exposé7 Wednesday November 9 23:16:00 2022 Page 1

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Statistics/Data Analysis

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Statistics/Data Analysis StataCorp
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Serial number: 501606203204
Licensed to: Juan Palomino
Juan Palomino

Notes:
1. Unicode is supported; see help unicode_advice.
2. More than 2 billion observations are allowed; see help obs_advice.
3. Maximum number of variables is set to 5000; see help set_maxvar.
4. New update available; type -update all-

1 . import excel "C:\Users\acer\Desktop\Mr hefnaoui\Exposé 7.xlsx", sheet("Feuil4") firstrow

(4 vars, 60 obs)

2 . browse

3 . reg Y X

Source SS df MS Number of obs = 60

F(1, 58) = 29.42
Model 82.403947 1 82.403947 Prob > F = 0.0000
Residual 162.441886 58 2.80072218 R-squared = 0.3366
Adj R-squared = 0.3251
Total 244.845833 59 4.14992938 Root MSE = 1.6735

Y Coef. Std. Err. t P>|t| [95% Conf. Interval]

X -.0530767 .0097851 -5.42 0.000 -.0726637 -.0334897

_cons 12.43941 .8182869 15.20 0.000 10.80143 14.07739

4 . tabulate i,generate (z)

individus Freq. Percent Cum.

1 20 33.33 33.33
2 20 33.33 66.67
3 20 33.33 100.00

Total 60 100.00

5 . reg Y X z1 z2 z3,noconstant

Source SS df MS Number of obs = 60

F(4, 56) = 494.61
Model 4121.68576 4 1030.42144 Prob > F = 0.0000
Residual 116.664237 56 2.08328994 R-squared = 0.9725
Adj R-squared = 0.9705
Total 4238.35 60 70.6391667 Root MSE = 1.4434

Y Coef. Std. Err. t P>|t| [95% Conf. Interval]

X -.0410612 .0088786 -4.62 0.000 -.0588472 -.0232751

z1 10.1799 .8586674 11.86 0.000 8.459783 11.90002
z2 12.08005 .7752915 15.58 0.000 10.52695 13.63315
z3 12.15082 .7237342 16.79 0.000 10.70101 13.60064
 exposé7 Wednesday November 9 23:16:01 2022 Page 2

6 . reg Y X z2 z3

Source SS df MS Number of obs = 60

F(3, 56) = 20.51
Model 128.181597 3 42.7271989 Prob > F = 0.0000
Residual 116.664237 56 2.08328994 R-squared = 0.5235
Adj R-squared = 0.4980
Total 244.845833 59 4.14992938 Root MSE = 1.4434

Y Coef. Std. Err. t P>|t| [95% Conf. Interval]

X -.0410612 .0088786 -4.62 0.000 -.0588472 -.0232751

z2 1.90015 .4653716 4.08 0.000 .9678983 2.832401
z3 1.970921 .4798008 4.11 0.000 1.009765 2.932078
_cons 10.1799 .8586674 11.86 0.000 8.459783 11.90002

7 . xtset individus temps,yearly

panel variable: individus (strongly balanced)
time variable: temps, 1980 to 1999
delta: 1 year

8 . xtreg Y X,fe

Fixed-effects (within) regression Number of obs = 60

Group variable: individus Number of groups = 3

R-sq: Obs per group:

within = 0.2764 min = 20
between = 0.9253 avg = 20.0
overall = 0.3366 max = 20

F(1,56) = 21.39
corr(u_i, Xb) = 0.2906 Prob > F = 0.0000

Y Coef. Std. Err. t P>|t| [95% Conf. Interval]

X -.0410612 .0088786 -4.62 0.000 -.0588472 -.0232751

_cons 11.47026 .739982 15.50 0.000 9.987895 12.95262

sigma_u 1.118042
sigma_e 1.4433606
rho .37500825 (fraction of variance due to u_i)

F test that all u_i=0: F(2, 56) = 10.99 Prob > F = 0.0001

9 . save "C:\Users\acer\Desktop\Mr hefnaoui\exposé7.dta"

file C:\Users\acer\Desktop\Mr hefnaoui\exposé7.dta saved

10 . * Calcul de SCR1 non contraint: Estimation équation par équation

11 .
12 . set more off

13 .
14 . local SCR1=0

15 .
 exposé7 Wednesday November 9 23:16:01 2022 Page 3

16 . scalar N=3

17 .
18 . scalar T=20

19 .
20 . scalar K=1

21 .
22 . forvalues individus=1/3 {
2.
23 . qui reg Y X if i==`individus'
3.
24 . local SCR1=`SCR1'+e(rss)
4.
25 . }

26 .
27 . di `SCR1'
108.17036

28 .
29 .
30 .
31 . * Calcul de SCR1C contraint: Estimation sur le modèle empilé

32 .
33 . qui reg Y X

34 .
35 .
36 .
37 . local SCR1C=e(rss)

38 .
39 . di `SCR1C'
162.44189

40 .
41 .
42 .
43 . *Calcul de la statistique de Fisher F1 N=33 T=15 K=5

44 .
45 . local F1=((`SCR1C'-`SCR1')*(N*T-N*(K+1)))/(`SCR1'*(N-1)*(K+1))

46 .
47 . *La P_value de F1

48 .
49 . di "dof1 = " (N-1)*(K+1) " dof2 = " (N*T-N*(K+1))
dof1 = 4 dof2 = 54

50 .
51 . local PVF1=Ftail((K+1)*(N-1),(N*T-N*(K+1)),`F1')

52 .
53 .
54 .
55 . * Calcul de SCR1CP: estimation du modèle à effets individuels
 exposé7 Wednesday November 9 23:16:01 2022 Page 4

56 .
57 . xtreg Y X,fe

Fixed-effects (within) regression Number of obs = 60

Group variable: individus Number of groups = 3

R-sq: Obs per group:

within = 0.2764 min = 20
between = 0.9253 avg = 20.0
overall = 0.3366 max = 20

F(1,56) = 21.39
corr(u_i, Xb) = 0.2906 Prob > F = 0.0000

Y Coef. Std. Err. t P>|t| [95% Conf. Interval]

X -.0410612 .0088786 -4.62 0.000 -.0588472 -.0232751

_cons 11.47026 .739982 15.50 0.000 9.987895 12.95262

sigma_u 1.118042
sigma_e 1.4433606
rho .37500825 (fraction of variance due to u_i)

F test that all u_i=0: F(2, 56) = 10.99 Prob > F = 0.0001

58 .
59 .
60 .
61 . local SCR1CP=e(rss)

62 .
63 . di `SCR1CP'
116.66424

64 .
65 . *Calcul de la statistique de Fisher F2

66 .
67 . local F2=((`SCR1CP'-`SCR1')*(N*T-N*(K+1)))/(`SCR1'*(N-1)*K)

68 .
69 .
70 .
71 . *La P_value de F2

72 .
73 . di "dof1 = " K*(N-1) " dof2 = " (N*T-N*(K+1))
dof1 = 2 dof2 = 54

74 .
75 . local PVF2=Ftail(K*(N-1),(N*T-N*(K+1)),`F2')

76 .
77 .
78 .
79 . *Calcul de la statistique de Fisher F3

80 .
81 . local F3=(`SCR1C'-`SCR1CP')*(N*(T-1)-K)/(`SCR1CP'*(N-1))
 exposé7 Wednesday November 9 23:16:01 2022 Page 5

82 .
83 .
84 .
85 . *La P_value de F3

86 .
87 . di "dof1 = " (N-1) " dof2 = " (N*(T-1)-K)
dof1 = 2 dof2 = 56

88 .
89 . local PVF3=Ftail((N-1),(N*(T-1)-K),`F3')

90 .
91 .
92 .
93 . *Affichage des résultats

94 .
95 . di in y " SCR1 = " in gr `SCR1'
SCR1 = 108.17036

96 .
97 . di in y " SCR1C = " in gr `SCR1C'
SCR1C = 162.44189

98 .
99 . di in y " SCR1CP = " in gr `SCR1CP'
SCR1CP = 116.66424

100 .
101 .
102 .
103 . di in y "F1 = " in gr `F1'
F1 = 6.7732573

104 .
105 . di in y "F2 = " in gr `F2'
F2 = 2.1201259

106 .
107 . di in y "F3 = " in gr `F3'
F3 = 10.986865

108 .
109 .
110 .
111 . di in y "PvalF1 = " in gr `PVF1'
PvalF1 = .00017099

112 .
113 . di in y "PvalF2 = " in gr `PVF2'
PvalF2 = .12989844

114 .
115 . di in y "PvalF3 = " in gr `PVF3'
PvalF3 = .00009434

116 .