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Microeconometrics Using Stata


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Table of Contents

Stata Basics
Interactive use
Command syntax and operators
Do-files and log files
Scalars and matrices
Using results from Stata commands
Global and local macros
Looping commands
Some useful commands
Template do-file
User-written commands

Data Management and Graphics
Types of data
Inputting data
Data management
Manipulating datasets
Graphical display of data

Linear Regression Basics
Data and data summary
Regression in levels and logs
Basic regression analysis
Specification analysis
Sampling weights
OLS using Mata

Pseudorandom-number generators: Introduction
Distribution of the sample mean
Pseudorandom-number generators: Further details
Computing integrals
Simulation for regression: Introduction

GLS Regression
GLS and FGLS regression
Modeling heteroskedastic data
System of linear regressions
Survey data: Weighting, clustering, and stratification

Linear Instrumental-Variables Regression
IV estimation
IV example
Weak instruments
Better inference with weak instruments
3SLS systems estimation

Quantile Regression
QR for medical expenditures data
QR for generated heteroskedastic data
QR for count data

Linear Panel-Data Models: Basics
Panel-data methods overview
Panel-data summary
Pooled or population-averaged estimators
Within estimator
Between estimator
RE estimator
Comparison of estimators
First-difference estimator
Long panels
Panel-data management

Linear Panel-Data Models: Extensions
Panel IV estimation
Hausman-Taylor estimator
Arellano-Bond estimator
Mixed linear models
Clustered data

Nonlinear Regression Methods
Nonlinear example: Doctor visits
Nonlinear regression methods
Different estimates of the VCE
Marginal effects
Model diagnostics

Nonlinear Optimization Methods
Newton-Raphson method
Gradient methods
The ml command: lf method
Checking the program
The ml command: d0, d1, d2, lf0, lf1, and lf2 methods
The Mata optimize() function
Generalized method of moments

Testing Methods
Critical values and p-values
Wald tests and confidence intervals
Likelihood-ratio tests
Lagrange multiplier test (or score test)
Test size and power
Specification tests

Bootstrap Methods
Bootstrap methods
Bootstrap pairs using the vce(bootstrap) option
Bootstrap pairs using the bootstrap command
Bootstraps with asymptotic refinement
Bootstrap pairs using bsample and simulate
Alternative resampling schemes
The jackknife

Binary Outcome Models
Some parametric models
Hypothesis and specification tests
Goodness of fit and prediction
Marginal effects
Endogenous regressors
Grouped data

Multinomial Models
Multinomial models overview
Multinomial example: Choice of fishing mode
Multinomial logit model
Conditional logit model
Nested logit model
Multinomial probit model
Random-parameters logit
Ordered outcome models
Multivariate outcomes

Tobit and Selection Models
Tobit model
Tobit model example
Tobit for lognormal data
Two-part model in logs
Selection model
Prediction from models with outcome in logs

Count-Data Models
Features of count data
Empirical example 1
Empirical example 2
Models with endogenous regressors

Nonlinear Panel Models
Nonlinear panel-data overview
Nonlinear panel-data example
Binary outcome models
Tobit model
Count-data models

Appendix A: Programming in Stata
Appendix B: Mata



Author Index
Subject Index

Stata resources and Exercises appear at the end of each chapter.

About the Author

University of California, California, USA Indiana University, Bloomington, Indiana, USA

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