# Shared Flashcard Set

## Details

Stata Commands
Stata commands used in Econometrics
37
Economics
12/08/2011

Term
 defines index t
Definition
 gen t=_n
Term
 defines index t as time series
Definition
 tsset t
Term
 defines data as panel data
Definition
 xtset code
Term
 create lagged variable
Definition
 gen a1=l.a
Term
 basic regression
Definition
 reg y x's
Term
 creates residuals
Definition
 predict e, resid
Term
 predicts yhats
Definition
 predict yhat, xb
Term
 variance inflation factor (for multicollinearity)
Definition
 estat vif
Term
 nonlinear model. Use y=ax^b
Definition
 nl(y={a}*{x}^{b})
Term
 test for normality
Definition
 sum e, detailsktest e
Term
 correct standard errors for heteroskedasticity
Definition
 reg y x's, robust
Term
 Breusch-Pagan Test
Definition
 estat hettest x's, iid or fstat
Term
 White Test
Definition
 estat imtest, white
Term
 Modified White Test
Definition
 estat hettest yhat yhat^2, iid
Term
 MLE estimation, fixing for heteroskedasticity
Definition
 gen le2=ln(e*e)reg le2 x'spredict le2hat, xbgen sigt=(exp(le2hat))^.5vwls y x's, sd (sigt)
Term
 correlogram
Definition
 ac resid, lags(#)# is time period, like 12
Term
 correct standard errors for autocorrelation
Definition
 newey y x's, lags(#)#=.75(n)^(1/3)
Term
 Durbin Watson
Definition
 estat dwatson
Term
 Runs test
Definition
 estat runs e
Term
 Wooldridge
Definition
 reg e e1
Term
 Autoregressive models check for autocorrelation
Definition
 estat durbinaltestat bgodfrey
Term
 MLE estimation, fixing for autocorrelation
Definition
 prais y x's (corc) (twostep)xtserial for panel data
Term
 Probit
Definition
 probit y x's
Term
 Logit
Definition
 logit y x's
Term
 marginal effects
Definition
 margins, dydx(*) atmeans
Term
 prediction matrices
Definition
 estat class, cutoff(#)
Term
 heteroskedastic probit
Definition
 hetprob y x's, het(x)
Term
 instrumental variables probit
Definition
 ivprobit y (x1=z1) x2 x3
Term
 instrumental variables 2 stage least squares
Definition
 ivregress 2sls y (x1=z1) x2 x3, (first)
Term
 test for significance of overidentification in structural equations
Definition
 estat overid
Term
 stores iv/probit/OLS results
Definition
 estimates store IV/PROB/OLS
Term
 hausman test
Definition
 hausman IV OLSany combination will work here
Term
 GLS for panel data
Definition
 xtset firm_idextgls y x's, (panel(hetero/correlated))
Term
 fixed effects
Definition
 xtreg y x's, fe
Term
 random effects
Definition
 xtreg y x's, re
Term
 between effects
Definition
 xtreg y x's, be
Term
 possible fix for normal (laplace)
Definition
 qreg y x's
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