LAB 1: BASICS
Adding
comments. Opening and saving STATA data files.
Generate/rename variables. How to create dummy variables. Summary
statistics. Tabulating a categorical variable. Removing or keeping variables.
Using conditions with 'if ' command. Scatter
diagrams and histograms. Importing data into STATA. Saving results in an
output file. Download
the program file here. Download
Example Data file here, description of variables
in the data file here LAB 2 : OLS and GLS Regression
OLS
regression. Saving residuals and fitted values. Testing linear restrictions.
Diagnostic tests for heteroskedasticity. OLS with heteroskedasticity robust standard errors. FGLS estimation.
Diagnostic tests for autocorrelated errors. OLS with autocorrelation robust standard
errors. Estimation under autocorrelated errors. LAB 3 : IV and GMM Estimation
Estimation with endogenous variables. Testing for
endogeneity. 2SLS and GMM estimation. Testing for validity of instruments.
Testing for over identifying restrictions. LAB 4 : LPM, LOGIT, PROBIT and TOBIT Models
Binary choice models: logit, probit, linear probability
model. Tobit model. Marginal effects.
LAB 5 : Time Series Models I
Setting up your time series data. Example of spurious
regression. Different time series : trending, AR(1),
MA(1), Random Walk, Explosive… Detrending
variables. Plotting a time series data. Autocorrelation and Partial
autocorrelation functions. Dickey Fuler ad
augmented Dickey Fuller test for unit root. Transforming nonstationary
variables to stationary variables by first differencing. Download the
first program file here. (uses simulated data) Download the
second program file here. (uses interest rate data) LAB 6 : Panel Data Models
Setting
up your data for panel data estimation. Merging and appending separate data
files (see preliminary program file). Random effects
models. Fixed effect models. Hausman test, Breush Pagan LM test. LAB 7 : Time Series Models II
FDL
and RDL models. ARMA and ARIMA estimation. ARCH(1) and GARCH(1,1) Download the program file here. |