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STATA Introductory manual QUIZ • What are the main OLS assumptions? 1. 2. 3. 4. 5. + On average right Linear Predicting variables and error term uncorrelated No serial correlation in error term Homoscedasticity Normality of error term QUIZ • • • Do we know the error term? Do we know the coefficients? How can we know whether all the assumptions are fulfilled 1. 2. 3. 4. 5. On average right => ??? Linearity => ??? X and ε uncorrelated => ??? ε serially uncorrelated => ??? ε homoscedastic => ??? STATA as calculator • Multiplication and other simple operations – display (7*(6+5)/4)^(-0.3) • Statistical calculations – display norm(1.96) • Generating variables – gen t=year-1967 • Etc... STATA for matrices • Writing down matrix – matrix X=(1,4\1,-2\1,3\1,-5) • Reading a matrix (you have to know its name) – matrix list X • Learning what matrices there are – matrix dir • Multiplications – matrix XX=X’*X – matrix IXX=inv(XX) • Etc... Getting data to STATA • How to get data to STATA? – From Excel [Copy&Paste, remember „commas”] – Manually [if one has the time ... ] – From other sources [import function] • How to know what it is? – Describe [read the texts] – summarize [statistical properties] • Learning more about your data set – correlate x1 y [just to see how it works] – histogram x1 [graphing is easier from the menu] – scatter x1 y [as above ] Regression with STATA • How to do regression? – regress y x – regress y x, nocons and that’s it Diagnostics with STATA • Normality of the residual – predict e, residual [directly after regress] – sktest e [Jarque-Bery test] • RESET test – ovtest, rhs Diagnostics with STATA • Heteroscedasticity – hettest, rhs [Breush-Pagan test] – imtest, white [White test] • Autocorrelation – tsset t – dwstat [Durbin-Watson test] – bgodfrey, lags(1 2 3) [Breush-Godfrey test] Diagnostics with STATA • Structural stability [Chow] – – – – – – – – – – gen d=0 gen dx1=0 gen dx2=0 gen dx3=0 replace d=1 if t>50 replace dx1=x1 if t>50 replace dx2=x2 if t>50 replace dx3=x3 if t>50 reg y x1 x2 x3 d dx1 dx2 dx3 test (d=0) (dx1=0) (dx2=0) (dx3=0)