INTRODUCTION TO APPLIED ECONOMETRICS ANALYSIS USING STATA
JUSTIN DORAN, JANE BOURKE & ANN KIRBY
Published by NuBooks, an imprint of Oak Tree Press, Ireland.
www.oaktreepress.com / www.SuccessStore.com
© 2017 Justin Doran, Jane Bourke & Ann Kirby
A catalogue record of this book is available from the British Library.
ISBN 978 1 84621 190 4 (PDF)
ISBN 978 1 84621 191 1 (ePub)
ISBN 978 1 84621 192 8 (Kindle)
Cover image: Copyright reamolko / 123RF Stock Photo
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CONTENTS
1INTRODUCTION
2THE CLASSICAL LINEAR REGRESSION MODEL
3GOODNESS OF FIT – F-TESTS AND R2
4HYPOTHESIS TESTING OF INDIVIDUAL COEFFECIENTS – T-TESTS
5AN OVERVIEW OF A COMPLETE REGRESSION ANALYSIS – ESTIMATION, F-TEST, R2, AND T-TEST
6BINARY INDEPENDENT MODELS
7MULTICOLLINEARITY
8HETEROSCEDASTICITY
9AUTOCORRELATION
10STATIONARITY
11BINARY DEPENDENT VARIABLES
REFERENCES
APPENDICES
1F-TABLES
2T-TABLES
3US ACS 2014 CODE
4A PRIMER ON STATA
THE AUTHORS
OAK TREE PRESS
1: INTRODUCTION
Applied econometric analysis is used across many disciplines and in many branches of economics, from studies of macroeconomic models such as the Solow or endogenous growth theory to microeconomic theories of consumer preference. Increasingly, data is becoming more readily available and software has become more powerful, enabling the analysis of numerous economic phenomenon. The aim of this ebook is to guide the student through applied econometric examples, using real world data. The focus is on using statistical software, in this case Stata, to perform analysis rather than on econometric theory.
The topics explored in this ebook are as follows: initially, the linear regression model is explored and concepts such as coefficients, F-tests and t-tests, and the R2 value are covered. Following from this, some of the most common problems that occur in regression analysis are explored, including the following breaches of the assumptions of the classical linear regression model: multicollinearity, heteroscedasticity and autocorrelation. Topics in time series analysis are also touched upon, including tests for stationarity. Finally, we consider binary dependent variables.
This text builds upon the Survey & Questionnaire Design: Collecting Primary Data to Answer Research Questions ebook by Kirby, Bourke & Doran (2016). In that ebook, the methods of primary data collection are discussed, as is how to develop a research question. This ebook builds upon this foundation by showing students how to apply econometric techniques to analyse data that they have collected themselves or sourced from secondary data sources.
The text uses the Stata software package. A primer for Stata is presented in Appendix 4 and the companion website (www.justindoran.ie/ebook.html) contains: