Maximum Likelihood Estimation for Custom Models ................................................................. 39 X. Data Manipulation Tricks .................................................................................................................... 39 X1. Combining Datasets: Adding Rows............................................................................................... 39 X2. Combining Datasets: Adding Columns [UPDATED IN STATA 11 – SEE MANUALS] ........... 39 X2a. Unmatched Merge .................................................................................................................... 40 X2b. Matched One-to-One Merge .................................................................................................... 40 X2c. Matched Many-to-One Merge.................................................................................................. 41 X2d. Matched One-to-Many Merge ................................................................................................. 42 X2e. Matched Many-to-Many Merge ............................................................................................... 42 X3. Reshaping Data .............................................................................................................................. 42 X4. Converting Between Strings and Numbers.................................................................................... 43 X5. Labels ............................................................................................................................................. 43 X6. Notes .............................................................................................................................................. 44 X7. More Useful Commands ................................................................................................................ 45

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you may also want to put the web address to attach the course disk space in a file on drive H. and var3. edit var1 in 10 Opens the data editor.txt" save "filename. 2. To access the course disk space. You can use an asterisk as a wildcard (see Stata’s help for varlist). You must close the data editor before you can run any further commands. B. Examples: edit var1 var2 var3 Opens the data editor. and enter your username and password. then double-click on the program icon that you see. just in the 10th observation. You can also use an in-statement. To access the Stata program. and varname (or yvar etc. go to: \\hass11. It goes immediately after the command.] To access your personal RCS disk space from DotCIO computers. Loading Data set memory 100m edit use "filename. find the icon on the desktop labeled “Connect to RCS. because Windows in the labs has not been set up to know where to find Stata or even which saved files are Stata files. If you leave the list blank. You must start Stata this way – it does not work to double-click on a saved Stata file.win. as of Spring 2010: Sage 4510. Simons. the VCC Lobby (all Windows PCs). edit if var2 == var3 Opens the data editor. 5 . For handy use when logging in. just with var1.Kenneth L. If you are logged in locally on your machine or into anther domain you will be prompted for credentials. and Options Most commands in Stata allow (1) a list of variables. A.edu\classes\econ-6570. [The following may now be outdated. that way at the start of a session you can attach the RCS disk space and then open the file with your saved command and run it. Stata assumes where possible that you mean all variables. only for observations in which var2 is greater than 3. Your personal disk space will be attached as drive H. Once entered correctly the folder should open up. varlist means a list of variables. Reads in a Stata-format data file Reads in text data.dta" insheet using "filename. An if-statement restricts the command to certain observations. 1. 1-May-11 Useful Stata (Version 11) Commands Preliminaries for RPI Dot. Opens the data editor. look under My Computer and open the disk drive X: (which in our classroom is named something like “Sage4510$”). with all variables. var2. If you are logged into the WIN domain you will go right to it. Saves the data.” double-click on it. Ifand in-statements come after the list of variables. just with variables var1. to type in or paste data.dta" Sets memory available for data to 100 megabytes. and (3) options. only for observations in which var2 equals var3. and the VCC North and South labs. edit Opens the data editor. Clear before setting. In later examples. just with variable var1.CIO Labs RPI computer labs with Stata include. A list of variables consists of the names of the variables. Variable Lists.) You will want to save Stata do-files to drive H. with all variables. (Public RCS materials will be attached as drive P. (2) an if-statement. separated with spaces. Use: username: win\"rcsid" password: "rcspassword" substituting your RCS username for "rcsid" and your RCS password for "rcspassword".rpi. If-Statements. Examples: edit var1 if var2 > 3 Opens the data editor.) means one variable.

just with var1. Variance. Just Looking If you want to look at the data but not change them. Number of Non-missing Observations. You will see more examples of options below. Here the old data are forgotten and will be gone forever unless you saved some version of them. so a second comma turns off the use of options!). an error message will display. and numbers of positives / zeroes / negatives.dta". summarize varlist. Or list the data in the main window. list varlist Lists data. or vice versa. Click in the Review window to put a previous command in the Command window (then you can edit it as desired). press space for the next screen. and instead of “regress”. 6 . Close the viewer before using other commands. in observations 101-200. If there’s more than 1 screenful. detail See detailed summary information for the variables listed. Lowercase and Uppercase Letters Case matters: if you use an uppercase letter where a lowercase letter belongs. There are many options. Mean.Kenneth L. by byvars: summarize varlist See summary information separately for each group of unique values of the variables in byvars. For example. E2. depending on the command – get help on the command to see a list of options. summarize varlist See summary information for the variables listed. browse varlist Opens the data viewer. edit var1 if var2 > 3 in 101/200 Opens the data editor. and missing data values. Maximum. C.dta". replace Saves the data. E. Stata refuses to let you load new data if you haven’t saved the old data. clear Reads in a Stata-format data file. remember two points from above: (1) leave a varlist blank to mean all variables. Minimum. or q to quit listing. 1-May-11 edit var1 in 101/200 Opens the data editor. “by gender: summarize wage”. Double-click to run a command. use the browser via the button at the top. replacing a previously-existing file if any. Examples: use "filename. Another shortcut is that many commands can have their names abbreviated. to look at data without changing them. as you could accidentally change the data! Instead. codebook varlist Another view of information about variables. and Abbreviating Command Names The Review window lists commands you typed previously. inspect varlist See a mini-histogram.) save "filename. it is bad practice to use Stata’s data editor. D. E1. or by using the following command. and (2) you can use if-statements to restrict the observations used by each command. for each variable. Etc. “reg” will do. Options go after any variable list and if-statements. in the subset of observations 101-200 that meet the requirement var2 > 3. For example below instead of typing “summarize”. Simons. Viewing and Summarizing Data Here. just with var1. Do not use an additional comma for additional options (the comma works like a toggle switch. “su” will do. Review Window. integers / non-integers. clearing all data previously in memory! (Without the clear option. and must be preceded by a comma. 3. Options alter what the command does.

scatter yvar1 yvar2 … xvar Plots multiple variables on the vertical axis and xvar on the horizontal axis. The “normal” option lets you overlay a normal probability distribution with the same mean and variance. except the statistical test relies on asymptotic convergence to a normal distribution. The normal option overlays a normal probability distribution with the same mean and variance. Stata has lots of other possibilities for graphs. Tabulations. correlate var1 var2 … Computes the sample correlations between variables. if so. type “graph_intro”. Histograms. chi2 Same as above. with an inch-and-a-half-thick manual.Kenneth L. Or go to Stata’s pdf manuals and look at [G] Graph intro. Simons. The test is exact. Density Function Estimates tabulate varname Creates a table listing the number of observations having each different value of the variable varname. while computing the correlations of health with income and of nutrition with income for just the 10% of observations that have income data. tabulate var1 var2 Creates a two-way table listing the number of observations in each row and column. which is an estimate of the pdf that generated the data. bin(#) normal The bin(#) option specifies the number of bars. tabulate var1 var2. nutrition. then you could compute the correlation of health with nutrition using all of the observations. Correlations and Covariances The following commands compute the correlations and covariances between any list of variables. kdensity varname. Scroll down past the table of contents and read the section labeled “A quick tour. but want to use all available data wherever possible – i. histogram varname Plots a histogram of the specified variable. E4. These are called “pairwise” correlations and can be obtained as follows: pwcorr var1 var2 … Computes pairwise sample correlations between variables. for some correlations but not others. viewing especially the section labeled “A quick tour. and income.edu/stat/stata/modules/. exact Creates the same two-way table. covariance Computes the sample covariances between variables.. those rows are ignored in all calculations. and income data are missing for 90% of your observations. 7 .e. if you have data on health. normal Creates a “kernel density plot”. and press return.” E5. If you have lots of observations.” Or use Stata’s Help menu and choose “Stata Command…”. use this test instead. 1-May-11 E3. and carries out a statistical test of the null hypothesis that var1 and var2 are independent. Scatter Plots and Other Plots scatter yvar xvar Plots data. histogram varname. Sometimes you have missing values in some rows.ucla. try the “Graphics” section of this web page: http://www. exact tests can take a long time and can run out of available computer memory. tabulate var1 var2. For example. with yvar on the vertical axis and xvar on the horizontal axis. in that it does not rely on convergence to a distribution.ats. correlate var1 var2 …. For a quick web-based introduction to some of Stata’s graphics commands. Note that if any of the variables listed have missing values in some rows.

” F3.a < .c. F2.z. For example. you could use Stata’s “extended missing value” codes. for example. For example. so you could create a variable that tells whether logincome is non-missing by checking whether logincome is less the missing value code: gen notmiss = logincome<. Generating and Changing Variables A variable in Stata is a whole column of data. < . Missing data can be used in Stata calculations. They all count as infinity when compared versus normal numbers. Many more functions are available – get help for “functions” for a list. Missing Data Be aware of missing data in Stata. a period likewise indicates a missing datum. but compared to each other they are ranked as .c < … < . then it is less than infinity. but otherwise notmiss equals false which is recorded as 0. if logincome is not missing. cos(). gen q = exp(z) / (1 – exp(z)) gen a = abs(cos(x)) This uses functions for absolute value. . and you can replace existing values with new ones.” but “varname>=. Should you need to distinguish reasons why data are missing. you can check whether logincome is missing. and != (check whether something is not equal). Missing data can also result during data collection. …. and only list the data for observations where this is true: list if logincome==. 1-May-11 F. Stata allows abbreviations: “gen” means “generate”.b. then notmiss equals true which is recorded as 1. List only observations in which logincome is missing. Missing data can be entered in Stata by using a period instead of a number. 8 . For this reason.Kenneth L. or log10() for log-base-10. If logincome is less than infinity. true will be 1. >. When you list data.a. and false will be 0. for example. A missing datum counts as infinity when making comparisons. abs(). <. the calculation is done separately for every observation in the sample. Whn you ask Stata to check whether a number means true or false. You can also use & and | to mean logical “and” and “or” respectively. to check whether a number in variable varname is missing you should use not “varname==. and cosine. When you create these variables. >=. You can generate a new column of data using a formula. . Each time you do this. using the same formula each time. then 0 will mean false and anything else (including a missing value) will mean true. Simons. True-False Variables Below are examples of how to create true-false variables in Stata.b < . and you can use parentheses as needed to group parts of your expressions or equations. in data on publicly listed companies often R&D expenditures data are unavailable. gen f = m * a Remember. The basic operators used when creating true-false values are == (check whether something is equal). . ! (“not” which changes false to true and true to false). These codes are written . if you use “gen logincome = log(income)” then logincome will be missing for any observation in which income is zero or negative. <=. Generating Variables generate newvar = … Generate a new variable using the formula you enter in place of “…”.z. F1. Missing data can result when you compute a number whose answer is not defined. Examples follow. gen xsquared = x^2 gen logincome = log(income) Use log() or ln() for a log-base-e.

Here the vertical bar. If age is 18 or over. This is discussed more in section K below. Simons. and !(. then young is “true”. here are examples of how to create true-false data in Stata: gen young = age < 18 if age<. To do so you could use: “gen youngOrWoman = age<18 | female==1 if (age<. Again. Here the ampersand.”. The variable youngWoman is created and equals 1 if and only if age is less than 18 and also female equals one. with a t-distribution with 27 degrees of freedom. When using true-false values. the “if” condition ensures that the answer will be missing if either age or female is missing. otherwise it equals 0. Here. then old gets set to 1 when really you don’t know whether or not someone is old.e. Random numbers. Random numbers.Kenneth L. gen ageNot18 = age != 18 if age<. age18 is created and equals 1 if the observation has age 18 and 0 if it does not. gen notOld = !old if old<. otherwise it equals 0. In this case. If age is 18 or higher. You could improve on this ifcondition to make the answer non-missing if the person is known to be young but has a missing value for female.” i. 9 . gen youngWoman = age < 18 & female==1 if age<. The “!” symbol is pronounced “not” and switches true to false or false to true. If age is less than 18. then young is “false”. Use a single equal sign to set a variable equal to something. uniformly distributed between 0 and 1. this yields 1. the “if” condition ensures that the answer will be missing if either age or female is missing. represented in Stata as 1. means a logical or. gen old = age >= 18 if age<. so that no answer (a missing value) will be generated if the age is unknown. Instead you should “gen old = age >= 18 if age<. Use a double equal sign to check whether the left hand side equals the right hand side. The result is the same as the variable young above. Random Numbers gen r1 = runiform() gen r2 = rnormal() gen r3 = rnormal(5.) = 0. means a logical and.2) gen r4 = rchi2(27) gen r5 = rt(27) Random numbers. Alternatively. So if age is missing and you use “gen old = age >= 18”. otherwise this yields 0 (but missing-value ages result in missing values for old). with a chi-squared distribution with 27 degrees of freedom. The “!=” symbol means “not equal to”. with a standard normal distribution. Here. 1-May-11 When creating true-false values. & female<. “&”. as noted above. !(1) = 0. So !(0) = 1. represented in Stata as 0. “|”. you could use “gen r3 = 5 + 2 * rnormal()”. & female<. nonmissing (see above). The calculation is done only if age is “less than missing. !(3) = 0. use an if-statement to ensure you generate non-missing values only where appropriate. & female<. missing values in Stata work like infinity. F4. Random numbers. or if the person is known to be female but has a missing value for age. gen youngOrWoman = age<18 | female==1 if age<. 0 is false and anything else – including missing values – counts as true. gen age18 = age == 18 if age<.) | (age<18) | (female==1)”. with a normal distribution using mean 5 and standard deviation 2. The variable youngOrWoman is created and equals 1 if age is less than 18 or if female equals one. or “gen r3 = 5 + 2 * invnorm(runiform())” Random numbers. With these fundamentals in mind.

n2.2. Quick Calculations display … Calculate the formula you type in. young will end up equal to zero.32) Compute the probability that an F-distributed number. is less than or equal to 2. With the statement cond(a. as well as other things not discussed yet (like global variables. However. “set seed 1234”). Also.).g. programs. c) Stata’s cond(if. wage) Creates a variable that uses one formula for observations in which the year is 1992. no change is made if age is less than 16 or if age is at least 18.3 in 1992 and 188. else) works much like Excel’s IF(if.f) = 1 – F(n1. display F(10. don’t forget the comments about missing values in sections F2 and F3 above: if age is missing in some observations. Replacing Values of Variables replace agesquared = age^2 Changes the value of the variable agesquared. Getting Rid of Variables drop varlist Gets rid of all variables in the list.c). If-then-else Formulas gen val = cond(a. You can also set the “seed” for random number generation (e. wage*(188.b. or a different formula if the year is not 1992.3).3-10.0)/12.Kenneth L.n2. which checks whether a is true and then returns b if a is true or c if a is not true (see F7 below).9/140. This particular example would be useful if you have data from two years only. F6. display (52. you can use 10 . we use Stata’s conditional function. To do this. and 0 otherwise. That is. .32. etc. 1-May-11 For other random number distributions use Stata’s menu to get help for “functions”.) An improvement on the above command – this ensures that the answer is missing if age is missing. then. b.9000.c). replace young = 0 if age>=16 & age<18 Changes the value of the variable young to 0. and display the result. Similarly. but only if age is at least 16 and less than 18. F5. F8.9 in 2004. to equal age squared. Examples follow. and the consumer price index was 140. F7. else).7 display normal(1. to ensure that a reproducible sequence of random numbers will result thereafter – that way if you rerun your analyses later you can get exactly the same results. cond(a. clear Gets rid of all variables. replace young = age < 16 Changes the value of the variable young.. with 10 and 9000 degrees of freedom. age < 16. This would be useful if you had made a mistake when you first created the variable. replace young = cond(age<.96) Compute the probability to the left of 1.f). 1992 and 2004.b.96 in the cumulative normal distribution. then. Stata checks whether a is true and then returns b if a is true or c if a is not true. then the example given here would compute the real wage by rescaling 1992 wages while leaving 2004 wages the same. gen realwage = cond(year==1992. Simons.. there is a function Ftail(n1. to equal 1 if and only if age is less than 16.

ci varname. F9. Simons. choose Stata Command…. We are always using the vce(robust) option in ECON-4570 Econometrics. 11 . by(groupvar) Test the hypothesis that the mean of a single variable is the same for all groups. 1-May-11 ttail(n. or “regress y x1 x2 x3”. asymptotically unbiased) results. for a t-distributed random variable T with n degrees of freedom. G. G2. In Stata “_n” means the current observation (when using generate or replace). ttest varname1 == varname2 Test the hypothesis that the mean of one variable equals the mean of another variable. The “vce” stands for variance-covariance estimates (of the estimated model parameters). meaning the valuable of the variable x in the 3rd observation. groupvar might be year. ttest varname. use a reference like x[3].e. leads.. and enter “functions”. use 99 for a 99% confidence interval. because we want consistent (i. For example. For example: “regress y x”. use 99 for a 99% confidence interval). To generate variables separately for different groups of observations. remember always to specify the vce(robust) option after estimation commands. and differences in section P4. The groupvar must be a variable with a distinct value for each group. see the commands in sections O and P5. Confidence Intervals ci varname Confidence interval for the mean of varname (using asymptotic normal distribution). and “_N” means the number of observations. More For functions available in equations in Stata. Means: Hypothesis Tests and Confidence Intervals G1. use Stata’s Help menu.t) for the probability that T>t.g. so that for example x[_n-1] means the value of x in the preceding observation. regress yvar xvarlist. but this time compute robust (Eicker-Huber-White) standard errors. and this time change the confidence interval to #% (e. so that x[_N] means the value of x in the last observation. H. to see if the mean of a variable is the same in every year of data. vce(robust) level(#) Regress with robust standard errors. especially the notations for lags. vce(robust) Regress. For example. So if you are in ECON-4570 Econometrics. level(#) Confidence interval at #%. OLS Regression (and WLS and GLS) regress yvar xvarlist Regress the dependent variable yvar on the independent variables xvarlist. regress yvar xvarlist. For time-series and panel data.Kenneth L. see section P. Hypothesis Tests ttest varname == # Test the hypothesis that the mean of a variable is equal to some number. but we do not want to have to assume homoskedasticity and normality of the random error terms. which you type instead of the number sign #. If you need to refer to a specific observation number.

age#c.usstate in the xvarlist for your regression.Kenneth L. Here are some examples using automated category dummies and interactions. You can use “#” to create polynomials.male. age2.male.age i. termed “factor variables” in the Stata manuals (see the User’s Guide U11.S. reg wage c.age#i. and age2×male.age##i. age times each of the 49 state dummies. although they require more computational time. as sample size n increases. male. However.male means age. male. male. age2. male. 1-May-11 H1. named age (a continuous variable) and male (a 0-1 dummy variable). suppose you have a variable named usstate numbered 1 through 50 for the fifty U. vce(robust) Regress wage on age. Use “##” instead of “#” to add full interactions.” in front of male indicates that it is a 0-1 dummy variable.male c.age#i.age##i.male. The “c.age c. 49 state dummies. c. 49 variable that are age×statedummyk. For example. Davidson and MacKinnon* report two variance-covariance estimation methods that seem.age##i. Then you could simply include i. Thus their methods seem to be better.usstate c. at least in their Monte Carlo simulations. to use the approach discussed in Hayashi p. and 49 state dummies multiplied by age.age.age#i. age×male.49). 125 formula 2. and you want to include forty-nine 0-1 dummy variables that allow for differences between the first state (Alabama. reg wage c.age#c.5.age##i. For example.age#c.male c. Similarly. section 16. and 49 variable that are age2×statedummyk (k=1.x2.usstate adds 49 variables to the model. to converge more quickly. students in ECON-6570 Advanced Econometrics learn about an alternative in which the squared residuals are rescaled.…. age×male. vce(robust) Regress wage on age.age#c. Then.age##i. specify “vce(hc2)” instead of “vce(robust)”.male includes the interaction (the multiple of the two variables) in the regression. you can use Stata’s “margins” command to compute marginal effects: the average value of the derivatives d(y)/d(age) across all observations in the sample. to the correct variancecovariance estimates. H2. Estimation and Inference in Econometrics. reg wage c. and age×male.age#i. Variable Lists with Automated Category Dummies and Interactions Stata (beginning with Stata 11) allows you enter variable lists that automatically create dummies for categories as well as interaction variables. and age×male.usstate.usstate means age. MacKinnon. This works even if your regression equation includes interactions of age with other variables. whereas the “i. Oxford: Oxford University Press. vce(robust) Regress wage on age.4 for more information): reg yvar x1 i. and age×male. including c.age#i. “age age#age age#age#age” is a thirdorder polynomial. suppose you want to create the interaction between two variables.age#c. Improved Robust Standard Errors in Finite Samples For robust standard errors. To use this formula. with variables age and age2 and age3.” in front of age indicates that it is a continuous variable.5 using d=1 (or in Greene’s text on p. an apparent improvement is possible.age c.male c. Having done this. Similarly. Davidson and J. for example c. 164). 49 state dummies. vce(robust) Includes a 0-1 dummy variables for the groups indicated by unique values of variable x2. Simons. male. reg wage c. reg wage c. Including c. vce(robust) Regress wage on age. 1993. Stata by default makes Davidson and MacKinnon’s recommended simple degrees of freedom correction by multiplying the estimated variance matrix by n/(n-K). An * R. states. say) and other states. 12 . and age2.3. vce(robust) Regress wage on age.age#i.

5 using d=2 or Greene p. then use this estimated standard deviation to carry out weighted least squares as shown above. H3. then “gen estsd = sqrt(estvar). var(zvarlist) robust twostage I. if your independent variables are just the group variables (categorical variables that indicate which observation is in each group) you can use the command: vwls yvar xvarlist The multiplicative heteroskedasticity model is available via a free third-party add-on command for Stata. and use “by groupvars: egen estvar = mean(residual^2)” with appropriate variable names in place of the the italicized words. that contains for each observation its fitted value yi . The command then can be estimated like this (see the help file and Stata Technical Bulletin for more information): reghv yvar xvarlist. If you know (to within a constant multiple) the variances of the error terms for all observations. Post-Estimation Commands Commands described here work after OLS regression. rvfplot Plot the residuals versus the fitted values of y.com/products/stb/journals/stb42. If you have your own copy of Stata. Suppose you have. that contains for each observation its residual ui . depending on the command. I1. having the name you enter ˆ here. 1-May-11 alternative is “vce(hc3)” instead of “vce(robust)” (Hayashi page 125 formula 2. create a new variable. a reasonable estimate of the standard deviation of the error term for each observation. get the residuals. A discussion of these commands was published in the Stata Technical Bulletin volume 42. Residuals. Then weighted least squares can be performed as follows: vwls yvar xvarlist. It is also wise to plot your residuals versus the fitted values of y. residuals After a regression. 156-158 and 169-175). available online at: http://www. create a new variable. scatter resids x It is wise to plot your residuals versus each of your x-variables.Kenneth L.5. They sometimes work after other estimation commands. sd(sdvar) H4. and Related Plots predict yhatvar After a regression. Or. Weighted Least Squares Students in ECON-6570 Advanced Econometrics learn about (variance-)weighted least squares.stata. Feasible Generalized Least Squares Students in ECON-6570 Advanced Econometrics learn about feasible generalized least squares (Greene pp. 13 . this yields more efficient estimates (OLS with robust standard errors works properly using asymptotic methods but is not the most efficient estimator). stored in a variable sdvar. See section J2a of this document for how to use add-on commands. having the name you enter ˆ here. 173): do the OLS regression. predict rvar. just use the help menu to search for “sg77” and click the appropriate link to install. rvpplot Plot the residuals versus a “predictor” (x-variable). Simons. scatter y yhat x Plot variables named y and yhat versus x.pdf. Fitted Values. 164 footnote 15). again to check for a possible nonlinearity that your analysis has ignored. The groupwise heteroskedasticity model can be estimated by computing the estimated standard deviation for each group using Greene’s equation 8-36 (p. Such “residual plots” may reveal a systematic relationship that your analysis has ignored.

Here are example commands. and compute a confidence interval. you may need to carry out F-tests. see the nice “[R] regress postestimation” section of the Stata manuals. and logpf. Note that coefficients must be specified using _b. After OLS regression. I2. After OLS regression. test logpl+logpk+logpf==1 Test the null hypothesis that the sum of the coefficients of variables logpl. they are all equal to each other.. the coefficient of logq4 equals the coefficient of logq1. along with a 2-sided t-test for whether the true coefficient is zero. After OLS regression. Simons. logpk. and the coefficient of logq5 equals the coefficient of logq1. and logpf. this is an F-test. this is an F-test. but this time change the confidence interval to #% (e. lincom 2*logpl+1*logpk-1*logpf. see the Stata 10 manual.e. Of course 14 . carry out a t-test with the null hypothesis being that the linear combination equals zero. lincom 2*logpl+1*logpk-1*logpf Like the above. [R] testnl. lincom logpl+logpk+logpf Compute the estimated sum of three model coefficients. which are the coefficients in front of the variables named logpl. Nonlinear Hypothesis Tests Students in ECON-6570 Advanced Econometrics learn about nonlinear hypothesis tests. this is an F-test. i. Along with this estimated sum. Computing Estimated Expected Values for the Dependent Variable di _b[xvarname] Display the value of an estimated coefficient after a regression. I3. the coefficient of logq3 equals the coefficient of logq1. Confidence Intervals and Hypothesis Tests For a single coefficient in your statistical model. 1-May-11 For more such commands. use 99 for a 99% confidence interval). you could do something like the following: testnl _b[popdensity]*_b[landarea] = 3000 Test a nonlinear hypothesis.g. However. test (logq2==logq1) (logq3==logq1) (logq4==logq1) (logq5==logq1) Test the null hypothesis that four equations are all true simultaneously: the coefficient of logq2 equals the coefficient of logq1. totals to 1. the confidence interval is already reported in the table of regression results. whereas the linear “test” command lets you omit the _b[]. testnl (_b[mpg] = 1/_b[weight]) (_b[trunk] = 1/_b[length]) For multi-equation tests you can put parentheses around each equation (or use multiple equality signs in the same equation.Kenneth L. but now the formula is a different linear combination of regression coefficients. After estimating a model. as well as compute confidence intervals and t-tests for “linear combinations” of coefficients in the model. level(#) As above. I4. for examples). logpk. This only makes sense after a regression involving variables with these names. test x3 x4 x5 Test the null hypothesis that the coefficient of x3 equals 0 and the coefficient of x4 equals 0 and the coefficient of x5 equals 0. Note that when a variable name is used in this subsection. Use the variable name “_cons” for the estimated constant term. it really refers to the coefficient (the βk) in front of that variable in the model equation.

di _b[_cons] + _b[age]*25 + _b[female]*1 After a regression of y on age and female (but no other independent variables). It may still be a useful indicator. detail” to find out the largest values by which the estimates would change 15 . See also the predict command mentioned above in section I1. R 2 . Or get R 2 as in section J below. The change divided by the standard error of varname. you can compute how much different the estimated coefficient of any given variable would be if any particular observation were dropped from the data. so that it can be thought of as an approximation to the adjusted R2 statistic that would occur if the (conditional) variance were constant. can be looked up as “e(r2_a)”. without specifying values for other variables. people often report the adjusted R2 in this situation anyway. and the margins command. for each observation i. and often the (conditional) variance is still reasonably close to constant across observations. is stored in the ith observation of the newly created variable newvarname. dfbeta(varname) Computes the influence statistic (“DFBETA”) for varname: how much the estimated coefficient of varname would change if each observation were excluded from the data. Plotting Any Mathematical Function twoway function y=exp(-x/6)*sin(x). Displaying Adjusted R2 and Other Estimation Results display e(r2_a) After a regression. for all observations.57) Plot a function graphically.) ereturn list Display all results saved from the most recent model you estimated.Kenneth L. I6. Influence Statistics Influence statistics give you a sense of how much your estimates are sensitive to particular observations in the data. Nonetheless. the adjusted R-squared. A command like this may be useful when you want to examine how a polynomial in one regressor (which here must be called x) affects the dependent variable in a regression. use this command: predict newvarname. for any function (of a single variable x) that you specify. See the next example. and this would alter the standard interpretation of the adjusted R2 statistic. but the good thing is that you can use them in formulae. Items that are matrices are not displayed. 1-May-11 there’s no need just to display these numbers. including the adjusted R2 and other items. because robust standard errors are used when the variance (conditional on your right-hand-side variables) is thought to differ between observations. After running a regression. range(0 12. you can see them with the command “matrix list r(matrixname)”. I7. I5. compute the estimated value of y for a 25-year-old female. (Stata does not report the adjusted R2 when you do regression with robust standard errors. To do so for one variable. Then you might use “summarize newvarname. This may be particularly important if there might be errors in the data. Simons.

You can also carry out the test by doing the auxiliary regression described in the textbook. estat szroeter. assumes iid errors. I9. can be carried out after running a regression. I8. also includes tests for higher-order moments of residuals (skewness and kurtosis). by using the command: estat hettest. that there are many other heteroskedasticity tests that may be more appropriate. See also the ivhettest command described in section T1 of this document. After running a regression. estat imtest Heteroskedasticity test – Cameron and Trivedi (1990). rhs mtest(bonf) Heteroskedasticity test – Szroeter (1978) rank test for null hypothesis that variance of error term is unrelated to each variable. it helps to plot the residuals versus the fitted values and versus the predictors. This makes available the Pagan-Hall test which has advantages over the results from “estat imtest”. it can be important to get the functional form right (e. The Breusch-Pagan Lagrange multiplier test. indeed. Sometimes you don’t want to be perfect.Breusch-Pagan Lagrange mulitplier.. and the commands hettest and szroeter carry out different tests for heteroskedasticity. fstat Heteroskedasticity test – Wooldridge’s (2006) F-test. as shown in section I1 above.g. then you might be alarmed that one or more observations may completely change your results. white Heteroskedasticity tests including White test. Functional Form Test It is sometimes important to ensure that you have the right functional form for variables in your regression equation. Heteroskedasticity Tests Students in ECON-6570 Advanced Econometrics learn about heteroskedasticity tests.” both available in Stata). e. this is a better way to understand how the test works. If these are large (say close to 1 or more). or “quantile regression. if you want to control fully for the effects of an independent variable.” which is not related to robust standard errors. For further information see the Stata manuals. by adding polynomials and interactions to the model). Stata’s imtest command also carries out other tests. Stata’s “dfbeta” command lets you do so in one step. One such formal test is the Ramsey RESET test: estat ovtest Ramsey’s (1969) regression equation specification error test. you can carry out White’s test for heteroskedasticity using the command: estat imtest. normal Heteroskedasticity test . But sometimes. estat hettest. If you want to compute influence statistics for many or all regressors..g. which assumes normally distributed errors. 16 . 1-May-11 (relative to the standard error of the estimate). Note. you just want to summarize roughly how some independent variables affect the dependent variable. however. To check whether the functional form is reasonable and consider alternative forms.Kenneth L. iid Heteroskedasticity test – Koenker’s (1981)’s score test. so you had better make sure those results are valid or else use a more robust estimation technique (such as “robust regression. assumes iid errors. Another approach is to formally test the null hypothesis that the patterns in the residuals cannot be explained by powers of the fitted values. Other tests that do not require normally distributed errors include: estat hettest. Simons.

Variance Inflation Factors Students in ECON-6570 Advanced Econometrics may use variance inflation factors (VIFs). Stata has built-in commands for making tables. I11. Stata will copy information with tabs in the right places. or delta-y/delta-xk for discrete variables xk.. that you install. 1-May-11 I10. but you should read the Stata manual entry [R] margins if you plan to use the margins command much. it must have the same columns everywhere. these are reported for the average individual in the sample. lags(#) Ljung-Box portmanteau (Q) test for white noise. For the BoxPierce Q in Hayashi’s 2.Kenneth L. and you should try them to see how they work. Copying and Pasting from Stata to a Word Processor or Spreadsheet Program To put results into Excel or Word. Then choose Copy Table from the Edit menu. “estat durbinalt”). you can compute marginal effects using the “margins” command (available beginning in Stata 11). most of the work of creating the table is trivial. or part of it. the Durbin-Watson d-statistic is available using Stata’s “estat dwatson” command. Serial Correlation Tests Students in ECON-6570 Advanced Econometrics learn about tests for serial correlation. and use previously stored results to display a table. i.10. However. Tables of Regression Results This section will make your work much easier! You can store results of regressions. compute d(y)/d(age) on average among individuals in the sample. For example. To compute the VIFs. p = 3. In practice it will be much easier to use add-on commands. without errors from typing wrong numbers.20. and you must not 17 . 45) points out. Marginal effects are d(y)/d(xk) for continuous variables xk. Here is a simple example. margins age After a regression where the x-variables involve age. use: estat vif After a regression. you must first “tsset” your data as described in section P of this document (see also section U). Use factor variables when writing the list of variables in the model. Simons. as Hayashi (p. say. Select the table you want to copy. lags(1 2 3) Heteroskedasticity tests including White test. For a Breusch-Godfrey test where. I12. Other tests for serial correlation are available. To carry out these tests in Stata. Marginal Effects After using “regress” or almost any other estimation command. the part of the table you select must be in a consistent format. By copying and pasting. which show the multiple by which the estimated variance of each coefficient estimate is larger because of non-orthogonality with other variables in the model. This makes it much easier to create tables of regression results in Word. so that Stata knows the way in which each variable contributes to the model – see section H1 above. you would need to compute them using matrices. do your regression and then use Stata’s “estat bgodfrey” command: estat bgodfrey. an assumption which is typically violated if there is serial correlation. the following method is fiddly but sometimes helps. but do not select anything additional. the Durbin-Watson statistic assumes there is no endogeneity even under the alternative hypothesis. discussed in section J2. to paste easily into a spreadsheet or word processing program. J. as described in section J1. For this to work. The Ljung-Box test is available in Stata by using the command: wntestq varname. In particular.10. J0. so you really should use the Breusch-Godfrey test instead (or use Durbin’s alternative test.4 or the modified Box-Pierce Q in Hayashi’s 2. display variance inflation factors.e.

The coefficients and standard errors in this case are displayed using the “%7. especially if some numbers span multiple columns. and will help avoid mistakes. (The latter is the estimated standard deviation of the error term.2f) se(%7. (Stata is figuring out where the tabs go based on the white space between columns. You can improve on the table in various ways. but formats numbers to be closer to the appropriate format for papers or publications. with 2 digits after the decimal point. star stats(N r2 r2_a rmse) Also adds information on number of observations used.) estimates table model1 model2 model3.edu/help/Word07/tbtxttotable. Stata has many options for how to specify 18 . from the Insert tab. In section J2.uwec.. robust estimates store model1 regress y x1 x2 x3 x4 x5 x6 x7.Kenneth L.4g” tells Stata to use a general format where it tries to choose the best way to display a number. you will see how to save tables as files that you can open in Word.. with at most 4 characters after the decimal point. star Adds asterisks for significance levels. and then use previously stored results to display a table: regress y x1. Unfortunately “estimates table” does not allow the star and se options to be combined.. Or if in Stata you used Copy instead of Copy Table. and root mean squared error. and choose Fixed Width data and indicate where the columns break – but this “fixed width” approach is dangerous because you can easily mistakes. robust estimates store model3 estimates table model1 model2 model3 The last line above creates a table of the coefficient estimates from three regressions. In either case. In Word 2007.. Excel.) After pasting such tab-delimited text into Word. J1. These files are often easier to use than copying and pasting. R2. and the statistics below the table are displayed using the “%7. Here are some suggestions: estimates table model1 model2 model3. However. trying to fit everything within at most 7 characters. however (see section J2 for an alternative that lets you combine the two). the commands shown here also work. robust estimates store model2 regress y x1 x2 x3 x4 x6 x8 x9. use Word’s “Convert Text to Table…” command to turn it into a table. you can Convert Text to Table. 1-May-11 select any extra blank lines. estimates table model1 model2 model3. R 2 . The “%7. estimates table model1 model2 model3. in the Tables group. Simons.2f” tells Stata to use a fixed width of (at least) 7 characters to display the number. choose Delimited data with Tab characters as delimiters. click Table and select Convert Text to Table.4g” format. you can then adjust the font.2f” format.2f) stfmt(%7. Here is an example of how to store results of regressions. etc. b(%7.4g) stats(N r2 r2_a rmse) Similar to the above examples. borderlines. appropriately. Tables of Regression Results Using Stata’s Built-In Commands Please use the more powerful commands in section J2 below. The “%7. and are a quick way to get the idea. se Includes standard errors. (see: http://www. and other programs.htm ).

Storing Results and Making Tables Once this is done. or functions). under Stata’s File menu you can choose “File Name..” to look up the relevant folder name.rpi. etc. including in do-files. I have put the add-on commands in the course disk space in a folder named “stata extensions”.win. Tables of Regression Results Using Add-On Commands In practice you will find it much easier to go a step further.CIO labs. replace Installs the estout suite of commands. (Or if you can’t find the folder name. Stata converts two backslashes in a row into just one – for Stata \$ means $. Type the command listed below in Stata. eststo: reg y x1 x2. for items you can include in the stats(…) option. In RPI’s Dot. vce(robust) Regress y on x1 and x2 (with robust standard errors) and store the results. Installing or Accessing the Add-On Commands On your own computer. adopath + folderToLookIn Here.win. What is an add-on command? Stata allows people to write commands (called “ado files”) which can easily be distributed to other users.edu/classes/ECON-6570/stata extensions" (Note the use of forward slashes above instead of the Windows standard of backslashes for file paths. and \\ means \. “est2”. If you ever need to find available add-on commands.edu/classes/ECON-4570/stata extensions" adopath + "//hass11. the second for ECON-6570): adopath + "//hass11. or a backquote is not the start of a local macro but is just a backquote. J2. not just regress. store additional results not saved by Stata’s built-in commands. You only need to run this command once after you start or restart Stata. J2a. The estimates commands have lots more options. You can store estimates after any statistical command. copy it to your computer and use the folder of the copy. You merely need to tell Stata where to look (you could copy the relevant files anywhere. and just tell Stata where). Estimation results will be stored with names like “est1”. matrices. in order to provide a way to tell Stata that a dollar sign is not the start of a global macro but is just a dollar sign. you will probably need to use four backslashes instead of two at the front of the file path. (A local macro is Stata’s name for a local variable in a program or do-file. It might be something like “H:stata extensions\". use Stata’s help menu and Search choosing to search resources on the internet. If in doubt. use a different method (because in the installation folder for add-on files. get help on “estimates table” or “estimates” for information. A free set of third-party add-on commands gives much needed flexibility and convenience when storing results and creating tables. type “ereturn list” after running a statistical command – you can use any of the scalar results (but not macros. Why? In certain settings.rpi. the add-on commands used here can be permanently installed as follows: ssc install estout. Simons.. 19 .) In your case one of the following two commands is likely to work (the first for ECON-4570. and a global macro is Stata’s name for a global variable in a program or do-file. \` means `.Kenneth L.)) J2b. – the name will be printed out after each command. If you use backslashes. you can store results more simply. 1-May-11 number formats. Also. you don’t have file write permission). and create tables that report information not allowed using Stata’s built-in commands. for more information get help on the Stata command “format”. replace folderToLookIn with the name of the folder. and also try using Stata’s “ssc” command.

type the names of the stored estimates that you want in the table.01 *** 0.. To change directory. e.10 * 0. esttab.001) r2(3) ar2(3) scalars(F) nogaps Save a near-publication-quality table. rtf b(a3) se(a3) star(+ 0. Here is how to save that table in a file that you can open in Word. esttab est1 est2 using mytable. afterwhich you can use letters. se ar2”.g. se ar2 scalars(F) Like the previous table.001) r2(3) ar2(3) scalars(F) nogaps Make a near-publication-quality table. choose Command. esttab.10 * 0. and add the “rtf” option after the comma. but this controls the display format for numbers. se Displays a table with standard errors instead of t-statistics.g.05 ** 0. 1-May-11 eststo modelname: reg y x1 x2. or use Stata’s “cd” command.. This aids copying of tables to paste into. esttab.0g” or “%8. 20 . vce(robust) Same as above. vce(robust) Similar to above. Simons.05 ** 0. star(+ 0. but you choose the name to use when storing results. and set up the borders appropriately. but also display the F-statistic of each model (versus the null hypothesis that all coefficients except the constant term are zero). You will still need to make the variable names more meaningful.rtf”) that can be opened by Word. Put “using filename” just before the comma in the above command. “%9. J2c.05 ** 0. etc. under the File menu. eststo: quietly reg y x1 x2 x3. e. J2d. esttab. digits 0 through 9.10 * 0.01 *** 0.Kenneth L. choose “Change Working Directory…”. The modelname could be for example myreg1 (begin your names with a letter. with t-statistics (not standard errors). The “(2)” gives 2 decimal places for the adjusted R-squared values. The “(a3)” ensures at least 3 significant digits for each estimated regression coefficient and for each standard error. but “quietly” tells Stata not to display any output. You can also specify standard Stata number formats in the parentheses. Word. b(a3) se(a3) star(+ 0. so the file will save in the right folder. Make sure you change directory first. esttab est1 est2. change the column headings. and get help on “format”). esttab. nogaps Gets rid of blank spaces between rows. Understanding the Table Command’s Options The esttab commands for near-publication-quality had a lot in them. or underscores _ up to 32 total characters). Near-Publication-Quality Tables Here is how to make a near-publication-quality table. b(a3) se(a3) ar2(2) Like “esttab. so it may help to look at simpler versions of the command to understand how it works: esttab Displays a table with all stored estimation results. esttab.2f” could go in the parentheses (use Stata’s Help menu.001) Set the p-values at which different asterisks are used. putting it in a rich text file (“mytable. se ar2 Display a table with standard errors and adjusted R-squared values.01 *** 0. In place of the “est1 est2” below. Numbers of observations used in estimation are at the bottom of each column. instead of just using “est1”.

Here it is stored as a scalar named xdiff. with columns for the stored estimates named “est1” and “est2”. which you can open later in Word. Also.x2 Get estimated difference between the coefficients of x1 and x2.Kenneth L. Although they are not used here. J2h. vce(robust) Regress. you can use all the options discussed above (like in the near-publication-quality example that saved a rich text file for Word): esttab est1 est2 using results. The “plain” option lets you use the numbers in calculations. do the following: 21 . wide tables may best fit on landscape pages: create a Section Break beginning on a new page. The solution is to drag the Results window to the right to allow longer lines. tab Save the table. Saving Tables as Files It can be helpful to save tables in files. estadd scalar xdiff = r(estimate) Store the estimated difference along with the regression result. To remove previously stored results. Here it is stored as a scalar named xdiffSE. You can display the added information at the bottom of tables of results by using the scalars() option: eststo: reg y x1 x2.txt”. you might want to do an F-test on a group of variables. rtf Saves a rich-text format file. named “results. Wide Tables If you try to display estimates from many models at once. numbers will appear in Excel as text.csv”. esttab. Storing Additional Results After estimating a statistical model. Here is an example of how to compute a linear combination and add information from it to the stored results. and other programs. with the table. J2f. Excel. csv plain Saves a file good for use in Excel. or analyze a linear combination of coefficient estimates. csv Save a comma-separated values text file. into a tab-delimited text file named “results. estadd scalar xdiffSE = r(se) Store the standard error for the estimated difference too. However. This is good for opening in Excel.txt. In Microsoft Word. J2g. esttab est1 est2 using results. then format the new section of the document to turn the page sideways in landscape mode. lincom x1 . scalars(xdiff xdiffSE) Include xdiff and xdiffSE in a table of regression results. they may not all fit on the screen. good for opening in Word. you can add additional results to the stored information. you must also use the “set linesize #” command as in the example below to actually use longer lines: set linesize 140 Tell Stata to allow 140 characters in each line of Results window output. esttab est1 est2 using results. You can create a new section break beginning on a new page to go back to vertical layout on later pages. Clearing Stored Results Results stored using eststo stay around until you quit Stata. and to auto-format tables – though you will need to edit the automatic formatting appropriately. esttab est1 est2 using results. If you are using Stata 10 or ealier. Another way to fit more in the Results window is to reduce the font size: right-click or control-click in the Results window and change your preference for the font size. Then you can make very wide tables with lots of columns. Microsoft Word has commands to auto-fit tables to their contents or to the “window” of available space. 1-May-11 J2e. Simons. For example.

For comparison purposes.bc. Then typing “list if rating==3. They occur if you enter missing values to begin with. instead of about 7 digits for regular float numbers. which is immediately put into double-precision for the calculation and hence is accurate to 16 digits. If you compare a floating-point number. gen type varname = … Generate a variable of the specified data-type. gen double bankHoldings = 1234567. On the website. look under Examples at the left. Computers can store numbers in more or less compact form.”. Stata stores the number as 3. accurate to about 7 digits. The same caution applies when generating variables. K. accurate to 16 digits. anytime you use an if-statement. etc. including data types. a string data type.3. is available. For example. don’t expect them to be equal. to avoid confusion (or to free some RAM memory). “str”. Instead use something like this: “replace z = 0 if y>3 & y<. using the specified formula. Instead you could do this: list if rating == float(3. equal to 3. If you need compact storage of integers. and compares it to the number 3. Hence the first observation will not be listed. and when you’re not used to this you can get some weird results. Missing values in Stata are written as a period.3 accurate to about 7 digits. using the “byte” number format accurately records the number in a small amount of memory. Also. which in the first observation is 3. or if they arise in a calculation that has for example 0/0 or a missing number plus another number. you can use “double” precision variables instead of the default “float” variables (which are single-precision floatingpoint numbers). Why? Stata looks up the value of rating. Examples follow.3 ≠ 3.3 in the first observation. and hence is different from the rating. “int”. use this website: http://fmwww. Simons. to a double-precision number.edu/repec/bocode/e/estout/ . Data Types. To see a list of the results from the most recent command that returned results. Results Returned after Commands Commands often return results that can be used by programs you might write. the same as the rating variable.3 accurate to about 7 digits. When 3.Kenneth L. type: 22 . with more or fewer digits.89 Double-precision numbers have 16 digits of accuracy. missing values are treated like infinity.3. to save memory (or to store precise values of big integers). More Options and Related Commands For more examples of how to use this suite of commands. compress varlist Changes data to most compact form possible without losing information. gen str name = firstname + " " + lastname Generates a variable involving strings. L. Suppose you generate a float-type variable named rating.3) The float 3. Stata provides other data types. J2i. called “byte”. gen byte young = age<16 Here since the result is a 0 or 1. use Stata’s on-line help after installing the commands. even though variables are ordinarily “float” (single-precision) to save space. The actual calculations Stata carries out are in double-precision.3” will fail to list the first observation. If you need extra precision. describe varlist Lists technical information about variables. and Missing Values This section is somewhat technical and may be skipped on a first reading. and “long”. or better yet. The following commands help deal with data types. “replace z = 0 if y>3” causes z to be replaced with 0 not only if y has a known value greater than 3 but also if the value of y is missing. 1-May-11 eststo clear Clear out all previously stored results.3 converts to a number accurate to only about 7 digits.

Simons. print. plus an example of how to write a program. use "L:\myfolder\myfile. instead of all of the text. preview in viewer. Since you will want to see what is happening. Using the do-file editor. open do-file. i. quietly set obs 30 Use 30 observations. summarize r Compute mean. for a thesis. 23 . * Since the data are used in several weeks of the course. or for other reasons). the do-file saves work for later use! clear // This gets rid of any pre-existing data! set memory 100m // Allocate 100 mb for data. 1-May-11 return list ereturn list Shows returned results from a general command. Here is a program to create some random data and compute the mean. you should use the “do” icon not the “run” icon. redo. and lets you make corrections easily. save. robust predict incomeHat scatter incomeHat income age */ * Now do my polynomial age analyses: gen age2 = age^2 gen age3 = age^3 regress income age age2 age3 bachelor. spaces and tabs. though. There are three ways to include comments: (1) put an asterisk at the beginning of a line (it is okay to have white space. the whole line will still be done. then only the lines of text you selected will be done. you can save previously used lists of commands and reopen them whenever needed. and don’t say so. gen r = uniform() Generate random numbers. The “do” icon (the last icon) is the one you will usually use. before the asterisk) to make the line a comment. like summarize. The “preview in viewer” icon you won’t need (it’s useful when writing documents such as help files for Stata’s viewer). (If you select part of a line. capture program drop randomMean Drops the program if it exists already.e.dta" * I commented out the following three lines since I'm not using them now: /* regress income age. program define randomMean. keeping your work in do-files both provides a record of what you did. However. (2) put a double slash “//” anywhere in a line to make the rest of the line a comment. your do-file might look like this: * My analysis of employee earnings data. run.Kenneth L. rclass Begins the program. find in this do-file. even if it spans multiple lines. so you remember what your do-files were for. which is the sensible way to keep track of your commands. but below are two notes on using and writing do-files. If you are analyzing data (for class work. they are: new do-file. are really important. Shows returned results from an estimation command. Click on it to “do” all of the commands in the do-file editor: the commands will be sent to Stata in the order listed. like regress. You will want to include comments in the do-file editor. if you have selected some text in the dofile editor. which is “rclass”. except that no output is printed in Stata’s results window. cut. copy. Do-Files and Programs You should become well used to the do-file editor.. From the left. This document mainly assumes you are used to the do-file editor. undo. paste. and sometimes these are useful for repetitive tasks. drop _all Drops all variables. robust You can write programs in the do-file editor. (3) put a “/*” at the beginning of a comment and end it with “*/” to make anything in between a comment. At the top of the do-file editor are icons for various purposes. M. and do.) The “run” icon has the same effect. For example. The “run” and “do” icons.

Doing Things Once for Each Group Stata’s “by” command lets you do something once for each of a number of groups. and “b2”). when there are a lot of groups. Sometimes.000 experiments) result computed here is very close to the true population mean. Data must be sorted first by the groups. summarize avg kdensity avg . and it is best to use as many trials as possible – to get exactly the right answer we would need to do an infinite number of such experiments.Kenneth L. Try similar simulations to check results of OLS regressions. the means you compute should have a probability distribution that is getting close to normally distributed. summarize them. you can use the program in Stata. and within that by state. when the x-variables are independent and have large variance. normally distributed. of say 30 independent draws of a random variable. end Note above that “rclass” means the program can return a result. and when the random error terms are closer to normally distributed. etc. Of course. (By the way. Then you can check the mean and distribution of the randomly generated sample averages. although then the program will not display any output. By plotting the results from the 100. Often the only way to know is to simulate what happens when we get some random data and apply our statistical methods. sort year state Sort the data by year. and alter the “simulate” command above to use the regression coefficient estimates instead of the mean (you might say “b0=r(b0) b1=r(b1) b2=r(b2)” in place of “avg=r(average)”.) N. The “quietly” command has Stata take action without showing the output: 24 . has been proven to give an unbiased estimate of the variable’s true population mean. You will need to change the program in section M. as it will drop all of your data! It will then generate 30 uniformly-distributed random numbers. by year: regress income age. (Our OLS estimators will do better with larger sample sizes. vce(robust) Regress separately for each year of data. to see whether they seem to be nearly unbiased and nearly normally distributed. And the central limit theorem tells you that as a sample size gets larger. named avg. Monte-Carlo Simulations It would be nice to know how well our statistical methods work in practice. we would get slightly different results if we did another set of 100. and return the average. Since the sample mean. Be careful.000 times and record the result from each time. you had better find that the average (across all 100. if your program returns results named “b0”. After doing this code in the do-file.000 random trials. in this case reaching the not-so-enormous size of 30 observations. O. “b1”.000 observations. you don’t want Stata to display the output. vce(robust) Regress separately for each state and year combination. with 100. normal “Unbiased” means right on average. by year state: regress income age.000 experiments.) Here is a Stata command to call the above (at the end of section N) program 100. Simons. you can make the program work faster by using the “meanonly” option after the summarize command above. simulate "randomMean" avg=r(average). you can see how close to normally-distributed the sample mean is. For example: sort year Sort the data by year. We do this many times and see how close our estimator is to being unbiased. reps(100000) The result will be a dataset containing one variable. 1-May-11 return scalar average = r(mean) Return it in r(average).

25 . and your data are in order and do not have gaps. Generating Variables for Time-Series and Panel Data With panel and time series data. and increasing by 1 day in each observation.. 2006 – if they are every other year 1970.g. That way you know what you’ll get when you refer to the first observation of the year. Listing more variables in parentheses after the year requires that within each year. P1. or day variable as follows: generate year = 1900 + _n . beginning with 1970 quarter 1 in the first observation.1 Create a new variable that specifies the time. The result is an integer number increasing by 1 for each quarter (1960 quarter 2 is specified as 1. 1960 quarter 3 is specified as 2. qbys year (dayofyear): generate xInFirstObservationOfYear = x[1] “qbys” is shorthand for “quietly bysort”. qby year (dayofyear): generate xInFirstObservationOfYear = x[1] “qby” is shorthand for “quietly by”. 02 jan1960 is specified as 2. Be sure your data are sorted in the right order first.). quietly by year (dayofyear): generate xInFirstObservationOfYear = x[1] In the above command. you might create a year. years might be 1970.g. a problem is that you might accidentally have the data sorted the wrong way within each year. means or standard deviations. Creating Time Variables that Start from a First Time and Increase by 1 at Each Observation If you have not yet created a time variable. Be sure your data are sorted in the right order first. Here are some commands to help you. format day %td Tell Stata to display values of day as dates. P. quietly bysort year (dayofyear): generate xInFirstObservationOfYear = x[1] This is the same as above. and (b) generate values separately for each individual in the sample.1 Create a new variable that specifies the time. This doesn’t do the sorting for you. 1972. generate day = d(01jan1960) + _n . format quarter %tq Tell Stata to display values of quarter as quarters. e. See also section P5 for more ways to generate results.). 1971. 1974. Simons. beginning with 1 Jan. 1-May-11 quietly by year: generate xInFirstObservationOfYear = x[1] The “x[1]” means look at the first observation of x within each particular by-group. the data must be sorted correctly by the other variables. beginning with 1900 in the first observation and increasing by 1 thereafter. The result is an integer number increasing by 1 for each day (01jan1960 is specified as 0. generate quarter = q(1970q1) + _n . Be sure your data are sorted in the right order first. and should not always have gaps between numbers (e. and increasing by 1 quarter in each observation. you may need to (a) generate values with reference to past or future times.1 Create a new variable that specifies the year.Kenneth L. quarter. but it ensures the sort order is correct. Your time variable should be an integer. … then you should create a new variable like time = (year-1970)/2. etc.). Stata has lots of options and commands to help with setting up quarterly data etc. etc. but the “bysort” command sorts as requested before doing the command for each by-group. separately for each by-group. 1960 in the first observation. ….

var.income 26 . etc. Dates like “20050421” are not allowed.var. Inside the parentheses. tsset idvar timevar Tell Stata you have panel data. "qy"). gen income2YearsAgo = L2. sort timevar Sort time-series data.L. These date functions require a way to separate the parts. Lags. month.var. Like the daily(…) function used above. it is easy to refer to past and future data.var. Here are some examples: gen t = daily(dstr. 1. "mdy") Generate a variable t. "my"). etc. (the Ls stand for “lag”). and year in the variable. which returns a substring – the part of a string beginning at the first number’s character for a length given by the second number. sort idvar timevar Sort panel data. P2. "ym") or monthly(strvar. Note the "mdy". starting from a variable “dstr” that contains dates like “Dec-1-2003”. respectively. month. dash. 1-May-11 Like the d(…) and q(…) functions used above. D. 7. 4) +"-" + substr(d1. If d1 is a string variable with such dates. m(…) for month. 2003. are F. The value of var one unit of time ago is L. The similar functions monthly(strvar. “12/1/2003”.Kenneth L. Future values. “12-1-2003”. or half-year (get help on “tfcn” for more information). P3. you would use "ymd". and Differences After using the tsset command (see above). with the idvar being a unique ID for each individual in the sample. format t %td This tells Stata the variable is a date number that specifies a day. F2. h(…) for half-year. although you are unlikely to need them. with the format command. or y(…) for year. allow monthly or quarterly date formats. Telling Stata You Have Time Series or Panel Data You must declare your data as time series or panel data in order to use time-related commands: tsset timevar Tell Stata you have time series data. or in order by individual and within that by time for panel data. quarter. The second number specifies the day. and timevar being the measure of time. the value two units of time ago is L2. week. day. you can probably use Stata’s very flexible date conversion functions. Below are some examples using them. gen changeInX = x . Simons. you could create dates with separators in a new variable d2 suitable for daily(…). like this: gen str10 d2 = substr(d1. with the time listed in variable timevar. “January 1. gen changeInX = D. 2) +"-" + substr(d1. etc. day. Forward Leads. If the order were year. and you want to convert it to a numeric date. 2) This uses the substr(…) function. You will also want to format the new variable appropriately. colon. “jan1-2003”. or word) followed by a second number.var.x The same changeInX can be created via Stata’s difference operator. and quarterly(strvar. you type a year followed (except for y(…)) by a separator (a comma. which tells Stata the ordering of the month. Data must be sorted first. P4. you may also use w(…) for week.x The variable changeInX created here equals x minus its value one year ago. Creating Time Variables Using a String Date If you have a string variable that describes the date for each observation. "yq") or quarterly(strvar. in order by time for time-series data. Use %tm or %tq. 5.

qbys state year: egen nPeople = count(personID) Number of nonmissing values of personID. Simons. Year. sums. in each state and year. qbys state year: egen meanIncome = sum(children) Total number of children of people in the sample. and for each time in the variable time.entity i. and year. and the dummies will be made automatically during the regression (see section H1 earlier in this document). Panel Data Statistical Methods Q1.unemployment L2. or group: qbys state year: egen meanIncome = mean(income) Mean of income. Here is an example to emulate: forvalues t = 1900/2010 { generate year`t' = year==`t' } This is a loop like in programming. vce(robust) Regress the dependent variable y on the independent variables x1 and x2 and on dummy variables for sex. qbys state year: egen meanIncome = sd(income) Standard deviation. age.gdp L.time. qbys year: egen medianIncomeByYear = mean(income) Median of income. robust P5. just put “i. and much more for each individual. counts. you can instead create dummy variables in the ordinary way and then list them as variables for your regression.Kenneth L. starting with a variable that has a unique number for each individual. medians. Fixed Effects – Using Dummy Variables You can create dummy variables and include them as regressors. separately in each state and year. vce(robust) Regress the dependent variable y on the independent variables x1 and x2 and on dummy that distinguish each separate person. Stata plugs in the value of t before running the line. where t goes from 1900 to 2010. By the way. year.unemployment. Generating Means and Other Statistics by Individual. There is an easy way to do this. For example regress y x1 x2 i. Wherever the `t' appears. Q.year. 1-May-11 You can use these L. separately in each state and year. t is a “local variable”. standard deviations.age i. There must be unique codes for each entity in the variable entity. and F.gdp L2.city i.” in front of that variable’s name. For many more uses of Stata’s egen command. This method can likewise be used to generate sets of dummy variables for any variable with identifier codes. vce(robust) Regress the dependent variable yvar on the independent variables listed in xvars and on dummy variables for the entity and for the time. Each time. notations in the list of variables for regression too: regress gdp L.sex i. then: regress yvar xvars i. called in Stata a “local macro” to avoid 27 . In your list of variables. get help on “egen”. or Group The egen (extensions to generate) command can generate means.personid. you should add (n-1) dummy variables. the line between the curly brackets gets run. If you need to make dummy variables for a lot of different values. in each state and year. With n individuals. as indicated by the person-identifier codes in the variable “personid”. To create fixed effects and time effects. a little text in the do-file editor will do the job quickly. city. For example: regress y x1 x2 i. in each year. (In programming lingo.

Typically the clustervar is the same as the panelvar used when tsset-ing your data (see section P3). to account for serial correlation in error terms. and a population-averaged (“pa”) model is also available. Q3. xtreg yvar xvarlist. The “fe” requests fixed effects estimates. but again you could (and likely should) request cluster-robust standard errors instead. Q2. Then: xtreg yvar xvarlist. estimates store random Store estimates after running fixed effects model. but the following will do for student coursework in ECON-4570 Econometrics. You will need to have declared your panel data first. absorb(byvar) vce(robust) Regress the dependent variable yvar on the independent variables xvarlist and on the dummy variables needed to distinguish each separate by-group indicated by the byvar variable absorb() option. estimates store fixed Store estimates after running fixed effects model. hausman fixed random Hausman test for whether random effects model is appropriate instead of fixed effects model. xtreg yvar xvarlist. for example fixed and random effects versions of the logit model. as in section P3. xtreg yvar xvarlist. fe Fixed effects regression. Here the “robust” option for variance-covariance estimation requests (Eicker-Huber-White) robust standard errors. Christopher Baum’s book An Introduction to Modern Econometrics Using Stata shows some of these commands. fe vce(cluster clustervar) Fixed effects regression again. For example the byvar might be the state. person or year but not both – if you want fixed effects and time effects. Stata has many other estimation commands for panel data. 28 . but now with clusterrobust standard errors clustered by the specified variable. 1-May-11 confusion with data variables. More extensive commands are mentioned below. A between-effects model (“be”) is also available to estimate differences between the averagesover-time for each individual. areg yvar xvarlist. including dynamic panel data models such as Arellano-Bond estimation. The “re” requests random effects estimates.g. Simons. in order to allow for arbitrary serial correlation of the error terms within each observation. This uses conventional (non-robust) standard errors. Stata’s areg command only lest you de-mean with respect to one identifier.) To have values of t plugged in. Coefficient estimates will not be reported for these fixed effect dummy variables. the t needs to be encased between a left quote ` and a right quote '. to include fixed effects for states. Fixed Effects – De-Meaning Stata’s “areg” command provides a simple way to include fixed effects in OLS regressions. See also the “newey” command in section U6. you need to enter one of them using dummy variables.. but now using the maximumlikelihood random-effects model. If the test is rejected. mle vce(robust) Random effects again. Other Panel Data Estimators Students in ECON-6570 Advanced Econometrics will need to use other panel data estimators. re vce(robust) Random effects regression. this suggests that the coefficient estimates are inconsistent when fixed effects are not used. e.Kenneth L. There are also panel equivalents of many other models.

For example. First. separately for each observation. in this case when the variable pi_rat equals 0. which talks briefly about graphing. vce(robust) Estimate a probit model. you might want to compute the probability that Y equals 1 for a hypothetical individual. Probit and Logit Models probit yvar xvarlist. pr Compute the predicted probability that the dependent variable is 1. the probability that Y equals 1 gets larger by (some amount).3+_b[black]*0 Calculate xi'β when the x-variables equal 0.” To make statements like this you have to compute the fitted probabilities. overlay The “xtline” command with the “overlay” option puts all companies’ plots in a single graph. How can you do this? One way is to write out the calculation of the probability using the display command. you have to be careful about interpreting the estimated coefficients. logit yvar xvarlist. the by(varlist) option lets you make a separate plot for each individual in the sample. Interpreting Coefficients in Probit and Logit Models When you use probit or logit models. vce(robust) Logit regression.3 and 0 respectively. For example after the following probit and logit commands. You could do this as follows: tsset xtline employment . 29 . it can even be wrong to say that the probability increases or decreases with X according to the sign of X’s coefficient estimate being positive or negative – this kind of statement may be wrong if the variable X has interaction terms in the model. do not just look at a coefficient estimate and say. vce(robust) Probit regression. For probit and logit models. Note the use of _b[varname] to mean the estimated coefficient of the variable varname in the most recent estimation command. Time-Series Plots for Multiple Individuals When making plots in Stata. the display command lets you enter a formula for the whole fitted regression equation (including the cumulative normal or logistic functions) to calculate the fitted probability. for which the values of the regressors are not in the data. Simons. and to compare how those predicted probabilities change when the value of a regressor changes. or any other nonlinear models. Therefore it is important to have ways to compute the predicted probabilities for different possible types of individuals in the sample. by(companyid) connect(l) This would make plots of each company’s employment in each year. 1-May-11 Q4. R. See also section E4. you have to be careful how you interpret the estimated coefficients: R1. for actual specific values of the regressors. Here is an example for the probit model: probit denyMortgage pi_rat black. scalar z = _b[_cons]+_b[pi_rat]*0. However. instead of having a separate plot for each company. arranged in a grid. given that individual’s regressors: predict probOfOutcome.Kenneth L. Second. A first command that helps with this gives you the predicted probabilities for each separate individual in the sample. you could do: sort companyid year scatter employment year. you might prefer to overlay these plots in a single graph. However. with a separate plot for each company. Here let’s look how to carry out correct interpretation for probit and logit models. “When X gets larger by 1.3 and the variable black equals 0.

in which you plug in (a) the value(s) of the variable(s) of interest in alternative cases (such as receiveDrug = 1 versus receiveDrug = 0). but allow the results to be used with post-estimation commands like “test” and “lincom”. This approach is not desirable because individuals in the sample could all be far from average and experience very different effects from what you compute. Stata makes it easy to (1) use the means of other variables. vce(robust) Estimate a logit model. check the variable names to use with commands like “test” and “lincom”. for two different hypothetical cases: if they all had x1=0. there are two common approaches. in this case comparing the increases in probabilities if x1=1 versus if x1=0. Here the null hypothesis is that there is no difference. margins . at(x1=(0 1)) post Same as above.x1] = _b[1. Here is an example for the logit model: logit denyMortgage pi_rat black. and (b) values of all other variables. The difference made is a function of the values of any other regressors. one usually wants to estimate how much difference it makes if an x-variable is higher or lower by some amount.3 and 0 respectively.3 and 0 respectively. for the hypothetical possibility in which they all had x1=1. at(x1=(0 1)) Compute the average probability (approach 2) that y=1 for all individuals in the sample. the idea being that then your computed probabilities pertain to a hypothetical average individual who is. display 1/(1+exp(-scalar(z))) Calculate the fitted logit probability that the y-variable equals 1 when the x-variables equal 0. The first approach is to use the mean values of all other regressors in the sample. margins.Kenneth L. In particular. margins .. margins if . coeflegend After using the “post” option. the increase predicted in probability of patient survival depends on any other regressors like health and age of the patient. you can graph how the increases differ depending on values of other variables.x1] An example hypothesis test for the average (approach 2) increases in probabilities. Therefore you have to compute two probabilities that y=1. For (b). vce(robust) Estimate a probit model. For example. margins . The second and better approach is to use the actual values of all other regressors and compute a separate estimated increase in the probability for each separate individual in the sample. average across only a given type of individual in the sample. and you can report the average increase in probability across all individuals in the sample. Then you can give the ranges of the predicted increases in probability from lowest to highest among all individuals in the sample..._at#1. or you could use a logit instead._at#1. test _b[2. 1-May-11 display normprob(scalar(z)) Calculate the fitted probit probability that the y-variable equals 1 when the x-variables equal 0.. at(x1=(0 1)) When you compute the average probabilities (approach 2). if a patient receives an anticancer drug versus does not receive it.. scalar z = _b[_cons]+_b[pi_rat]*0. 30 . or (2) compute the average increase across all individuals in the sample: probit y x1 x2 x3 . as specified by an if-statement such as “if x3==20” or “if female & old”.3+_b[black]*0 Calculate xi'β when the x-variables equal 0. at(x1=1) Compute the average probability (approach 2) that y=1 for all individuals in the sample. Simons. it is implicitly assumed.. and separately if they all had x1=1. typical.3 and 0 respectively.

survival analysis models.female c.” to specify continuous variables. Simons. and use margins after estimation to interpret the estimation results. This is important because otherwise it is all too common that analysts make incorrect interpretations. and “#” and “##” to specify interaction effects. dummies for racefemale interactions. Censored and Truncated Regressions with Normally Distributed Errors If the error terms are normally distributed. margins . at(age=(20 30 40 50 60 70) Compute the average probability (approach 2) that y=1 for all individuals in the sample. truncated regression models. ordered response models (such as ordered probit and ordered logit). 60. S. margins .race#i. then the censored regression model (Tobit model) and truncated regression model can be estimated as follows. and 70. race Compute the average probability (approach 2) that y=1 for all individuals in the sample. margins . 30. Listed below are commands for a few of the most commonly used models. margins . multinomial response models (such as mulinomial probit and multinomial logit). With these models. If you have interaction effects in your model. 50. You can instead. See section H1 of this document to see how to use notations like “i. tobit yvar xvarlist. count data models (such as Poisson and negative binomial).” to create dummy variables. you can easily find commands for models such as: Tobit and other censored regression models. 40. you will need to specify your regressors using a special notation so that Stata knows how to compute marginal effects.Kenneth L. female Do the same for the hypothetical possibility that each person were of the same sex. margins . age squared. age.age. Other Models for Limited Dependent Variables In Stata’s help. vce(robust) ll(#) Estimate a censored regression (Tobit) model in which there is a lower limit to the values of the variables and it is specified by #. race#female Do the same for the hypothetical possibility that each person were of the same race and the same sex. S1.female i. and female times age. 31 . 1-May-11 margins . If the censoring limits are different for different observations then use the “cnreg” command instead. familiarize yourself with Stata’s margins command. For example: probit y i.female#c. that is. use the mean values of the other regressors instead of the actual values. vce(robust) Estimate a probit model with dummies for race and female.age i. for the hypothetical possibility in which each person were of the same race – doing so for every race that occurs in the data. Then you can check the marginal effects of variables that are interacted or are involved in polynomials. for the hypothetical possibility in which each person were of the same age – doing so for each age 20. specify an upper limit using ul(#). at(x1=(0 1)) atmeans Compute probabilities using approach 1 instead of approach 2. and many other statistical models.race i. or in addition. race female Do both of the above.age cage#c. or more generally if you also have data that are known only to fall in certain ranges then use the “intreg” command instead. “c.

You can instead. see the Stata documentation and on-line help for lots more count data models and options to commands. streg xvarlist. 1-May-11 truncreg yvar xvarlist. Hazard Models. with each individual having one observation.) As always. A hazard curve can be fitted by specifying “hazard” instead of “survival”. Another option is by(groupvar). The optional use of “yscale(log)” causes the vertical axis to be logarithmic. estimate an exponential hazard model in which the hazard (Poisson arrival rate 32 . in which cases a line of constant (negative) slope on the graph corresponds to a hazard rate that remains constant over time. failure(dummyEqualToOneIfFailedElseZero) Tell Stata that you have survival data. in which case separate survival curves are drawn for the different groups each of which has a different value of groupvar. you must first tell Stata about your data. Simons. or in addition. vce(robust) Estimate a negative binomial count data model. poisson yvar xvarlist. “rightcensored. sts graph . Survival Models (a.” The variable dummyEqualToOneIfFailedElseZero provides the relevant information on whether each option failed during the study (1) or was right-censored (0). or make plots or tables of survival or of the hazard of failure. you can find many such models in Stata. i. and hence that the survival times are censored from above.Kenneth L. S2. A simple case is: stset survivalTime. specify an upper limit using ul(#). such as zero-truncated count data for which no data are observed when the count is zero or right-censored survival times. so look for a book on the subject if you really need to do this..e. There are a lot of options and variants to this.a. in which during a period of time the Poisson rate of “arrivals” (that each add 1 to the count in the y-variable) is proportional to exp(xi'β) where xi includes the independent variables in xvarlist. S3. vce(robust) Estimate a model in which a count dependent variable yvar results from a Poisson arrival process. There are also common models for truncated or censored data fitting particular distributions. whereas the Poisson model assumes the two are equal. (This allows the variance of y to exceed the mean. The variable survivalTime tells the elapsed time at which each individual either failed or ceased to be studied. Duration Models. It is the norm in survival data that some individuals are still surviving at the end of the study. Be careful that you really do think the error terms are close to normally distributed. and look for a book on the subject if you need to work with count data seriously. Failure Time Models) To fit survival models. distribution(exponential) nohr vce(robust) After using stset. nbreg yvar xvarlist. vce(robust) ll(#) Estimate a truncated regression model in which there is a lower limit to the values of the variables and it is specified by #. survival yscale(log) Plot a graph showing the fraction of individuals surviving as a function of elapsed time. Count Data Models The Poisson and negative binomial models are two of the most common count data models. as the results can be sensitive to the assumed distribution of the errors.k.

gamma. but also report the first-stage regression results. it will include both the Z’s and the W’s as listed in Stock and Watson’s textbook. ivregress 2sls yvar exogXVarlist (endogXVarlist = otherInstruments). For Econometrics students using Stock and Watson’s textbook. ivregress 2sls yvar exogXVarlist (endogXVarlist = otherInstruments). ˆ that contains for each observation its value of yi . and in the econometrics profession generally.e. or one of several other choices. As always. The function of elapsed time is implicitly estimated in a way that best fits the data. and otherInstruments consists of the excluded instruments (i. variables in zi that are also in xi). exogXVarlist consists of the exogenous variables in zi (i. endogXVarlist consists of the endogenous variables in zi (i. when Stata lists the instruments in 2SLS regression output. Instrumental Variables Regression Note for Econometrics students using Stock and Watson’s textbook: the term “instruments” in Stata output. Here is how to estimates two stage least squares (2SLS) regression models. T.Kenneth L. nohr vce(robust) After using stset.e. and a strata(groupvar) option can be used to assume that the function of elapsed time differs between different groups. lognormal. and a strata(groupvar) option can be used to assume that the function of elapsed time differs between different groups. Thus.e. Simons. but use 99% confidence intervals. stcox xvarlist. vce(robust) first level(99) Same. loglogistic.. 33 . predict yhatvar After an ivreg. variables in zi that are not in xi). The variables in endogXVarlist are assumed to be endogenous. create a new variable. vce(robust) Two-stage least squares regression of the dependent variable yvar on the independent variables exogXVarlist and endogXVarlist. endogXVarlist consists of the X’s in the regression equation. variables in xi but not in zi). having the name you enter here. means both excluded instruments and exogenous regressors. 1-May-11 of the first failure) is proportional to exp(xi'β) where xi includes the independent variables in xvarlist. exogXVarlist consists of the W’s in the regression equation. and the other exogenous instruments (not included in the RHS of the regression equation) are the variables listed in otherInstruments. such models can be specified instead by setting the distribution() option to weibull. estimate a Cox hazard model in which the hazard (Poisson arrival rate of the first failure) is proportional to f(elapsed time) × exp(xi'β) where xi includes the independent variables in xvarlist. Other common models make the hazard dependent on the elapsed time. gompertz. vce(robust) first Same. see the Stata documentation and on-line help for lots more about survival analysis. For Advanced Econometrics students using Hayashi’s textbook. The exogenous RHS variables are exogXVarlist. and otherInstruments consists of the Z’s. Read the notes carefully for the first command below: ivregress 2sls yvar exogXVarlist (endogXVarlist = otherInstruments).

The Pagan-Hall statistic reported is most robust to assumptions. via a C-test (Hayashi p. vce(robust) gmm orthog(vars) After this GMM instrumental variables regression. Simons.6 of Baum’s text). see Stata’s “ivprobit” command. ivhettest Carry out a heteroskedasticity test. add the “gmm” option at the end of the above regression commands: ivregress gmm yvar exogXVarlist (endogXVarlist = otherInstruments). Also. see Stata’s “ivtobit” command. 34 . showing first-stage results.7). ˆ that contains for each observation its residual ui . T1. For single-equation GMM instrumental variables regression. GMM Instrumental Variables Regression Students in ECON-6570 Advanced Econometrics learn about GMM instrumental variables regression. add the “liml” option at the end of the above regression commands: ivregress liml yvar exogXVarlist (endogXVarlist = otherInstruments). Panel data estimators such as the Arellano-Bond model are available. For probit models (0-1 dependent variables). nonlinear GMM models in general can be estimated using Stata’s “gmm” command. You can use this for residual plots as in OLS regression. For more options to these commands. see section 8. a J-test of overidentifying restrictions can be carried out as follows (for an example see section 8. vce(robust) first GMM instrumental variables regression. use the ivreg2 command with the list of variables to be tested in the orthog() option. and read the Remarks section there.6). replace” or “adopath + …” as in section J2a of this document): overid Carry out an overidentifying restrictions test after ivregress or ivreg2. use the third-party “ivreg2” command described in section 8. This requires installing the third-party “overid” command (use “ssc install ivreg2. ivreg2 yvar exogXVarlist (endogXVarlist = otherInstruments). Also. Baum’s An Introduction to Modern Econometrics using Stata (use “ssc install ivreg2. replace” or “adopath + …” as in section J2a of this document). replace” or “adopath + …” as in section J2a of this document). 1-May-11 predict rvar. For single-equation LIML instrumental variables regression (Hayashi’s section 8. an orthogonality C-test is carried out only for the variables vars (if vars involves multiple variables then separate their names with spaces). For a heteroskedasticity test after ivregress or ivreg2 (or also after regress).9 of Baum’s text. a J-test is automatically carried out when using ivreg2. residuals After an ivreg. Multi-equation GMM instrumental variables regression is supported in Stata using the “gmm” command – see the manual entry [R] gmm. To test a subset of the overidentifying restrictions. create a new variable. Get help on ivhettest for options if you want to restrict the set of variables used in the auxiliary regression (ψ i in Hayashi’s section 2.Kenneth L. For tobit models (with values above or below a threshold reported as the threshold value). Other Instrumental Variables Models Some other models have been developed that accommodate instrumental variables methods. 220). having the name you enter here. showing first-stage results. for an example of how to carry out multi-equation GMM IV regression.7 of the recommended supplementary text. vce(robust) first LIML instrumental variables regression. After estimating a regression with instrumental variables. T2. use the third-party ivhettest command (use “ssc install ivreg2.

with robust standard errors. Autoregressions (AR) and Autoregressive Distributed Lag (ADL) Models regress y L. vce(robust) Regress y on its 1-period lag.y.x1 L. plus the first 3 lags of x and the first lag of w. in this case from 1962 first quarter through 1999 fourth quarter.1999q4). vce(robust) Regress y on its first 4 lags. correlate x L.y L(1/3). you could use the “eststo” and “esttab” commands described in section J2 (if you have trouble with the eststo command below read section J above): eststo m1: regress y L.x This more compact notation also uses the 0th through 8th lags of x and computes the correlation.x L8. vce(robust) eststo m2: regress y L(1/2). and x2. with robust standard errors. U1. regress y L(1/4). for x with its first eight lags. vce(robust) Regress y on its first 2 lags.x L4. vce(robust) Regress y on the 1-period lags of y. use the “estat ic” command: estat ic Display the information criteria AIC and BIC after a regression. Simons.05 ** 0.y.x L3. vce(robust) Regress y on its first 4 lags. Autocorrelations corrgram varname Create a table showing autocorrelations (among other statistics) for lagged values of the variable varname. U3.y. vce(robust) } esttab m1 m2 m3 m4 m5 m6. vce(robust) esttab m1 m2. and note how to use the lag (and lead) operators as described in section P. 1-May-11 U.y L. correlate L(0/8). test L2.x.y if tin(1962q1. For example: forvalues lags = 1/6 { eststo m`lags': regress y L(1/`lags').y. esttab m1 m2.x Hypothesis tests work as usual.x2. Information Criteria for Lag Length Selection To get BIC (Bayes-Schwartz information criterion) and AIC (Akaike information criterion) values after doing a regression. scalars(bic aic) After storing regression results. b(a3) se(a3) star(+ 0.10 * 0. vce(robust) The “if tin(…)” used here restricts the sample to times in the specified range of dates.y.x L4. regress y L(1/4).y L2. U2.x L2.y. with robust standard errors.w. with robust standard errors. regress y L.x L. x1.01 *** 0.x L7. corrgram varname. stats(bic aic) 35 . regress y L.Kenneth L. with robust standard errors. To include BIC and AIC values in tables of regression results. covariance This gives autocovariances instead of autocorrelations. correlate L(0/8). and suppress the plot. regress y L. you can make a table of regression results reporting the BIC and AIC. you could use a “forvalues” loop in your do-file editor. lags(#) noplot You can specify the number of lags.x L5.001) r2(3) ar2(3) scalars(F bic aic) nogaps Here the BIC and AIC are displayed as part of a near-publication quality table as described in section J2c.x L3. Time Series Models First tsset your data as in section P above. To speed up the process of comparing alternative numbers of lags.x Another way to compute autocorrelations.x L6.

Forecasting regress y L. you could do something like this: gen actual = y gen forecast = . dfuller y.x tsappend.96 would not be valid). dfuller y. Augmented Dickey Fuller Tests for Unit Roots dfuller y Carry out a Dickey-Fuller test for nonstationarity. summarize fcastErr Check the mean and standard deviation of the forecast errors. U6.forecast tsline actual forecast Plot a graph of actual y versus forecasts made using prior data.y if t<`p' predict yhatTemp. using heteroskedastic-and-autocorrelationconsistent (Newey-West) standard errors assuming that the error term times each right-hand-side variable is autocorrelated for up to # periods of time. (If # is 0. gen fcastHigh = forecast + 1. regress Show the associated regression when doing the Dickey-Fuller test. add(1) After a regression… Add an observation for one more time after the end of the sample. stdf replace forecast = yhatTemp if t==`p'+1 replace rmsfe = rmsfeTemp if t==`p'+1 drop yhatTemp rmsfeTemp } gen fcastErr = actual . xb Then compute the predicted or forecasted value for each observation.y L. checking the null hypothesis that y has a unit root. 1-May-11 U4.1. If you want to compute multiple pseudo-out-of-sample forecasts. forvalues p = 30/50 { regress y L. tsline actual fcastLow forecast fcastHigh if forecast<. dfuller y. lag(2) regress Carry out an augmented Dickey-Fuller test for nonstationarity using two lags of y. Newey-West Heteroskedastic-and-Autocorrelation-Consistent Standard Errors newey y x1 x2. (Use add(#) to add # observations. gen fcastLow = forecast . checking the null hypothesis (in a one-sided test) that y has a unit root.96*stdf High end of 95% forecast interval assuming there are normally distributed and homoskedastic errors (otherwise the 1.) Use browse after this to check what happened.96 would not be valid). xb predict rmsfeTemp. Simons. predict rmsfe. gen rmsfe = . … predict yhat. lag(2) trend regress As above. Add forecast intervals to the graph of actual versus forecast values of the y-variable. and show the associated regression. this is the same as regression with robust 36 . lag(#) Regress y on x1 and x2. U5.96*stdf Low end of 95% forecast interval assuming there are normally distributed and homoskedastic errors (otherwise the 1. stdf And compute the standard error of the out-of-sample forecast. but now include a time trend term in the associated regression.Kenneth L.

Three-Stage Least Squares Read the Stata manual’s entry for the reg3 command to get a good sense of how it works.oilshock + L6. for the lincom. test. along with 95% confidence intervals.oilshock + L2. If there is strong serial correlation.oilshock + L3. while if there is little serial correlation. For example: newey ipGrowth L(1/18). lincom. Dynamic Multipliers and Cumulative Dynamic Multipliers If you estimate the effect of multiple lags of X on Y. Note that these commands all assume conditionally homoskedastic errors. where T is the number of observations used in the regression (see the text by Stock and Watson. You could also draw by hand a graph of the estimated cumulative effects versus the time lag.) A rule of thumb is to choose # = 0. V1. lag(7) Here. and testnl commands. Note that the consumption equation estimates will be the same as in 2SLS. capital1. and the constant term. test [consump]wagegovt [wagepriv]capital1 The test.oilshock + L5. # might be made less than this rule of thumb suggests. You could draw by hand a graph of the estimated effects versus the time lag. along with 95% confidence intervals. System Estimation Commands Advanced Econometrics students work with estimators for systems of equations. Simons. 1-May-11 standard errors. V.Kenneth L. but you have to specify each coefficient you are talking about by naming an equation as well as a variable in an equation. (Dependent variables are assumed to be endogenous unless you list them in the exog() option. Thus. This provides estimates of the effects of oil price shocks after 1 month.1 for an example.oilshock Confidence intervals and p-values are reported along with these results. then the estimated effects on Y are effects that occur after different amounts of time. are assumed to be endogenous. Making the same graphs in an automated fashion in Stata is a little more painstaking. and testnl commands work fine after multi-equation estimations.) The instruments consist of all other variables: wagegovt. U7. To refer to a coefficient in an equation after estimation. etc. see the example test command in section V1 below. page 607). consump and wagepriv. Stata by default names equations after their dependent 37 . The cumulative effect after 6 months then could be found by: lincom L1. govt.75 * T^(1/3). “[consump]wagegovt” refers to the coefficiet=nt of the variable wagegovt in the equation named consump. # might be made more than this rule of thumb suggests. since that equation is just identified.oilshock + L4. after 2 months. rounded to an integer. but see my Stata do-file for Stock and Watson’s exercise E15.oilshock. Here are some examples drawn from the Stata manual: reg3 (consump wagepriv wagegovt) (wagepriv consump govt capital1) Estimate a two-equation 3SLS model in which the two dependent variables. Here is a brief introduction to some pertinent system estimation commands. the growth rate of industrial production (ipGrowth) is related to the percentage oil price increase or 0 if there was no oil price increase (oilshock) in 18 previous months.

Look at the above line to understand its parts. V2. The “corr” option causes the cross-equation correlation matrix of the residuals to be displayed. Here is an example drawn from the Stata manual: sureg (price foreign mpg displ) (weight foreign length). Here is an example showing how to β x estimate a nonlinear least squares model for the equation yi = β1 + β 2e 3 i + ε i : nl ( y = {b1}+{b2=1}*exp({b3}*x) ) Estimate this simple nonlinear regression. The “nl” is the name of the nonlinear regression command. After that is an equation in parentheses. The “corr” option causes the cross-equation correlation matrix of the residuals to be displayed. which we have called b1. naming the equations qDemand and qSupply since they have the same dependent variable. Seemingly Unrelated Regression Read the Stata manual’s entry for the sureg command to get a good sense of how it works. The same estimates could be obtained by running three separate regressions. Multivariate Regression mvreg headroom trunk turn = price mpg displ gear_ratio length weight. The left side of the equation is the dependent β x variable. along with a test of the null hypothesis that the error terms have zero covariance between equations. However. 1-May-11 variables. endog(price) Estimate a two-equation model. Stata will try to minimize the least squares by searching through the space of all possible values for the parameters. and b3. corr Estimate a two-equation SUR model. W.Kenneth L. The right side is the conditional expectation function. V3. Treat the other three regressors and the constant as exogenous. b2. in this case β1 + β 2e 3 i . Other Estimation Methods Advanced Econometrics students work various other estimation methods discussed here. the second with trunk (space) as the dependent variable. W1. Nonlinear Least Squares Read the Stata manual’s entry for the nl command to get a good sense of how it works. reg3 (qDemand: quantity price pcompete income) (qSupply: quantity price praw) . The terms in curly brackets are the parameters to be estimated. the six variables listed on the right-hand side of the equals sign are used as regressors. if we started by estimating β 2 as zero. Simons. In each case. and treat price as endogenous. along with a test of the null hypothesis that the error terms have zero covariance between equations. refer to coefficients for example using “_b[consump:wagegovt]”. the first with headroom as the dependent variable. but this also analyzes correlations of the error terms and makes it possible to carry out cross-equation tests afterward. we might not be able to search well 38 . For nonlinear hypothesis tests. There are several ways in which to use nonlinear regression commands. the third with turn(ing circle) as the dependent variable. corr Estimate three regression equations.

See the Stata manuals. the estimate of β3 would have no effect on the sum of squared errors. You might carry out (i) a one-toone merge. and you want to combine them into a single dataset. for example. The “=1” part tells Stata to start at 1 for this parameter. After a nonlinear regression. Make sure you organize all your work in a do-file (or multiple do-files). one with variables on age and education. with two cross-sectional or panel datasets on the same 1. This section describes several more Stata commands that are extremely useful for getting your data ready to use. The “master” dataset is the one now in use (“in memory”). Often you may have a linear combination of variables. merging datasets. while all of the “year” values in the appended data will be in the new rows of the year variable. and then possibly saving the prepared data in a separate file. save a prepared data file at the end so that you can just read in the data file when needed. Variables with the same name will be placed in the same column. To do so. You must have the other dataset saved as a Stata file. often the vast majority of time is spent preparing the data for analysis. See the Stata manuals. then doing anything else like generating variables. using the “{b2=1}”. X. et cetera. M.. Maximum Likelihood Estimation for Custom Models Stata has powerful general-purpose maximum likelihood estimation commands. Simons. Stata has a shorthand notation. 1-May-11 – at that point. then reading in the data. you might want to use the “nlcom” command to estimate a nonlinear combination of the parameters. reshaping the data. as in the formula β x1 +β x 2 +β x3 +β x 4 yi = α1 + α 2e 1 i 2 i 3 i 4 i + ε i . use the append command: append using filename Appends another dataset to the end of the data now in memory. Many of the commands given above are very useful for data preparation – see particularly sections F. and P above. to enter the linear combination: nl ( y = {a1}+{a2=1}*exp({xb: x1 x2 x3 x4}) ) Estimate this nonlinear regression. X2.g. O. and you want to add variables from a “using” dataset in another file. If it takes a long time. using tsset.Kenneth L. Generalized Method of Moments Estimation for Custom Models Stata has powerful general-purpose GMM commands. Combining Datasets: Adding Rows Suppose you have two datasets. typically with (at least some of) the same variables. X1. W2. Instead. W3. using “xb: varlist”. Data Manipulation Tricks In real statistical work. starting with clear and set memory if needed. e. if you have variables named “cusip” and “year” and the other dataset has variables with the same names. then all the “cusip” values in the appended data will be in the new rows of the cusip variable. the other with variables on employment and earnings. (ii) a many39 . Combining Datasets: Adding Columns [UPDATED IN STATA 11 – SEE MANUALS] Suppose you have two datasets. If running this do-file does not take too long. you can just run it each time you want to do statistical analyses. we start by estimating β 2 as one.000 people.

X2b.” In (i). Simons. 1-May-11 to-one merge. by adding extra variables at the right of the dataset. Unmatched Merge As mentioned above. but otherwise some rows will either be from only the original dataset (_merge=1) or only the using dataset (_merge=3). You should do so using a so-called “matched merge. you will want to ensure that the rows of data match up properly.000 people along with a year or grocery-store-shopped-in variable for each observation. Nonetheless. A variable named _merge gets created that equals 1 if the observation was in the original dataset only. followed by the three example matched merges listed above. you would need the state identifier variable in each dataset (the state identifier might be a two-letter state abbreviation or an appropriately defined number for each state). or (iii) a one-tomany merge. In (iii). you can do an “unmatched merge” in which corresponding rows are assumed to match up.g. plus a dataset listing many government agencies in each state. use Stata’s merge command.. X2a.e. When you merge two datasets. 2 if it was in the using dataset only. this is a simple starting point to understand the merge command: merge using filename This merges a saved Stata dataset with the master dataset.. to avoid errors. these variables get ignored (although there are options to get information from these variables instead of ignoring them). each one line in the master dataset corresponds to one line in the using dataset. If you have two datasets for which the ith row in one corresponds to the ith row in the other. If the same number of observations existed in both datasets before the unmatched merge. you need to have the same identifier variables in each dataset in order to know which observation in the master 40 .Kenneth L.. e. with a dataset listing 50 US states along with characteristics of each state. you would also need a time variable (such as the year) that also can be matched when comparing the two datasets. such as example (i) above. You could avoid extra observations being added from the using dataset (i. Matched One-to-One Merge In a matched one-to-one merge. you would need a person id variable that is a unique value for each person in the dataset.g. If the datasets involve panel data. If the Stata file named filename has any variables with the same names as variables in the master dataset. tabulate _merge Always check the values of _merge after merging two datasets. with a master cross-sectional or panel dataset on 1. In (ii). as in the examples below. with the same values used in the two different datasets. and 3 if it was in both datasets. unmatched merges are very dangerous and should be avoided unless absolutely necessary. observations that would have _merge=2) by using the nokeep option. To add the columns in the latter dataset to the former dataset. plus a using dataset with the US GDP in each year or with information about the location and size of each grocery store. e. you would need a year or company identifier that can be matched when comparing the two datasets. As emphasized above. Unmatched merges are very dangerous because too often you accidentally end up with your rows in a different order from what was intended in one or both of the files and hence end up matching information into the incorrect rows! Here is an example unmatched merge. then _merge will always equal 3. The only exceptions are that some lines in either dataset may have zero matching lines in the other dataset.

As with an unmatched merge. in order by the matching variable. by adding extra variables at the right of the master dataset. you might have panel data with people observed in different years.. Simons. multiple lines in the master dataset can correspond to one line in the using dataset.e. You could avoid extra observations being added from the using dataset (i. The variables listed immediately after the merge command – in this case “personid” – must match in order for an obervation in one dataset to be declared the same as an observation in the other dataset. tabulate _merge Always check the values of _merge after merging two datasets. if two or more of the same person appear in either of the datasets. unique tabulate _merge X2c.Kenneth L. i. each unique observation in the dataset will by identified by unique combinations of two (or more) variables. The using dataset must have been sorted by personid before saving it.. This works the same as the above merge. except that “personid year” is use instead of just “personid”: sort personid year merge personid year using filename. (Alternatively. Consider a match using cross-sectional data in which a variable named personid is a unique value for each person. in which case year would take the place of groceryid. to avoid errors. if the Stata file named filename has any variables with the same names as variables in the master dataset. and each person can be observed multiple times visiting grocery stores. observations that would have _merge=2) by using the nokeep option. 2 if it was in the using dataset only. unique This merges a saved Stata dataset with the master dataset. Stata will stop with an error message so that you can fix your apparent mistake (either something is wrong with your data or you do not really want a one-to-one merge). this would sort both the master dataset and the using dataset. Stata has to know that they are sorted. As emphasized above. such as a personid-year pair. Matched Many-to-One Merge In a matched many-to-one merge. 1-May-11 dataset should be matched with which observation in the using dataset. A variable named _merge gets created that equals 1 if the observation was in the original dataset only. Even if the data are already sorted. If nonunique values are found. you need to have the same identifier variables in each dataset in order to match observations in the two datasets. If you are merging two panel datasets. such as example (ii) above. and 3 if it was in both datasets. and each personid has one or more observations corresponding to different years or sort personid Matched merges require the data to be sorted first. these variables get ignored (although there are options to get information from these variables instead of ignoring them). merge personid using filename. with a variable groceryid used to identify the groceries (a person could have many observations in the same grocery store). Consider a match using data in which a variable named personid is a different value for each person.e. or if it were not then you could add the sort option to this command. The “unique” option tells Stata that in each dataset you have only one observation for each unique value of personid. so you still have to use the sort command.) 41 .

First. you should understand the commands in section X2b. the match variable is just “state”. the uniqusing option tells Stata that each different groceryid appears only once (at most) in the using dataset: sort groceryid merge groceryid using filename. you should understand the commands in section X2b. Matched Many-to-Many Merge Many-to-many merges are also possible. because this is not a one-to-one merge. Instead. particularly with panel data. one line in the master dataset can correspond to multiple lines in the using dataset. it is necessary to convert between “wide” and “long” forms of a dataset. Here is a trivially simple example: Wide Form: personid 1 2 Long Form: personid 1 1 1 2 2 income2005 32437 50061 year 2005 2006 2007 2005 2006 income2006 33822 23974 income 32437 33822 41079 50061 23974 income2007 41079 28553 birthyear 1967 1967 1967 1952 1952 birthyear 1967 1952 42 . such as example (iii) above. uniqmaster tabulate _merge X2e. For more information. Second. each state is listed many times with each observation describing a government agency in one of the states. Instead. Before reading this. In the using data. each unique value of state may occur many times. 1-May-11 Before reading this. X3. Here there are two differences. the uniqmaster option tells Stata that each different state appears only once (at most) in the master dataset: sort state merge state using filename. Reshaping Data Often. the match variable is just “groceryid”. The master dataset’s match variable values are unique. each unique value of groceryid may occur many times. Simons. in the sense that at most one observation has any given value (or combination of values) of the match variable(s). Second. get help on Stata’s “joinby” command. Consider a match starting with master data having 50 observations corresponding to the 50 US states. with a variable named state being a unique value for each state. Here there are two differences. the “unique” option to the merge command is not appropriate: in the using data. because this is not a one-to-one merge. Matched One-to-Many Merge In a matched one-to-many merge.Kenneth L. the “unique” option to the merge command is not appropriate: in the master data. uniqusing tabulate _merge X2d. First.

if a string is “2. Like most Stata commands. to numeric variables. not just income. Converting Between Strings and Numbers Use the describe command to see which variables are strings versus numbers: describe If you have string variables that contain numbers. i(personid) j(year) // Starting from wide form. replace force Convert string variables named year. reshape wide income married yrseduc. plus you would have many variables. If you want such non-numeric strings to be converted to missing values. Stata will by default refuse to convert a string value into a number. Similar. to numeric variables. month. and day. if you have string variables named year.3. instead of strings. convert to long form. i(personid) j(year) Starting from wide form. month. X5. you would like to record 43 . need to transpose between wide and long form. assuming the strings really do contain numbers. 1-May-11 2 2007 28553 1952 This is a trivially simple example because usually you would have many variables.g. with values 1. to string variables. and day.678” then Stata will not recognize it to be a number because of the commas. Trivial or complex. not just birthyear.345. that are specific to the personid and don’t vary with the year. convert to wide form. If this occurs. convert to wide form. For example. that transpose between wide and long form. and regardless of how many variables there are that don’t vary with the year.: reshape long income married yrseduc. At the same time. month. i(personid) j(year) // Starting from long form. If you have more variables that. replace Convert string variables named year. then use the force option to the destring command: destring year month day. Get help on the Stata command destring. and day. i(personid) j(year) Starting from long form. Labels What if you have string variables that contain something other than numbers. replace Convert numeric variables named year. This is good. convert to long form. and day. e. you are likely to get an error message because not all of the strings are numbers. or people’s names? It is sometimes useful to convert these values to categorical variables. or consult the Stata manuals. you could convert them to numbers as follows: destring year month day. and the strings really contain numbers. because it points out that you need to look more closely to decide how to treat the data. these commands have a lot of options. for more information. instead of Stata stopping with an error message. When you convert from a string variable to a numeric variable. You could convert back again using tostring: tostring year month day. If any string values do not seem to be numbers.2. just name the relevant variables after “reshape long” or “reshape wide”.…. The tostring command works in the reverse direction. convert them to missing values. an easy way to convert them to numbers is to use the destring command. X4. like income. values like “see note” or “>1000” cannot be converted to numbers. month. Simons. reshape wide income.Kenneth L. For example. like “male” versus “female”. all such cases can be converted from wide to long form or vice versa using Stata’s reshape command: reshape long income.

You record a note like this: note: This dataset is proprietary. so that when you would display the name of the the variable. For example: label data "physical characteristics of butterfly species" This labels the data. 44 . generated a new numeric variable named personNameN with corresponding labels. use the describe command. If you want to create your own value labels for a variable. label values female femaleLab This tells Stata that the values of the variable named female should be labeled using the label named “femaleLab”. the numeric version may take up a lot less memory. X6. it would be incorrect to compare the contents of a variable to a string: summarize if country=="Canada" This causes an error if country is numeric! However. However. For example: encode personName. theft will be prosecuted to the full extent of the law. and then generated a new string variable personNameS that was once again a string variable just like the original. Notes You may find it useful to add notes to your data. To see what notes there are. instead the label appears. type: notes Notes are a way to keep track of information about the dataset or work you still need to do. You can also add notes about specific variables: note income: Inflation-adjusted using Australian census data. Once you have created a (labeled) numeric variable. and "Canada":countryLabel is the number for which the label is “Canada” according to the label definition named countryLabel. suppose a variable named female equals 1 for females or 0 for males. In this case. The association between numbers and strings is achieved using what are called “value labels”. However. If you browse the data. generate(personNameN) decode personName. so that when you get information about the data. For example. Stata’s encode command creates a labeled numeric variable from a string variable. Stata lets you look up the value corresponding to the label: summarize if country=="Canada":countryLabel You can look up the values from a label this way.Kenneth L. Stata also lets you label a whole dataset. that’s easy to do. generate(personNameS) This example started with a string variable named personName. It also lets you label a variable. notes are not by seen by users of the data unless the users make a point to read them. Simons. 1-May-11 which numbers correspond to which strings. the label appears. If you do not know the name of the label for a variable. You can list all the values of a label with the command: label list labelname This lists all values and their labels for the label named labelname. Stata’s decode command does the reverse. personNameN will seem to be just like the string variable personName because Stata will automatically show the labels that correspond to each name. label variable income "real income in 1996 Australian dollars" This labels a variable. countryLabel is the name of a label. and it will tell you the name of each variable’s label (if it has a label). Then you might label it as follows: label define femaleLab 0 "male" 1 "female" This defines a label named “femaleLab”.

1-May-11 X7. 45 . Simons. More Useful Commands For more useful commands.Kenneth L. go to Stata’s Help menu. and click on Data management. choose Contents.

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