INTRODUCTORY ECONOMETRICS – REPLICATING EXAMPLES

Chapter 5 – Examples

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      name:  SN
       log:  ~Wooldridge\intro-econx\iexample5.smcl
  log type:  smcl
 opened on:   6 Jan 2019, 23:50:42
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. * Solomon Negash - Replicating Examples
. * Wooldridge (2016). Introductory Econometrics: A Modern Approach. 6th ed.  
. * STATA Program, version 15.1. 

. * Chapter 5  - Multiple Regression Analysis: OLS Asymptotics 
. * Computer Exercises (Examples)
. ******************** SETUP *********************

*Example5.1. N/A
.   
*Example5.2. Birth weight equaiton, Standar Errors.
. u bwght.dta, clear
. egen id=seq()
. sum id
    Variable |        Obs        Mean    Std. Dev.       Min        Max
-------------+---------------------------------------------------------
          id |      1,388       694.5    400.8254          1       1388

. eststo: qui reg lbwght cigs lfaminc if id<=694
(est1 stored)
. eststo: qui reg lbwght cigs lfaminc
(est2 stored)
. estout *, cells(b(star fmt(3)) se(par fmt(5))) stats(r2_a N, fmt(%9.3f %9.0g) label
> s(R-squared)) varlabels(_cons Constant)
--------------------------------------------
                     est1            est2   
                     b/se            b/se   
--------------------------------------------
cigs               -0.005***       -0.004***
                (0.00133)       (0.00086)   
lfaminc             0.019*          0.016** 
                (0.00819)       (0.00558)   
Constant            4.706***        4.719***
                (0.02705)       (0.01824)   
--------------------------------------------
R-squared           0.027           0.024   
N                     694            1388   
--------------------------------------------
. est clear

*Problem5.3 Economic model of crime
. u crime1.dta, clear
. *Test using F-statistic
. reg narr86 pcnv avgsen tottime ptime86 qemp86

      Source |       SS           df       MS      Number of obs   =     2,725
-------------+----------------------------------   F(5, 2719)      =     24.29
       Model |  85.9532425         5  17.1906485   Prob > F        =    0.0000
    Residual |  1924.39391     2,719  .707757967   R-squared       =    0.0428
-------------+----------------------------------   Adj R-squared   =    0.0410
       Total |  2010.34716     2,724  .738012906   Root MSE        =    .84128
------------------------------------------------------------------------------
      narr86 |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        pcnv |  -.1512246    .040855    -3.70   0.000    -.2313346   -.0711145
      avgsen |  -.0070487   .0124122    -0.57   0.570     -.031387    .0172897
     tottime |   .0120953   .0095768     1.26   0.207    -.0066833     .030874
     ptime86 |  -.0392585   .0089166    -4.40   0.000    -.0567425   -.0217745
      qemp86 |  -.1030909   .0103972    -9.92   0.000    -.1234782   -.0827037
       _cons |   .7060607   .0331524    21.30   0.000     .6410542    .7710671
------------------------------------------------------------------------------
. test avgsen tottime 
 ( 1)  avgsen = 0
 ( 2)  tottime = 0
       F(  2,  2719) =    2.03
            Prob > F =    0.1310

. *Test using LM statistic
. reg narr86 pcnv ptime86 qemp86 
      Source |       SS           df       MS      Number of obs   =     2,725
-------------+----------------------------------   F(3, 2721)      =     39.10
       Model |  83.0741941         3   27.691398   Prob > F        =    0.0000
    Residual |  1927.27296     2,721  .708295833   R-squared       =    0.0413
-------------+----------------------------------   Adj R-squared   =    0.0403
       Total |  2010.34716     2,724  .738012906   Root MSE        =     .8416
------------------------------------------------------------------------------
      narr86 |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        pcnv |  -.1499274   .0408653    -3.67   0.000    -.2300576   -.0697973
     ptime86 |  -.0344199    .008591    -4.01   0.000    -.0512655   -.0175744
      qemp86 |   -.104113   .0103877   -10.02   0.000    -.1244816   -.0837445
       _cons |   .7117715   .0330066    21.56   0.000      .647051     .776492
------------------------------------------------------------------------------

. predict ur, residual //residuals from the restricted model
. reg ur pcnv avgsen tottime ptime86 qemp86
      Source |       SS           df       MS      Number of obs   =     2,725
-------------+----------------------------------   F(5, 2719)      =      0.81
       Model |  2.87904835         5  .575809669   Prob > F        =    0.5398
    Residual |  1924.39392     2,719  .707757969   R-squared       =    0.0015
-------------+----------------------------------   Adj R-squared   =   -0.0003
       Total |  1927.27297     2,724  .707515773   Root MSE        =    .84128
------------------------------------------------------------------------------
          ur |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        pcnv |  -.0012971    .040855    -0.03   0.975    -.0814072    .0788129
      avgsen |  -.0070487   .0124122    -0.57   0.570     -.031387    .0172897
     tottime |   .0120953   .0095768     1.26   0.207    -.0066833     .030874
     ptime86 |  -.0048386   .0089166    -0.54   0.587    -.0223226    .0126454
      qemp86 |   .0010221   .0103972     0.10   0.922    -.0193652    .0214093
       _cons |  -.0057108   .0331524    -0.17   0.863    -.0707173    .0592956
------------------------------------------------------------------------------

. display as text "N * R-quared = " as result 2725*0.0015
N * R-squared = 4.0875

. log close
      name:  SN
       log:  ~Wooldridge\intro-econx\iexample5.smcl
  log type:  smcl
 closed on:   6 Jan 2019, 23:50:42
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