Stata

E-mail: [email protected]

, 2000
c

. .

In theory, theory and practice are the same. In practice, they are not.
,  ,
.

(
/ ...)

2.1

7
11

. . . . . . . . . . . . . . . . . . . . . . . .

2.2

2.3

2.4

11

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

15

2.2.1

. . . . . . . . . . . . . . . . . . . . .

15

2.2.2

. . . . . . . . . . . . . . . . . . . . .

17

2.2.3

. . . . . . . . . . . . . . . . . . .

18

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

20

2.3.1

. . . . . . . . . . . . . . . . . . . . . . . . . . . . .

20

2.3.2

. . . . . . . . . . . . . . . . . . . . . .

20

2.3.3

. . . . . . . . . . . . . . . . . . . . .

22

2.3.4

. . . . . . . . . . . . . . . . . . . .

25

2.3.5

. . . . . . . . . . . . . . . . . . . . . . . . .

26

2.3.6

* . . . . . . . . . . . . . . . . . . . . . . . .

30

2.3.7

. . . . . . . . . . .

33

. . . . . . . . . . . . . . . . . . . . . . . . .

34

2.4.1

: . . . . . . . . .

34

2.4.2

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

37

2.4.3

. . . . . . . . .

38

2.4.4

. . . . . . . . . . . . . . . . . . . . . . . . . . .

42

2.5

2.6

2.4.5

. . . . . . . . . . . . . . . . . . .

45

2.4.6

. . . . . . . . . . . . . . . . . . . . . . . . . .

46

. . . . . . . . . . . . . . . . . . . . . . . . . . . . .

50

2.5.1

. . . . . . . . . . . . . . . . . . . . . .

51

2.5.2

. . . . . . . . . . . . . . . . . . . . . . .

54

. . . . . . . . . . . . . . . . . . . . . . . . . .

59

2.6.1

. . . . . . . . . . .

60

2.6.2

. . . . . . . . . . . . . . . . . .

62

2.6.3

. . . . . . . . . . . . . .

62

2.6.4

. . . . . . . . . . . . . . . . . . . . . . . . .

65

2.6.5

. . . . . . . . . . . . . . . . . . . . .

66

Stata

70

3.1

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

71

3.2

Stata . . . . . . . . . . . . . . . . . . . . . . . .

72

3.3

Stata . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

73

3.4

Stata . . . . . . . . . . . . . . . . . . . . . . . . . . . .

75

3.5

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

76

3.6

. . . . . . . . . . . . . . . . . . . . . . . . . . . .

77

3.7

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

77

3.8

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

79

3.9

. . . . . . . . . . . . . . . . . . . . . .

82

3.10

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

85

3.11 . . . . . . . . . . . . . . . . . . . . . . . . . . . .

85

3.12

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

86

3.13 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

87

3.14 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

90

3.15 . . . . . . . . . . . . . . . . . . . . . . . . . . .

92

3.16 Internet- Stata . . . . . . . . . . . . . . . . . . . . . . . . . . .

93

3.17 Stata . . . . . . . . . . . . . . . . . . . . . . . .

95

3.18 . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

96

3.19 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

98

3.20 ? . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

99

101

106

107

110

 , 2000 .
()


( http://www.nes.ru/english/outreach/outreach.htm ).

. , , ,
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.
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Stata (StataCorp. 1999, 2001, Kolenikov forthcoming).
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( http://www.cpc.unc.edu/rlms/ ).
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http://www.stata.com/stata7

, , , , , ( ), 1999-2001.
E-mail:

[email protected], [email protected], [email protected]

10

 2

2.1

,
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E[y|x] = f (x).

(2.1)

, -

(, )
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15

yi = xTi + i ,

(2.2)

i = 1, . . . , n

yi  , xi  , xi IRp , 
, i  , i  n  .
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(2.3)

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y = (y1 , . . . , yN )T , = (1 , . . . , N )T , X , xi , i = 1, . . . , n, 
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(2.7)

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i N (0, 2 )
16

(2.10)

2.2.2

(, , , )
:

= arg min

N
X

yi xTi

i=1

2

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= (XT X)1 XT y

(2.12)

(fitted values) yi = xT (residuals) ei = yi yi , i = 1, . . . , n.

i

Stata

Stata, ,
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tutorial regress .

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(2.2)(2.9), (2.10).
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Var = 2 (XT X)1

(2.13)

2 :

A > B,

(A B)

17

2:
n

1 X 2
s =
e,
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(2.14)

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(2.15)

(, , ,
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2.2.3

.
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vs. Ha : C 6= r,

(2.16)

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, H0 q .
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F =

(SSER SSEU )/q

(C r)T (C(XT X)1 C T )1 (C r)/q
=
,
SSEU /(n p)
SSEU /(n p)
18

(2.17)

 SSER =sum of squared errors of the restricted model 

(.. , H0 ), SSEU =sum of squared errors
of the unrestricted model  .
F - () F (q, n p).
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k = k vs. Ha : k 6= k t- 3
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(0)

tk =

(0)
k k
t(n p)|H0 ,
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(2.18)

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19

t2 (n p) = F (1, n p)

Stata

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( ) . ,
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(2.5), , ,
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(2.9) ,
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20

 (2.8)
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plim XT X = M > 0pp
n n

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E[|x] 6= 0

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,  (measurement error models), , (simultaneous equations,

. 2.6.2).
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21

, ,  , . ( ) -, IV-, ,
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2.3.3

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22

 - . , ,
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= Var

(2.25)

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= (XT 1 X)1 XT 1 y

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(2.27)

 

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(2.28)

. , , , . , , , 2.3.4
2.6.1.
, (2.7) ( (2.6)), ,
23

 . , - (Goldfeld-Quandt) , - (BreuschPagan) 
, , (1997).
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regress :
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ln e2i = z T + i
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n i=1 i
n i=1
24


  (sandwich estimator), .   (Huber),
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, - , 2. , 0 4, 25

. , ,

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l=k

|l|
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2.3.5

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26

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, , , Stata factor . . . ,

pc, pc , (principal components).

5 .

27

  .
max /min 
XT X,  (condition number).
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VIF(j ) =

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4 , Rj2 ' 0.75.
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, 0/1, 6 , ,

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, : VIF , 
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28

7 : ,
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29

t-

2 + Var()

= arg min E( )2 = ( )
B

(2.34)

B  , y .
XT X , 
  , Ip ,

Ip  p. :

1 T
ridge = XT X + Ip
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(2.35)

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Stata, 6- Stata. , webseek

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30

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32

z = y xT .

510% H0 : i N (0, 2 ). , ,
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33


.
Stata

- boxcox . boxcox . . . ,

graph . predict . . . , tyhat

boxcox . . . , generate . , , ,

y () = XT + ,

(2.40)

regress .
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2.4

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2.4.1

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34

 , , ,
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35

 R2 , , 2
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,
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10 , , ,
, . , . ., .,
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36

2 , (http://ideas.uqam.ca ), R2 , Radj

, ,
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2.4.2

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11 , ; ,
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37

 , (, y = a + bx2 + , y =

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2.4.3

, - , : ,
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+: regular points

*: outlier
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39

y = X = X(XT X)1 XT y Hy

(2.46)

H X yi
Pn
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i- hi hii (. hat value,

). ,

1/n hi 1, p/n, hi  ,
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hat-values predict . . . , hat ,

regress .

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ei
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1 hi , Var ei |H0 = (1 hi ) 2 . ei
N p 1 .
.

Draper, Smith (1998), Fox (1997), Smith and Young (2001).

13 , jack-knife,

. ,
, (1988).

40

t- y = XT + Di + i , Di 
, i- .
C   D-
(. Cook's distance):

Di =

e2i hi
p 1 hi

(2.48)

D- ,
- .   Di >

4
.
N p

k DF BET Ak,i :

DF BET Ak,i

(i)
k k
,
=
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(2.49)

(i) , i- .
,
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, :
r
hii

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1 hii

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hii ,
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. DF F IT Si i- 2 p/n,
, , .
Stata

predict . . . , rstudent
regress . D- predict . . . ,

cooksd , DF BET A  predict . . . , dfbeta( ) dfbeta , DF F IT S  predict . . . , dfits .

41

2.4.4

. ,  .
Stata

Stata graph , .
. . 3.14.

, , .
,  ( , ), . .

Stata

summarize .
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skewness-kurthosis test.

...

14

14 , , ,

42

( )

Stata

. . . predict . . . , residuals regress .

. . , , , ,
, ,
.

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43

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y = X(k)T (k) + (k)

(2.51)

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(2.52)

(k) k - . (. added
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, , .

/
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hettest ovtest .

( ) :

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(2.53)

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, - 
.
44

2.4.5

F - (2.16).
()
. , , , .
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X


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query  . 3.15.

45

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46

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.
, .

, .. ,
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. . . correlate . . .

,
Stata

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. , MCAR .

. -
.
, ,
.


,  (imputation): 47


- , , .
- ,

.
Stata

, Stata  . : impute
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)
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,
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Stata

hotdeck ,
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,  
(multiple imputation),
70- Rubin (1978). ,
, , 48

 ,
.
(within variance) (between variance).
;
 .
, MAR.
Stata

Stata, ,
, .

, . , , Y = (Ymiss , Yobs ),
Yobs  , Ymiss  , , .
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I(yij ) g(R|Y, )

15

, -

Z
L(, |Yobs , R) = f (Yobs , Ymiss |)g(R|Yobs , Ymiss , )dYmiss

(2.56)

, , .
15 ,

49

 EM-, (
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, "- "?  ,
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50

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Stata

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regdiag diagplots .

2.5.1

.
Stata

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(
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tutorial regress tutorial aboutreg .

51

 2.1:



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regress

H0 : Et t1 = 0

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4

vif

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regress

F, 2

ovtest

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avplot ;

52

rvfplot ;

cprplot



Stata

summarize ;

sktest ;

graph

, -

norm ;

kdensity ;

qnorm

regress

predict,

cooksd ;

,
-

(,
)

D-

DF F IT S ,

predict,

DF BET A

dfit ;
predict,
dfbeta

rvfplot

hausman

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( H0 ),

Ha )

),

( H0 )

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53

2.5.2

 
.
1 tutorial

aboutreg. , , , , Stata
:

. use auto, clear

. regress price mpg foreign weight
Stata :
2.2: Stata

Source |
SS
df
MS
---------+-----------------------------Model |
317252881
3
105750960
Residual |
317812515
70 4540178.78
---------+-----------------------------Total |
635065396
73 8699525.97

Number of obs
F( 3,
70)
Prob > F
R-squared
Adj R-squared
Root MSE

=
=
=
=
=
=

74
23.29
0.0000
0.4996
0.4781
2130.8

-----------------------------------------------------------------------------price |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
---------+-------------------------------------------------------------------mpg |
21.8536
74.22114
0.294
0.769
-126.1758
169.883
weight |
3.464706
.630749
5.493
0.000
2.206717
4.722695
foreign |
3673.06
683.9783
5.370
0.000
2308.909
5037.212
_cons | -5853.696
3376.987
-1.733
0.087
-12588.88
881.4931
------------------------------------------------------------------------------

 (
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54

2
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59

2.6.1

,
.  .

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1993, Baltagi 1995). , :

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t. xtreg : (. fixed
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 xtregar .

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60

; ). , ,
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 svy . ,
( svyset svydes ). svy , cluster() ,
Stata, , .. -

61

 regress .
(. help weights ),
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2.6.2

,
, .
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, , , - . 0/1
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62

, ( ),
() .

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(2.59)

[0, 1],
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 :

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1
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 ,
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63

 ,
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F (z) = 1 exp[ exp(z)]

Stata

(2.61)

Stata probit , logit

cloglog .

. ,
:

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1

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n
X

i=1

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(2.64)

.
Stata

Stata
(Gould, Sribney 1999). ml.

- -
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64

Lagrange multiplier test, score test). 2 , (,

1998, Greene 1997).
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10% ( p = 0.05 0.1). , ()
, .

p = 0.5.
Stata

Stata qreg . qreg . . . ,

65

quantile() , p
.

,
(. (2.11)):
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X

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i=1

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i=1

Wni  , x.
:

n
X

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i ))2 min
m(x)

i=1

Stata

(2.68)

,  lowess (locally weighted smoothing) (Fox 1997, 1993).

Stata ksm ksm . . . , lowess .

(local regression)  (rolling
regression). .
66

    . , , ; , .
( 1993):

Wni (x) = Khn (x xi )/fhn (x)

n
X
1

fhn (x) = n
Khn (x xi )

(2.69)

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K(u/hn )
Z n
K(u)du = 1

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i=1

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15
: K(u) =
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16
1
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2
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1
() : K(u) = exp[u2 /2]
2

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67


. hn , , ,
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, ,
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n4/9 (. . , ),
n1/9 .
Stata

kernreg ,
STB-30. (
, , , , , , ), , ,
.

kdensity , STB,
Stata.

. ,
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68

 . 2.3.

69

 3
Stata
Stata (StataCorp. 1999, 2001) : , , ,
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1999 . , 2000 .  .
Stata :

( ,
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70


(Windows, Macintosh, UNIX).
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( Stata LATEX),
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Harvard Graphics PowerPoint.
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(, regress reg, regress). [ ]
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: [ 1 | 2 ]. ,

describe [ | using ] :

d
describe
71

describe x1 x2 x3
d using source
desc using source.dta
Stata .
Stata: [R] ,
(Reference); [U] 3
A brief description of Stata

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3 User's Guide ( Stata 6)  Stata

(, Stata ); [G] twoway 
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3.2

: Stata

Stata c:/stata,
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(
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Stata  Stata Technical Bulletin, STB,
Internet; ,
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help limits). :
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, Stata. 10 , : set memory 10m . -

72

 : wstata /k 10240 . 2047,

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), .

set matsize
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10.  800. , Stata .

Stata , 1 ,
 (, , ). ( Windows) wstata /b do

.
Stata exit .
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3.3

, , : Stata

Stata (. 3.3) ,
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Stata : (Stata Command),
(Stata Results), , (Review), (Variables), (Help),
(Graph), -, log- (Log; 7- Viewer). (Stata Browser)
1 . 3.13.

73

74
. 3.1: Stata.

 (Stata Editor), (Stata Do-file Editor). ,

,

Windows

Stata Command Windows (, , ).

, PgUp PgDn,
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Prefs

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weights; ). ,
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. : [U] 14 Language syntax

75

3.5

Windows- Stata

Help

Durbin Watson statistic

Stata Command

Search

( , ,

( Stata).

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help whelp.
Stata:

http://www.stata.com/info/capabilities/

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Help/Contents

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.hlp 3 .
Stata  - (,
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Stata, , Stata, Stata,
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tutorials and sample datasets .
2 , ,  ,
.

3 Windows , Stata,

Stata (Explorer) Windows .

76

3.6

Stata . [if ] [in ].

, if  , > (""), < (""), >= (" "), <=
(" "), == ("", , ), ! = = (" "); & (""), |
(""), ! (""), _n _N,
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(. generate, . 79)
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3.7

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, , ,
. Stata
( infile; infix; insheet; . help dictionary [U] 24 Commands to input data ),

(Excel, SAS, SPSS, Statistica

..) (
, , ), . Professional Stata Windows- StatTransfer ( http://www.stattransfer.com ),
.
 DBMS/COPY.
Stata
File, .
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77

 . use . . . , clear ,
, . (, , Windows ) ,
use using [if ] [in ],
/ ,
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.

save , [replace old]

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old Stata 6.
merge using , [nokeep ]
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sort sort . mmerge (Wessie 1999), (.

3.17). nokeep , ,
using data.

append using
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78

3.8

, , :

Stata . 
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; . [U] data types ,

help datatypes.
generate

[] = [if

] [in

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1  0  ),
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byte nonmissx=x<. nonmiss byte (.. ), 1, x

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] [in

],

[by( )]
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[R] egen help egen .

xi
xi: Stata
(0/1) , ,
. , -

79

 , ..
.

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replace = [if

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rename
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80

reshape
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81

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82

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83

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84

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85

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for [: for . . . ]: Stata X [Y] [

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