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Definition
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| defines index t as time series |
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Definition
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| defines data as panel data |
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Definition
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Definition
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Definition
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| variance inflation factor (for multicollinearity) |
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Definition
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| nonlinear model. Use y=ax^b |
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| correct standard errors for heteroskedasticity |
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| estat hettest x's, iid or fstat |
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| estat hettest yhat yhat^2, iid |
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| MLE estimation, fixing for heteroskedasticity |
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Definition
gen le2=ln(e*e)
reg le2 x's
predict le2hat, xb
gen sigt=(exp(le2hat))^.5
vwls y x's, sd (sigt) |
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Definition
ac resid, lags(#)
# is time period, like 12 |
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| correct standard errors for autocorrelation |
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Definition
newey y x's, lags(#)
#=.75(n)^(1/3) |
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| Autoregressive models check for autocorrelation |
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Definition
estat durbinalt
estat bgodfrey |
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| MLE estimation, fixing for autocorrelation |
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Definition
prais y x's (corc) (twostep)
xtserial for panel data |
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| instrumental variables probit |
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| instrumental variables 2 stage least squares |
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Definition
| ivregress 2sls y (x1=z1) x2 x3, (first) |
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| test for significance of overidentification in structural equations |
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Definition
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| stores iv/probit/OLS results |
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Definition
| estimates store IV/PROB/OLS |
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Definition
hausman IV OLS
any combination will work here |
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Definition
xtset firm_ide
xtgls y x's, (panel(hetero/correlated)) |
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| possible fix for normal (laplace) |
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