An Introduction to Modern Econometrics Using Stata: 1st Edition (Paperback) book cover

An Introduction to Modern Econometrics Using Stata

1st Edition

By Christopher F. Baum

Stata Press

341 pages

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Paperback: 9781597180139
pub: 2006-08-17
$110.00
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Description

Integrating a contemporary approach to econometrics with the powerful computational tools offered by Stata, An Introduction to Modern Econometrics Using Stata focuses on the role of method-of-moments estimators, hypothesis testing, and specification analysis and provides practical examples that show how the theories are applied to real data sets using Stata.

As an expert in Stata, the author successfully guides readers from the basic elements of Stata to the core econometric topics. He first describes the fundamental components needed to effectively use Stata. The book then covers the multiple linear regression model, linear and nonlinear Wald tests, constrained least-squares estimation, Lagrange multiplier tests, and hypothesis testing of nonnested models. Subsequent chapters center on the consequences of failures of the linear regression model's assumptions. The book also examines indicator variables, interaction effects, weak instruments, underidentification, and generalized method-of-moments estimation. The final chapters introduce panel-data analysis and discrete- and limited-dependent variables and the two appendices discuss how to import data into Stata and Stata programming.

Presenting many of the econometric theories used in modern empirical research, this introduction illustrates how to apply these concepts using Stata. The book serves both as a supplementary text for undergraduate and graduate students and as a clear guide for economists and financial analysts.

Reviews

"This book provides an excellent resource for both teaching and learning modern microeconometric practice, using the most popular software package in this area. The coverage includes discrete choice models and models for panel data, as well as linear regression and instrumental variables methods. I particularly like the material on handling large datasets and developing efficient programs within Stata, which provide the reader with an invaluable introduction to good practice in empirical research."

-Steve Bond, Nuffield College, Oxford, UK, and Institute for Fiscal Studies (IFS), London, UK

"Baum provides students and researchers [with] a hands-on guide to modern econometric techniques by means of many well-documented examples in Stata. The examples are also useful templates for those who need to write Stata routines for their own work. Treatment and transformation of cross-section, time-series, and panel data are carefully explained. The coverage of the text is broad and up to date. … a valuable companion to undergraduate- and graduate-level econometric textbooks."

-Serena Ng, Department of Economics, University of Michigan, Ann Arbor, USA

"Christopher Baum's An Introduction to Modern Econometrics Using Stata is probably the only econometrics text published to date that pays serious attention to reproducibility of research and systematic data validation using Stata's data audit commands along with do-file and programming capabilities. Economic and financial consultants will find this text to be an invaluable guide to using Stata for creating reproducible, error-free data and econometric analysis, as well as quality graphic presentations. The book is comprehensive and easy to follow, with substantive coverage of econometric theory and applications using the full array of Stata's capabilities. This text should serve as an excellent learning and reference guide for every consultant."

-Zaur Rzakhanov, Ph.D., Analysis Group Inc., Boston, Massachusetts, USA

"This book is a wonderful complement to the Stata technical manuals. It provides a wealth of practical tips and sample applications that help the intermediate-level Stata user advance in making the most efficient use of Stata. It is thoughtfully organized along the lines of an econometrics textbook, allowing practitioners to find relevant and useful commands, procedures, and examples by topics that are familiar and immediate. It also includes a most helpful appendix for novice programmers that will expedite their development into proficient Stata programmers. This book is a must-have reference for any organization that needs to train practitioners of econometrics in the use of Stata."

-Peter Boberg, CRA International

Table of Contents

PREFACE

NOTATION AND TYPOGRAPHY

INTRODUCTION

An Overview of Stata's Distinctive Features

Installing the Necessary Software

Installing the Support Materials

WORKING WITH ECONOMIC AND FINANCIAL DATA IN STATA

The Basics

Common Data Transformations

ORGANIZING AND HANDLING ECONOMIC DATA

Cross-Sectional Data and Identifier Variables

Time-Series Data

Pooled Cross-Sectional Time-Series Data

Panel Data

Tools for Manipulating Panel Data

Combining Cross-Sectional and Time-Series Datasets

Creating Long-Format Datasets with Append

The Reshape Command

Using Stata for Reproducible Research

LINEAR REGRESSION

Introduction

Computing Linear Regression Estimates

Interpreting Regression Estimates

Presenting Regression Estimates

Hypothesis Tests, Linear Restrictions, and Constrained Least Squares

Computing Residuals and Predicted Values

Computing Marginal Effects

Appendix A: Regression as a Least-Squares Estimator

Appendix B: The Large-Sample VCE for Linear Regression

SPECIFYING THE FUNCTIONAL FORM

Introduction

Specification Error

Endogeneity and Measurement Error

REGRESSION WITH NON-I.I.D. ERRORS

The Generalized Linear Regression Model

Heteroskedasticity in the Error Distribution

Serial Correlation in the Error Distribution

REGRESSION WITH INDICATOR VARIABLES

Testing for Significance of a Qualitative Factor

Regression with Qualitative and Quantitative Factors

Seasonal Adjustment with Indicator Variables

Testing for Structural Stability and Structural Change

INSTRUMENTAL-VARIABLES ESTIMATORS

Introduction

Endogeneity in Economic Relationships

2SLS

The ivreg Command

Identification and Tests of Overidentifying Restrictions

Computing IV Estimates

ivreg2 and GMM Estimation

Testing and Overidentifying Restrictions in GMM

Testing for Heteroskedasticity in the IV Context

Testing the Relevance of Instruments

Durbin-Wu-Hausman Tests for Endogeneity in IV Estimation

Appendix A: Omitted-Variables Bias

Appendix B: Measurement Error

PANEL-DATA MODELS

FE and RE Models

IV Models for Panel Data

Dynamic Panel-Data Models

Seemingly Unrelated Regression Models

Moving-Window Regression Estimates

MODELS OF DISCRETE AND LIMITED DEPENDENT VARIABLES

Binomial Logit and Probit Models

Ordered Logit and Probit Models

Truncated Regression and Tobit Models

Incidental Truncation and Sample-Selection Models

Bivariate Probit and Probit with Selection

APPENDIX A: GETTING THE DATA INTO STATA

Inputting Data from ASCII Text Files and Spreadsheets

Importing Data from Other Package Formats

APPENDIX B: THE BASICS OF STATA PROGRAMMING

Local and Global Macros

Scalars

Loop Constructs

Matrices

return and ereturn

The Program and Syntax Statements

Using Mata Functions in Stata Programs

REFERENCES

AUTHOR INDEX

SUBJECT INDEX

Subject Categories

BISAC Subject Codes/Headings:
MAT029000
MATHEMATICS / Probability & Statistics / General