stata高級配套講義分章節(jié)b2gls

12 ******網(wǎng)絡課堂：STATA專題4 主講人：連博6 單 電郵 主頁: ::高級部分 計量分析與Stata 第二講 簡***H4Var[ui|X] /*同方差假設 Var[U]=sysuseauto,keepinquiregpriceweimpgpredictres,mkmatres,matcv=matlist* Var[U]= e.g.Var[ui]=sigma_i^2 ***基本思想：參數(shù)的OLS*真實的Var(b*White估計 處理異方差問*Newey-West*GLS*y=c+a*x+b*z+ *假設：Var(u_i)= !=*y/z=c/z+a*(x/z)+b+u/z*y*=c*+ +*Var(u*)=Var(u)/z_i^2=*模型(2)符合經(jīng)典回歸模型的假設條件，OLSBLUE*GLS*Q^(-1)=*Py=PXb+*Var(Pu)=P*Var(u)*P'=*regPyonPXwillbe*設XPXyPy*b_GLS= =inv(X'*Q(-1)*X)*X'*Q(-*Var(b_GLS)= * *簡sysusenlsw88,quiregwagehoursttl_expindustryagervfplot,yline(0)ms(d)rvpplotttl_exp,ms(d)*異方差假設Q矩陣非對角線上元素為*即，Var[U******OLS估計仍然是無偏且一致的，b=*不是最有效的：Var[b]=**** *檢驗 **B-Ptest(Breusch-*sigma_i^2=sigma^2*(a0+a1*z1+a2*z2+*H0:*ei^2/avg(ei^2 LM0.5*MSSchi2(k)(k為解釋變量的個數(shù)，不包括常數(shù)項sysuseauto,regpriceweightmpgturnestathettest /*B-P檢驗的原意，同方差假設*quipredictquipredicte,quigene2=quisumquigene2_nor=quirege2_nordisregpriceweightmpgturnestathettest /*N*R2,無需同方差假設quirege2disregpriceweightmpgturnestathettest,estathettestlengthestathettestlengthtrunk,rhs*Szroeter's秩檢驗*D=(sumofh*e2)/(sumofregpriceweightmpgturnestatszroeter,rhs*G-Qtest(Goldfeld-**1*2r*3n1n2*4.計算R=(S2/n1-k)/(S1/n2- S為殘差平方*5在原假設下R--F(N1-KN2-helpsysuseauto,gqhetpricempgweightturn,sort(wei)*sysuseauto,sortquiregpricempgweightturninscalarRSS1=local =e(N)-quiregpricempgweightturninscalarRSS2=local =e(N)-localF=(RSS2/`k2')/dising"F="inydising"P="inyFtail(`k1',`k2',*white*真實的Var(b*同方差：Q*rege2on*WN*R2chi2(K-1)Ksysuseauto,regpricempgweightestatimtest /*方法1：stata內部命令 /*方法2：外部命令*predicte,gene2=genmpg2=genweight2=genturn2=genmpgXwei=genmpgXturn=genweiXturn=rege2mpgweightturnmpg2weight2turn2mpgXweidis"W="dis"p-value="chi2tail(e(df_m),*Glesjer's**(a)Var[ei]=sigma^2*[b0+b1*z1+b2*z2+*(b)Var[ei]=sigma^2*[b0+b1*z1+b2*z2+*(c)Var[ei]=sigma^2*exp[b0+b1*z1+b2*z2+sysuseauto,quiregpricempgweightpredictei,gen =quisumgen =genabs_ei=genln_ei=localZ"foreigngearlocalk=3+localn=*(a)rege2onforeigngearquirege2dis"F=" "p_value="Ftail(`=`k'-1',`=`n'-`k''*(b)regabs_eionforeigngearquiregabs_eidis"F=" "p_value="Ftail(`=`k'-1',`=`n'-`k''*(c)regln_eionforeigngearregln_eidis"F=""p_value="Ftail(`=`k'-1',`=`n'-`k''*sysusenlsw88,regwagettl_expraceageindustrypredicte,gwhete /*finditgwhet,plus文件夾gwhete, *估計********思路：OLS是無偏、一致估計量，但方差估計量需要修正真實的Var(b)=inv(X'X)*(X'QX)*inv(X'X)Qdiag[sigma_i^2共有NK個參數(shù)，無法估計然而：我們只需要估計出X'QX即可，而不是Qsigma_i^2--sysusenlsw88,regwagettl_expraceageindustryeststoreregwagettl_expraceageindustryhours,eststoreesttabols0ols_robust,mtitle(OLS_0OLS_robust)*GLSQ*y=c+a*x+b*z+ *y/z=c/z+a*(x/z)+b+u/z = +*Var(u*)=Var(u)/z_i^2=sysuseauto,genwei2=regpricempgweightturnforeignrvpplot*FGLSQ*=*step1：利用殘差估計出Q中的參數(shù)，得到*step2Q_hatGLSuseB2_Greene_Tab5_1.dta *假設：sigma_i^2= e+ quiregexpendage predicte,gene2=quireg e2,quipredictregexpendage e2 genln_e2= e= quireg predict cep2=regexpendage e2*==使用wls0命令finditwls0,plus*sigma_i^2= wls0expage e2,eststore /*12.3a*sigma_i^2= wls0expage e2,eststore /*12.3b*sigma_i^2= e+ wls0expageeststore*sigma_i^2=wls0expageeststoreeeee2,/*12.3c+a2* e2,wvar(/*12.3deee2)type(e2)e2)type(abse)*simg_i^2=e+wls0expage e2,ee2)eststore/*12.3eesttableTab*,stats(r2)b(%8.3f)*sysusenlsw88,regwagettl_expraceageindustrypredicte,egensd_e=sd(e),gengw_wt=tabstatsd_egw_wt,regwagettl_expraceageindustryhours ******網(wǎng)絡課堂：STATA專題 主講人：連博 單 電郵 主頁: ::高級部分 計量分析與Stata 第二講 cdD:\stata9\ado\ ***簡*uii.i.dN(0*在時間序列中，i.i.d*如，AR(1):u_t=rho*u_t-1+ v_t--i.i.d*此時，QVar[U**useB2_consume_cs.dta,reg predicte,twoway(scattereid)(lineeid),yline(0,lp(dash)lc(blue))legend(off)xtitle(截面資料)ysize(3)graphsavecs.gph, *useB2_consum_ts.dta,reg predicte,twoway(scatteret)(lineet),yline(0,lp(dash)lc(blue))legend(off)xtitle(時間序列)ysize(3)graphsavets.gph,regraphcombinecs.gphts.gph,ysize(3)xsize(5) ** * *檢驗*圖形法:useB2_lutkepohl.dta,tssetreg predicte1,*ac(auto-correlation*rho_j=Cov(y_t,y_t-*pac(partialauto-correlation*phi_j=Cov(y_t|E(...t-j-1),y_t- regy_tony_t-1y_t-2...y_t-ac paccorrgrampreserve/*whitenoise的自相關和偏自相關函數(shù)setobsgenx=gent=tssetac *PartI*t檢驗rege1 *看來此模型中 *F/*適用于高階自相關的情形rege1 testL.e1*D-W檢驗AR(1quireg quiequie*Q檢驗（Ljungandwntestqwntestq*Bartlett'speriodogram-basedwhitewntestbpreserve/*截面資料的殘差useB2_consume_cs.dta,tssetreg predicte,wntestbpreserve/*whitesetobsgenw=gent=tssetwntestb *PartII * quiregln_consum e/*yt- quipredicte2ife(sample),res *t檢驗，參考 quirege2L.e2 test *D-W'sh quiregln_consum estatdurbinalt /*h=(1-0.5d)*sqrt[T/(1-T*sc2)]*/ *Breusch-Godfrey檢驗 *采用stata自帶命令quireg bgodfrey,lag(2 /*檢驗統(tǒng)計量針對小樣本進行了調整*genL1e1=genL2e1= ceL1e1=0ifL1e1== ceL2e1=0ifL2e1==quirege1L1e1 localLM= /*seeGreene(2000,E,4th)chp13local =1-dis"LM="`LM' p-value="*Bootstrap 估計 *一些常用的處理方法: useB2_lutkepohl.dta, tssetregeregequirege*Newey穩(wěn)健型估計(White1980估計的擴展reg eststorenewey e,eststorenewey e,eststoreesttabolsnewey1newey2,b(%6.3f)se(%6.3f)mtitle(olsnewey1*GLS/FGLS**基本思路(pdf) prais e,corc/*noprais e,rho(dw)corceststore*Prais-Winsten(1954)估計(對第一期觀察值進行處理sqrt(1-prais prais e,rho(dw)eststore**step1:quireg quilocalrho=1-*step2轉換數(shù)據(jù)y*yrho*y(-gencons=globalindv"cons eforeachvarofvarlistgen`var'_1=`var'- *Cochrane-Orcutt(1949reg e_1cons_1 /*常數(shù)項也要轉換eststore*Prais*Transformthefirstquireg quilocalrho=1-foreachvarofvarlistrece`var'_1=sqrt(1-`rho'^2)*`var'in reg e_1cons_1,eststore*esttabCochCoch_handPraisPrais_hand,mtitles(CochCoch_handPrais*praisD.ln_consum **處理思路：二階準差分useB2_consum2,tssetquireg quipredicte,pac /*檢驗二階自相關regeL(1/2).e *獲得一階和二階相關系數(shù)：rho1 quiregeL1.eL2.e,nocons/*quiregeL(1/2).e,nocons localrho1= localrho2=*corrgrame,* /*常數(shù)項也要轉換 foreachvarofvarlistconst gen`var'_2=`var'-`rho1'*L.`var'-}*估計方法（舍棄前兩期觀察值rege_2const_2,eststore*估計方法2：Prais（對前兩期觀察值進行特殊處理*globalindv"const localrr=sqrt(1-foreachvarofvarlistlocaltempz1=(1+`rho2')*(`rr'^4-`rho1'^2)/(1- ce`var'_2=-sqrt(`tempz1')*`var'inlocaltempz2=`rho1'*`rr'/(1- ce`var'_2=`rr'*`var'-`tempz2'in}reg e_2const_2,eststore*esttabCorch2Prais2,mtitles(Corch2 *sysuse*model1:price=a0+a1*foreign+a2*length+*model2:weight=b0+b1*foreign+b2*length+sureg(priceforeignlength)(weightforeignregpriceforeignregweightforeign 評論：若SUE模型中各方程有相同的解釋變量，則系數(shù)估計等同于分別執(zhí)行*sureg(priceweight=foreignlength),smalldfk **globaleq_pricepriceforeignweightglobal foreignglobaleq_displdisplforeignweight*SURsureg($eq_price)($eq_mpg)($eq_displ) **sureg($eq_price)($eq_mpg)($eq_displ),*useinvest2.dta,sureg(invest1market1stock1)(invest2market2stock2)(invest3market3stock3)(invest4market4stock4)(invest5market5stock5),*sureg($eq_price)($eq_mpg)testtest[price]weight=test[#1]weight=[#2]weight,accum *sureg($eq_price)($eq_mpg)predictres_price, predictres_mpg, predictres_disp,equation(displacement)res *有限制的 constr