Stata

E-mail: skolenikov@cefir.ru

, 20002003
c . .

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

(
/ ...)

2.1
2.2

2.3

2.4

2.5

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2.2.1 . . . . . . . . . . . .
2.2.2 . . . . . . . . . . . .
2.2.3 . . . . . . . . . .

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2.3.1 . . . . . . . . . . . . . . . . . . . .
2.3.2 . . . . . . . . . . . . .
2.3.3 . . . . . . . . . . . .
2.3.4 . . . . . . . . . . .
2.3.5
2.3.6 . . . . . . . . . . . . . . . .
2.3.7 . . . . . . . . . . . . . . . . . .
2.3.8 . .
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2.4.1 :
2.4.2 . . . . . . . . . . . . . . . . . . . . . .
2.4.3
2.4.4 . . . . . . . . . . . . . . . . . .
2.4.5 . . . . . . . . . .
2.4.6 . . . . . . . . . . . . . . . . .
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2.6

2.7

2.8

2.5.1 . . . . . . . . . . . . . .
2.5.2 . . . . . . . . . . . . . . .

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2.6.1 . . . . . . . . . . .
2.6.2
2.6.3 . . . . . . . . . . .
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2.7.1 . . . . . . . . . .
2.7.2 . . . . . . . . . . . . .
2.7.3 . . . . . . . . . . . . . . . . . .
2.7.4 . . . . . . . .
2.7.5 . . . . . . . . . . . . . . . . . . . .
2.7.6
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2.8.1 . . . . . . . . . .
2.8.2 . . . . . . . . . . . . . . . . .
2.8.3 . . . . . . . . . . . . .

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Stata

3.1
3.2
3.3
3.4
3.5
3.6
3.7
3.8
3.9
3.10
3.11
3.12
3.13
3.14
3.15
3.16

83

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Internet- Stata . . . . .

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84
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3.17
3.18
3.19
3.20

Stata
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108
109
111
112

114

119

120

122

 , 2000 .
()


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

(, ), 2003 . Stata 7 Stata 8. ,
Special Edition, .
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1 .
Stata (StataCorp.
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1999, 2001, Kolenikov 2001).

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LATEX; ; Stata Corporation ;
, Paragon .
   
, N HBC 807, 808.
, , , , , ( ), 1999-2003.
E-mail: skolenik@cefir.ru, skolenik@unc.edu

 2

2.1

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12

2.2

2.2.1

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(. 1984):
(2.1)

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i = 1, . . . , n

(2.2)

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(2.3)

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y = (y1 , . . . , yN )T , = (1 , . . . , N )T , X , xi , i = 1, . . . , n, 
Xj , j = 1, . . . , p:

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13

 , (2.2) ( (2.3)), ( ) :
(2.5)

Ei = 0
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(2.6)

Ei j = 0 i 6= j

(2.7)

rk X = p < n

(2.8)

Xj

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2.2.2

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N
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2

(2.11)

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= (XT X)1 XT y

(2.12)

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

Stata

Stata, ,
regress . regress
(. 2.4.3),
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xb  y . . regress
- tutorial regress .

14

 -:

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

(2.13)

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vs. Ha : C 6= r,

(2.16)

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(A B)

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15

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 C  qp ( rk C = q < p), r  q1.

, H0 q .
H0 : 2 = . . . = p = 0, ,
(.. ,  , y = y).
C = Ip1 , r = 0, q = p 1.
F -:

(SSER SSEU )/q

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

(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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2.3

Stata test ,
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2.3.1

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2.3.2

(2.9) ,
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, , .. , (2.5)(2.7) x.
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17

 (2.7) 5 . (2.8)
XT X:
1
plim XT X = M > 0pp
(2.21)
n n
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(2.22)

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18

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+ i

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19

, , .

= Var

(2.25)

(. GLS, generalized least squares)

:

= (XT 1 X)1 XT 1 y

(2.26)

-
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(2.6)(2.7),
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(2.27)

 

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(2.28)

. , , , . , , , 2.3.4, 2.3.5
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, , (1997).
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Stata (, Cook-Weisberg) hettest ,

regress :
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20

 z
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n i=1

!1

(2.29)

- (sandwich estimator), .
(Huber), 1960-.
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Stata , ,
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21

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, - , 2. , 0 4, . , ,

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Stata - dwstat ,
regress .

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22

(Newey, West 1987):

k 
X

l=k

|l|
1
k+1

1X
xil xTi
n i=1

!1

1X
ei eil xil xTi
n i=1

=
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!1

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xi xTil
n i=1

, (2.31)

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2.3.5

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23

 , , , . ,
PSU , (
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(2.32)

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2.3.6

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 svy . ,
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24

, , .
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8- Stata pca .
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6 .

25

  .
max /min 
XT X,  (condition number).
: 10 100 , 1000 ( ) 
.
, , (. variance inflation factor,
VIF; . Fox (1997), Smith and Young (2001)),

VIF(j ) =

1
,
1 Rj2

(2.33)

Rj2  Xj X (
Xj j - , .. j - X).
:

Var j =

1
2
1 Rj2 (n 1) Var Xj2

(2.34)

, , 7 . VIF
4 , Rj2 ' 0.75.
Stata

vif , regress .

, 0/1, 7 , ,

VIF

, : VIF , 
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26

8 : 9 ,
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= arg min E( )2 = ( )
B

(2.35)

B  , y .
8 , , :  , ,
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t-

9 , ,

27

1/2.

 XT X , 
  , Ip ,
Ip  p. :

1 T
ridge = XT X + Ip
X y
(2.36)
- ( . ridge  ;  . ,
, , , ; . (1981)).
shrinkage estimator, ,
-  .
, . ,
, (2.35) , , .. ,
.
Stata

2.3.7

- rxridge , Stata, STB-28.

Stata, 6- Stata. , webseek
rxridge .

, , 
(, , (2.10)). , , (  )
, ?
, ,
. , : ,
, ,
.
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,  , , , ..
28

 (, ,
) .
, 
, --
(signrank ranksum) t- .
(1984),
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 (Huber)

z 2 /2,
|z| < c
Huber
c
(z) =
(2.38)
2
c|z| c /2, |z| c
10

29

z = y xT .

 c > 0 , :
c , ; , , c 0,
.
(),  (Tukey):




c2 1 1 z
2 3 , |z| < c
6
c
(z) =
biweight
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c
c2
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c  . c
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Stata

rreg  
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 .

, , , - .
, : , H0 : i N (0, 2 ). , ,
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2.3.8

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=0

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1/n
y = ( i=1 yi )
 yi . 11 . ,
- , ,
11 H

, -

30

 , ,
(. 2.4.2)
, , ( ), (
). 1
CV = (Var X) 2 /EX .
, ( ,
, , ,
, . .). ,
- .
, , , -
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, .

.
Stata

- boxcox . boxcox . . . ,
graph . predict . . . , tyhat
boxcox . . . , generate . , , ,

y () = XT + ,

(2.41)

regress .
- boxcox2 ,
STB-54.

2.4

(2.5)(2.9), (2.2) , .

31

2.4.1

, , ,
, , . , , : , . ,
,
. ,
,
(. . ).
, ,
, . , , - , , , ,
.
, , ,
, , ,
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Stata

Stata sw
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sw regress depvar varlist, ,
varlist . , , .

, (goodness of
fit), R2 : , .. 1,
R2 , . ,
- R2 , 0,
, 1, . ,
, :

R2 , , ,
32

(, , , :
).

R2 : R2 1.
-R2
1, .
R2 (goodness of fit).  (
, Granger causality test (Handbook 1983, 1984, 1986, 1994)).
R2 , , 2
Radj
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2
Radj

eT e/n p
=1 T
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(2.42)

e  , y  () .
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(AIC, Akaike information criteria):

+ 2p,
AIC = 2 ln L()

(2.43)

 ( L()
), p  . 
AIC.
12 , , ,
, . , . ., .,
Konishi and Kitagawa (1996).

33

, (Schwarz Bayesian information criterion, SBIC,

BIC), p ln n, n  :

+ p ln n,
SBIC = 2 ln L()

(2.44)

,
.
Stata

2.4.2

, Stata , . , , fittest , SSC-IDEAS

2 , (http://ideas.uqam.ca ), R2 , Radj
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. , ,
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web- icomp 13 .

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ei =

K
X

k yik + i ,

(2.45)

k=1

yi  -, ei  ,
H0 : = 0.
13 , ; ,
, , ,
.
AIC SBIC  , ,
.
, .
!

34

Stata

Stata ovtest . Stata ( K = 4)

.

, (, y = a + bx2 + , y =
a sin x + , y = axb e ,   (, ,
) . ,
.
, ..
.

yi = f (xi , ) + i ,

(2.46)

f ()  ( y = a sin(bx + c) + , y = axb + ).
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least squares) , , .
Stata

2.4.3

Stata
nl. , , f () nl.

, - , : ,
, ,
? ,  ,
? ,
: (influential observations), (outliers)  , , .
, (, ), 
,
( 1997 .),
35

+: regular points

*: outlier
*

+
+
+
+

+
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+
+

.5

1.5

2.5

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,
(, , (. leverage) ), i . ,
, (. 2.4.3),
.
14 .
14 , , ,
.

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

36

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

(2.47)

H X yi
Pn
y. , hii = j=1 h2ij ,
i- hi hii (. hat value,
). ,
1/n hi 1, p/n, hi  ,
3p/n.
 ,
, , . , , , , , ,
.
i- , 15 :
ei
ei = (i)
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(2.48)
se 1 hi
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se  i- ,

1 hi , Var ei |H0 = (1 hi ) 2 . ei
N p 1 .
t- y = XT + Di + i , Di 
, i- .
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(. Cook's distance):

Di =

e2i hi
p 1 hi

(2.49)

D- ,
- .   Di > N 4p .
15 , jack-knife,

. ,
, ( 1988).

37

 k DF BET ASk,i :

DF BET ASk,i =

(i)
k k
,
d (i) )1/2
(Var

(2.50)

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

(2.51)
DF F IT Si = ei
1 hii
hii ,
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, p
. DF F IT Si i- 2 p/n,
, , .
Stata

2.4.4

hat-values predict . . . , hat , regress . predict . . . ,

rstudent regress . D- predict
. . . , cooksd , DF BET A  predict . . . , dfbeta( )
dfbeta , DF F IT S  predict . . . , dfits .

. ,  .
Stata

8- Stata graph , .
. . 3.14.

38

 , , .
,  ( , ), . .
Stata

summarize . , . . , graph  
hist   . ( kdensity ),
( qnorm ), (
diagplots ) ( histplot , SSE-IDEAS, : http://ideas.uqam.ca ).
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(, ,
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. . . 16
Stata

. . . predict . . . , residuals regress .

. . , , , ,
, ,
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. 2.2.
16 , , ,

( )

(, ).

39











. 2.2: ;
; ?
, , ()
, ,
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y = X(k)T (k) + (k)

(2.52)

Xk = X(k)T (k) + (k) ,

(2.53)

(k) k - . (. added
variable plot) (. partial regression plot).
(
- ), ,
.
Stata

avplot . ,
, , .

40

 /
(. . y,  e). ,
,
.
Stata

rvfplot  . residual versus fitted.

hettest ovtest .

( ) :
(2.54)

e(k) = e + k Xk

Stata

Stata  cprplot acprplot (. component plus residual).

, - 
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2.4.5

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(, , Ak  ), , ,

X


P k Ak
P Ak
(2.55)
k

P (k Ak ) 1

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(2.56)

(2.56) . , ,
41

, , (2.55) 1 . ,
 , P(Ak )
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 (Sheff
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 , Stata . , , set level . . . . 95 ().
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2.4.6

 ,
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42

 . , P(Xj | X)
Xj , (non-ignorable, not missing
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Stata

. . . correlate . . .

,
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(available case analysis). 

. , MCAR .

. -
.
43

 , ,
.


,  (imputation):
- , , .
- ,

.
Stata

, Stata  . : impute
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)
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,
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Stata

hotdeck ,
(Mander and Clayton 1999).

,  
(multiple imputation),
44

 70- Rubin (1978). ,

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

Stata, ,
, .

, . , , Y = (Ymiss , Yobs ),
Yobs  , Ymiss  , , .
,
.. , L(|Y ) = f (Y |).
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I(yij ) g(R|Y, ) 17 ,
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L(, |Yobs , R) = f (Yobs , Ymiss |)g(R|Yobs , Ymiss , )dYmiss
(2.57)

, , .
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17 ,

45

 ( ) . , EM-
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et. al. (1977), Little and Rubin (1987) ,
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regdiag diagplots .

46

2.5.1

.
Stata

Stata
(
), , regress ,
, , .
tutorial regress tutorial aboutreg .

2.1:



H0 : Et t1 = 0

DW

0 4,

2
:
 H0 : ln i = T zi
.
: F, 2

. -
max /min  1
VIF

- VIF > 4

( VIF > 2)

47

Stata

regress
dwstat

regress
hettest
regress
avplot ;
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regress
vif

RESET -


, -

,
-

(,

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( H0 ), ( Ha )
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F, 2

regress
ovtest

regress
avplot ;
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cprplot

0
, ;

summarize ;
sktest ;
graph
,
norm ;
kdensity ;
qnorm
regress
predict,
cooksd ;
predict,
dfit ;
predict,
dfbeta
avplot ;
rvfplot

c . .

48

hausman

2.5.2

 
18 .
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
------------------------------------------------------------------------------

 (
y , ,
, y ),  , ( , F -
2
H0 : , ; R2 Radj

18 7- Stata.
.

version 7 .

49

 ). , , t- H0 : k = 0
.
(, ovtest, hettest ) ,
.
, (fitted values). . 2.3 , ,
( ) ( kernreg, . 2.8.3). ,
, (2.45).
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. .
price
linear OLS regression

kernel regression

15000

10000

5000

0
0

5000
Fitted values / argument Xb

10000

, , (. . 2.53).
(. 2.4), , .
, .
, ,
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50

. 2.4: weight ( avplot weight).

FRHI

 VH

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 , .. - .
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. 2.7 , (leverage) .
D. . 2.4.3. , , . ,
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51

. 2.5: ( rvfplot, yline(0) ).



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. 2.6: ( rvfplot, c(s) bands(10) d(50) ).

5HVLGXDOV






)LWWHG YDOXHV

52



 (: predict . . . , cooksd
regress . . . , if . . . < . . . , . . . - ).
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&DG 6HY

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, , Stata . , tutorial regress , tutorial aboutreg
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53

. 2.8: (1)
(qnorm . . . ).

5HVLGXDOV






2.6

,QYHUVH 1RUPDO



, , , ,
; , ; (   ). ,
, 0/1 -. , ,
 ,  ,
 ,    (  ).  (ordered) :
,
 . ,
, 
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54

 (multinomial, polytomous 20 ) .
,
, .  (, ,
).
; , , ,
, .  ,
(0, , 1,
), .
.
2.6.1

, 0 1.
,
21 ? , ,
. , 0 1;
, ,
pi (1 pi ), pi = P[yi = 1|xi ]. , -
xi [0, 1], , ( ), . .
() .

(. . 1 ):

P(y = 1|x) = F (x)

(2.58)

P(y = 0|x) = 1 F (x)

F ()  , [0, 1].
, 
, (2.2),
20 polychotomous
. dichotomy (. ), , , polytomy:
 

21

55

linear probabilty model.

 F , , ,
, ( ).
(index function).
F ,

P(y = 1|x) = F (xT )

P(y = 0|x) = 1 F (xT )

(2.59)

F ,
.. 22 .
, 1,
, 0 . ,

yi = xTi + i

(2.60)

( i 
; , ,
, . . ), ,

yi =

1, yi 0
0, yi < 0

(2.61)

P(yi > 0) = P(xTi + i > 0) = P(i > xTi )

(2.62)

P(i < xTi ).

F ()  () :

(z) =

1
1 + exp(z)

(2.63)

22 , .

56

 - - ;
. , , , ,
2.7. , : supx(,+) |Flogit (x) FN (0,1) (x)| < 0.02,
. - ,  ,

, .
(Heckman sample selection
model), 2.6.3. , -

(goodness of fit).
- (. . F () ) : -

/ 3 1.6 , -,
.
, (Gomperz, , /gompit):

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

Stata

(2.64)

Stata probit , logit

cloglog .

. :

F (xTi ),
yi = 1
L(yi , xi , , F ) =
(2.65)
T
1 F (xi ), yi = 0

L(yi , xi , , F ) = F (xTi )yi (1 F (xTi ))1yi

(2.66)

( , )
:
n
X


ln L(y, X, , F ) =
yi ln F (xTi ) + (1 yi ) ln(1 F (xTi ))
(2.67)
i=1

57

 .
Stata

Stata ,
23 .
ml. , Stata, ()
, , , ,
; ,
, Stata.
(. . 21), , robust , .
( ) ml [R] ml
(Gould, Sribney 1999).

- -
(, 1973).
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)
,
,  (Wald test), ,
, (LM test, Lagrange multiplier test, score test), , ,
(
, ) ,
(
).
2 , (, 1998, Greene 1997).
,
23
Maddala (1983), ,
Stata.

58

 R2 , - -
. ,

R =1

n
P

(yi pi )2

i=1
n
P

(2.68)

(yi y)2

i=1

pi = F (xTi )  , 1,
. ,
, . - R2 , L ,
, L . R2 ,
2

R =1

L
L

 n2

(2.69)
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R2 =

L
L

 n2

2/n

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(2.70)

, . ,
20 , :
>
>
>
>
>

clear
set obs 200
set seed 98081
g x = uniform()
g y = x<0.5

 (0.5 x).
, ,
, :
. logit y x
outcome = x <= .4998181 predicts data perfectly
r(2000);

59

Stata , ,
, .  :
> replace y = 1 - y in 1

:
. logit y x
Iteration
Iteration
Iteration
Iteration
Iteration
Iteration
Iteration
Iteration
Iteration

0:
1:
2:
3:
4:
5:
6:
7:
8:

log
log
log
log
log
log
log
log
log

likelihood
likelihood
likelihood
likelihood
likelihood
likelihood
likelihood
likelihood
likelihood

=
=
=
=
=
=
=
=
=

-138.46939
-55.986442
-36.905004
-27.303153
-22.072819
-19.721858
-19.134351
-19.088901
-19.088548

Logit estimates

Number of obs
LR chi2(1)
Prob > chi2
Pseudo R2

Log likelihood = -19.088548

=
=
=
=

200
238.76
0.0000
0.8621

-----------------------------------------------------------------------------y |
Coef.
Std. Err.
z
P>|z|
[95% Conf. Interval]
-------------+---------------------------------------------------------------x | -41.79944
9.568822
-4.37
0.000
-60.55399
-23.04489
_cons |
20.59037
4.741358
4.34
0.000
11.29748
29.88326
-----------------------------------------------------------------------------note: 11 failures and 10 successes completely determined.

, , Stata 8 ,
24 . 21 0 1 ( double 1016 ).
24 , , , , , ,
. , ,
. Stata , , Stata
,
.

60

  , , , , , 1/2 (, , 0.493),
F () 40!
, 0 1 .
, , (
, 2 ).
(2.12),
; ( , ),
. ,
(. . , ).
.
,
 , .
(
, , . . (score),
. .) .
Stata

probit logit predict , regress . Stata  (Nelder,

McCullagh 1989, Hardin, Hilbe 2001) glm . , - glm . . . ,
f(b) l(p) ,  glm . . . , f(b) l(l) .
[R]
glm.

. (deviance residuals):
. glm y x , f(b) l(l)
Iteration
Iteration
Iteration
Iteration
Iteration

0:
1:
2:
3:
4:

log
log
log
log
log

likelihood
likelihood
likelihood
likelihood
likelihood

=
=
=
=
=

-48.623085
-19.440911
-19.128412
-19.088587
-19.088548

61

Iteration 5:

log likelihood = -19.088548

Generalized linear models

Optimization
: ML: Newton-Raphson
Deviance
Pearson

=
=

No. of obs
Residual df
Scale parameter
(1/df) Deviance
(1/df) Pearson

38.17709647
10118.00926

Variance function: V(u) = u*(1-u)

Link function
: g(u) = ln(u/(1-u))
Standard errors : OIM

[Bernoulli]
[Logit]

Log likelihood
BIC

AIC

= -19.08854823
= -1010.889742

=
200
=
198
=
1
= .1928136
= 51.10106

.2108855

-----------------------------------------------------------------------------y |
Coef.
Std. Err.
z
P>|z|
[95% Conf. Interval]
-------------+---------------------------------------------------------------x | -41.79945
9.569472
-4.37
0.000
-60.55527
-23.04363
_cons |
20.59037
4.741676
4.34
0.000
11.29686
29.88389
-----------------------------------------------------------------------------. predict devres, dev

, , logit, glm .
qnorm devres . 2.6.1. , . , . ( ) , 4.29  , ,
, !
-, . ,
10% , Stata,
. ,
0 1, .
 
(overdispersion). ,
( Var y = p(1p) = (1) , Var y = =
; = Ey ). ,
62

  .
. 2.6.1 , 0.01.
.
deviance residual

Inverse Normal

deviance residual

1.30795

4.2944
1.14159

1.11533
Inverse Normal

. 2.9: -: , .
 , . . , . - - (,
, ) , ,
, (.. ,
, ),
, . , -
,
,
.
Stata

- dprobit , - , probit ,

63

deviance residual

Inverse Normal

deviance residual

1.41481

4.2944
1.46656

1.41481
Inverse Normal

. 2.10: -: .
. Stata mfx ,
.

2.6.2

, () j = 1, . . . , m. (2.59),
:

pij = P(yi = j|xi ) G(xTi j ),

j = 1, . . . , m 1,
G(xT j )
pij = P(yi = j|xi ) =
,
Pm1i
1 + k=1 G(xTi k )
1
pim = P(yi = m|xi ) =
Pm1
1 + k=1 G(xTi k )

64

(2.71)
(2.72)
(2.73)

 yij = I( i- j - ),

L(y|x, ) =

n Y
m
Y

pijij

(2.74)

i=1 j=1

- , G(z) = exp(z), ..,

exp(xT j )
,
Pm1 i
1 + k=1 exp(xTi k )
1
= P(yi = m|xi ) =
Pm1
1 + k=1 exp(xTi k )

pij = P(yi = j|xi ) =

(2.75)

pim

(2.76)

-, .
- , ( ),
I / .
Stata

Stata,  mlogit .
,
(, ).

xi ,
j , / .
. (McFadden 1974):
, , ,
. ,
xijk  i j k . (conditional logit
model)25 :

exp(xTij )
P(yi = j|x, ) = Pm
T
l=1 exp(xil )
Stata

(2.77)

Stata  clogit .
 , . reshape , . 93.

25 .
2000 .

65

  . .

(nested logit model), ,
, ,
1.  ;
2. : 
.
Stata

nlogit .
, [R] nlogit .

, (      ),
j F (xT ), 1 < . . . <
m1 ( 0 = m = ).

yi = xTi + i

(2.78)

j1 < yi < j , j - yi . , P(yi = j|xi ),

, , , P(yi j|xi ).
Stata

2.6.3

,  ,
- oprobit ,
 -, ologit .

,
(. 2.4.6).
66


, NMAR.
(truncation)  , ,
(, ). N (, ) c,

.  
(
y
1

c
, y<c

c (y) = (y|y < c) =

(2.79)
0,
yc
()  , ()  .
(censoring) ,
, ( ) .
 ( , , , $1000 )
(survival time data 
, , , ).

y N (, )

y , y < c
y=
,
c, y c

(2.80)
(2.81)

 c 
Y 1  yi  Y 
L(, 2 |y) =

1
(2.82)

y <c
y =c
i

.
 ,
, . .
(2.80)

y = xT + i i N (0, 2 )

y , y < c
y=
c, y c
67

(2.83)
(2.84)

 . 1950- .
- (Tobit).
c = 0  , ,
(
).
Stata

Stata tobit . ll ul ,
.

yi ,  (, , ) yi (NMAR). ,


xT /
T


(2.85)
E(y|y > 0) = x +
xT /
, . . . (2.85), (
(inverse Mills ratio))  , , I(yi > 0) 
, .
1960-1970- . (
).
,  , . . i2 , .
, .
,
, (self-selection), ,
,  , ;
;
(reservation wage). ,
68

 ,
(
, , ).
1970- . . , . . , 2000 . ( )
.
(sample selection, self-selection),
, , ,
, w1 ,
x1 (, . .) w2 , x2  ,
, , , . ,
, y 
:

w1 = xT1 1 + 1 ,

(2.86)

xT2 2

(2.87)

w2 =
y=

+ 2 ,

w1 , w1 w2 ,
0, w1 < w2

(2.88)

, 

w1 = xT1 1 + 1 ,

(2.89)

y2 = I(xT 2 + 2 > 0),


w1 ,
y2 = 1,
y=
, y2 = 0

(2.90)
(2.91)

.
(2.86)(2.88) , 1 2 , x1 , x2 .
,
(2.90);

= (xT 2 )/(xT 2 )
69

(2.92)

 (2.89).
, . ,
, ,
.
, , ,
 (
) .
Stata

heckman . Stata , , ,
y2 = 0. heckman . . . , select(
. . . ). 
; .

/ (treatment regression; , ,
):

y = xT1 1 + z + 1 ,
z=

I(xT2 2

+ 2 > 0),

(2.93)
(2.94)

(, ,
) y , x1 .
/
x2 .
Stata

2.7

Stata, (2.93)(2.94), treatreg . ,  treatreg . . . , treat( . . . ).

(panel, longitudinal, . . , , )  ,
. , (,
70

 . .) (
, ).  T (, )
n (, , ). ,
(individual heterogeneity), , ,
.
:  ( )  . (Maddala
1993, Baltagi 1995). , , . . :

yit = xTit + ui + it

(2.95)

ui  , i, it 
, ui .
P

i ui = 0.
Stata

Stata xt, x,

t.
xtreg :
 xtreg . . . , fe ,  xtreg . . . , re ,
 xtreg . . . , mle .
  . reshape , . 93.

.
2.7.1

ui ,
, ui . 
:

yit yi = (xit xi )T + it i

(2.96)

P
zi : zi = 1/ni t zit . (within estimator). ui ,
. , , n .

71

 ( ) 
:

yit yi,t1 = (xit xi,t1 )T + it i,t1

(2.97)

, , , . ,
, . . , ,
, .
, , ui 
i- . , , n .
( . . Stata)
, (2.96), n ( n
).
, , ,
 ,
. ,
, .
.
2.7.2

, ui  .
, ,
( , , ), ,
ui it ( ),
.
, , Var ui = u2 , Var it =
2 , , Var

yit = xTit + it

(2.98)

- , 2 Ini +
u2 Jni , . . u2 + 2 u2 . 72

 . ,  (
nT , , ,
103 105 )
.
, , , . , ,
, (between estimator)

yi = xTi + ui + i

(2.99)

, , Baltagi (1995). 26 . ui it ,
, (
2 ) (
12 , 12 = 2 /T +u2 ).
2
,
u2
:

u2 =
12
2 /T

(2.100)

.
, u2 ,
( 2 /T ),
. Stata
u2 ,
, ,
(
u2  ).
  , .
2.7.3

,  , ,
. 
, ( ) . ,
26 Stata, , , .

73

 .  (. . 58), ,
.
u2 u2 = 0.
Stata

- ( ) xttest0 .
( , p-value) ,
.

27 . ,
,

E [uX] = 0

(2.101)

, / .
, - , ,
.
( ).
, .
Stata

xthausman . 8-
, . hausman .
xtivreg .

, , ,
. ,  , 89 ,
. , ,
27 .
, . 18.

74

- ( , , , . . ,
 , ),
,
. , , - 28 ,

.
: . , ,
. , ,
,
, . , , , ,
- ,
(, , ,
, , ), ,
, . . .
2.7.4

, ( )
. , ,
. , , -
. ,
, ui it .
28  . . ,
, ,
.

75

 T
ui , ,
ui ( )
. , . . ,
, , ui .

P
ui . -
t yit , - (2.77), ,

. , yit , .
- , -
.
ui , :

ln L =

n
X
i=1

ln

Z Y
T

F (xTit + u)yit (1 F (xTit + u)1yit dG(u)

(2.102)

i=1

G()  ui , F ()  ,
. . ( u)
, it ,
, -
.
Stata

Stata  xtlogit ( , ) xtprobit ( ). Stata , txttobit. 

: xtprobit . . . , i(id) 
probit . . . , cluster(id) .

76

2.7.5

 ( ui , it ) it . , ,
, , , . . ,
t- .
Stata

,
it xtgls , 
xtregar . xtgls
. . . , p(h) ( panels(heteroskedastic) ; Var ui = 0,
. . , Var it = i2 ) xtgls . . . , p(c) ( panels(correlated) , ). corr(ar1) ,
, corr(psar1) , . , xtgee (generalized estimating equations 
,
). ,
.

. , , , , , ,
( , ), , ,
. , :
, 10 ,
50%. RLMS ( 4) ,
- ,
-,
.

77

2.7.6

, , . -,
(  , , ,
); -, . (mixed models), y , :

y = xT + uT z

(2.103)

x  , u  ( ), z  , , , , 1. ,
u 1,
 2. z ,
.
, , , ,
.
Stata

(, ) Stata,  gllamm (Rabe-Hesketh

et. al. 2002). ( ) .
, . , (, ) Stata.
, , - , Stata. gllamm . . . , i( . . .
) . . . . gllamm . . . , family( . . . ) . . . ,
, family(gaussian) , family(binomial) , , -,
-. gllamm . . . , link( . . .
) . . . , , link(id) , link(logit) , link(probit) ,
link(mlogit) , link(ologit) , link(oprobit) .

78

2.8

, , , , , . , .
2.8.1

,
, .
.
. , (. . , ;  , , ) ,
. , ,
.
-
(3SLS).
Stata

2.8.2

reg3 .

, :

P[y < m|x] = p

(2.104)

, , 5%
10% ( p = 0.05 0.1). , ()
, .

p = 0.5.
Stata

Stata qreg . qreg . . . ,

quantile() , p
.

79

 ,
(. (2.11)):
N
X

(2.105)

|yi xi | min

i=1

- .
2.8.3

 . , E[y|x], ,
y x, (., , . 2.3).
:

m(x)

=n

n
X

(2.106)

Wni (x)yi ,

i=1

Wni  , x
.
:

n
X

Wni (x)(yi m(xi ))2 min

m(x)

i=1

Stata

(2.107)

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

Stata 8 lowess (  ksm ksm . . . , lowess ).

(local regression)  (rolling
regression). .
   . , , ; , .
80

 ( 1993):

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

n
X
fhn (x) = n1
Khn (x xi )

(2.108)

Khn (u) = h1
K(u/hn )
Z n
K(u)du = 1

(2.110)

(2.109)

i=1

(2.111)

(2.109)  () ( - ), (2.110)  hn (
). (2.109) ,
.
- .
:
: K(u) = 0.75(1 u2 )I(|u| 1)
15
: K(u) =
(1 u2 )2 I(|u| 1)
16
1
: K(u) = I(|u| 1)
2
: K(u) = (1 |u|)I(|u| 1)
1
() : K(u) = exp[u2 /2]
2

(2.112)
(2.113)
(2.114)
(2.115)
(2.116)

I( )  , 1,
, 0, .
:
 ? ?,
 
? ?. , , ,

. hn ,
, ,
( h ,
f (x) y). , , .
81

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

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

. ,
,  , 
(,  , dimensionality curse), .
, , , ,
.
Stata

, .

. ,
: , . .,
. 2.3.

82

 3
Stata
0

Stata (StataCorp. 1999, 2001)

: , , , . 80-
. 1999 . , 2000 .  1 ,
2002 . Stata Special Edition, . 2003
. Stata, ,
.
Stata :

( ,
, , , , );
0 .
Stata 6. ,
.

version ,

. , , 
( 32 ), ;
("" ) SMCL (Stata Markup and Control Language), (HTML,
SGML); (-) , .. ( ..); ; ; ,
.
http://www.stata.com/stata7 .

83

 (. .
,
).
;
, ,
, ;
, Stata ( ); ;
, ;

(Windows, Macintosh, UNIX).
: ,

( Stata LATEX),
,
Harvard Graphics PowerPoint.
.
(, , )
Stata (, ). ,
, ;
Stata . (, ,
Stata). Stata
.
3.1

, Stata. , command  , ,
(, regress reg, regress). [ ]
84

  , . . ,  , . .
: [ 1 | 2 ]. ,
describe [ | using ] :

d
describe
describe x1 x2 x3
d using source
desc using source.dta
Stata .
Stata: [R] ,
(Reference); [U] 3
A brief description of Stata  ,
3 User's Guide ( Stata 6)  Stata
(, Stata ); [G] twoway 
.
3.2

: Stata

Stata c:/stata, . wstata.exe (Intercooled Stata for Windows)

wstatase.exe (Special Edition  ,
).
verinst .
(
200) .
.ado,
c:/stata/ado . ado-
( 900),
Stata, ( , Stata ado-); ,
Stata  Stata Technical Bulletin, STB,
Internet; ,
, .

85

 Stata , , , ( [R] limits

help limits). :
set memory [k|m]
, Stata. 10 , : set memory 10m . : wstata /k 10240 .
2047 (32767 Stata SE), 2 109
. ,
( ), Stata ( ),
.
set matsize
, Stata .
10.  800. , Stata .

Stata , 2 ,
 (, , ). ( Windows) wstata /b do
.
Stata exit .
, Stata .
. : [U] 5 Starting and stopping Stata , [U] 6 Troubleshooting starting
and stopping Stata

3.3

, , : Stata

Stata (. 3.3) ,
. UNIX, Windows . Stata 8 
: ,
. , , ,  do-
2 . 3.13.

86

87
. 3.1: Stata.

.
Stata : (Stata Command),
(Stata Results), , (Review), (Variables), (Help),
(Graph), -, log- (Log; 7- Viewer). (Stata Browser)
(Stata Editor), (Stata Do-file Editor). ,
, Windows.
Stata Command Windows (, , ).
, PgUp PgDn,
( , , - ).
- Stata Prefs, ,
(, , ).
. : [GSW] , .. Getting Started for Windows.
3.4

: Stata

Stata, , :
[ ] [if ] [in ] [using ] [[]], []
(, ), (
) (, ). if in ,
(. 3.6). (,
..), , ,
using. , [weight= ] (. help
weights; ). , ,
Stata , ,
, .
, .. ,  . 3.11.
88

. : [U] 14 Language syntax

3.5

Windows- Stata
Help, Search ( , ,
Durbin Watson statistic ) Stata Command ( Stata).
, search,
help whelp.
Stata: http://www.stata.com/info/capabilities/ . Stata 8
findit, Stata (
).
Stata :
, , ,
3 ,
Stata. Internet, Stata
(MS Internet Explorer, Netscape Navigator). Stata 7
, Results.
, Stata, Help/Contents ( help contents).
: ,
, , , , ,
, Windows.

.hlp 4 .
Stata  - (,
, ), tutorial. ,
Stata, , Stata, Stata,
. , Stata 8 (
) .
3 , ,  ,
.

4 Windows , Stata,

Stata (Explorer) Windows .

89

. : [U] 8 Stata's on-line help and search facilities , [U] 9 Stata's on-line
tutorials and sample datasets .
3.6

Stata . [if ] [in ].

, if  , > (""), < (""), >= (" "), <=
(" "), == ("", , ), ! = = (" "); & (""), |
(""), ! (""), _n _N,
, . in
/, , ""( l) 1.
Stata 8 (missing values): < . < .a < . . . < .z (. .
, , ,
). .
( ). count if x<.
count if !mi(x) ,
x.
3.7

, , :

, , ,
. Stata
( infile; infix; insheet; . help dictionary [U] 24 Commands to input data ), (Excel, SAS, SPSS, Statistica
..) (
, , ), . Professional Stata Windows- StatTransfer ( http://www.stattransfer.com ),
.
90

  DBMS/COPY. , , , ,
.
Stata
File, .
use , [clear]
. use . . . , clear ,
, . (, , Windows ) ,
use using [if ] [in ],
/ ,
. 
, .. , do- (. 3.13),
.
save , [replace old]
. replace , , .  ,
. old - Stata 6 Stata 4-5
(.. Stata ). Stata 7
old Stata 6. Stata 8
Stata 7 saveold .
merge using , [nokeep ]
, . , . . . ,
( Stata master data using data) , . . ,
, , . [R]
sort sort . mmerge (Wessie 1999), (.
3.17). nokeep , ,
using data.
append using
, . . .

. : [U] 25 Commands for combining data

91

3.8

, , :

Stata . 
. (byte, int long,
) (float double),
; . [U] data types , help
datatypes. , , - ,
-

. g xx = sqrt(2)
. di xx*xx
1.9999999
float,
. , double ( set type double ).
generate [] = [if ] [in ]
, , , . Stata ,  32, ( ), , .
, , , (, , .), (
1  0  ) .
, 3.6. g byte nonmissx=x<. nonmiss byte (.. ),
1, x , 0, x .
g r = invnorm(uniform()) ,
N (0, 1). . [U] 14 Language syntax , [U] 15
Data, [16] Functions and expressions .
egen [ ] = egen-() [if ] [in ],
[by( )]
,
, , , , . . , -.
[R] egen help egen .
xi
xi: Stata

92

 (0/1) , ,
. , , ..
.
i. , i. *i. i. * .

recode
. .
replace = [if ] [in ]
.
rename
.
drop if | in
, .
drop
.
list [] [if ] [in ]
( , ) , ( ,
).
edit [] [if ] [in ]
. Stata
- .
.
browse [ ] [if ] [in ]
. ,
edit , .
aorder
.
sort
gsort +|- . . .
.
compress [ ]
( , , )
, , .
reshape
, -

93

  , .  (long) , , ( ,   ,  ), 
(  ), , , . , income96, income97, income98 
 , income, year , year 96, 97, 98   . Stata,
xt, clogit  .
describe [ | using ], [short]
: , . . ,
, .
, .
label
. label variable ""
, describe . label data (
_dta ). use describe .
label define label values . :
generate egen label variable .
notes [_dta | ] : " "
.
label , notes
_dta .
:  ;  1994 .
;  households.do ..
lookfor
.
clear
, , , , .

94

3.9

summarize [if ] [in ], [detail ]

, , , , , , . detail
, . ,  lv; codebook inspect . ,
, tabulate table 
. .
correlate [if ] [in ], [covariance ]
.
covariance , . , . , ,
mat accum .
pwcorr [if ] [in ], sig obs
, . . , , .
sig (
), obs  .
tabulate table
, . .
tutorial tables . . [U] 28 Commands for dealing

with categorical variables

regress [if ] [in ], robust

noconst cluster( )
.
: ,
2 , , , F , R2 , Radj
, t- k = 0
(. . 49 ). robust (2.29), .
cluster , ( ). noconst
, , Stata, (
). regress -

95

, predict
, . tutorial regress .

Stata . , predict, , ;
(- e(b)) (e(V)); ( test) ( testnl,
- )
, .. ,
, estimates list ( Stata 8  ereturn list ). _b[ ],
 _se[ ]. ,
, help est help postest Stata.
Stata ,
5 :

ivreg, rreg,
reg3, nl;
( help time): arima; ac pac; arch; (2.31) newey; dfuller;
pperron;
( glm);
( anova; oneway; loneway),
( pca; factor);
( table;
tabulate; epitab);
( xt, , xtreg,
re xtreg, fe  ; xtgls  ; xtlogit xtprobit 
. . 2.7; help xt, [U] 29.13 Panel-data models );
5 .

help .

96

 , ,
(survival time; st; . help st, [U] 29.14
Survival-time (failure time) models );
(survey; svy; . help svy, [U] 30 Overview of survey estimation );
( logit; logistic;
lfit; probit; dprobit  -);
( ttest), ( sdtest) (
signrank; signtest; ranksum; kwallis);
( spearman; ktau);
, ( ml);
Stata 7  cluster;
, .
Stata 500 ( ).
(STB), ( 2000 .)
SSC-IDEAS (. 3.16).
3.10

Stata : (, , , . .); ( , 0
1 uniform() KISS ( 2126 , 232

), , ,
(, ), ( _pi) . help functions [U] 16.3 Functions , [R] functions.
. 3.17.

97

3.11

Stata , ,
.  , ( .. , ).
Stata , , .. ,
, 6 , , Stata. , Stata (, , , , ado- ..).
Stata ($). ,
, ,
$S_level 95 ( ).
local
` '.
global $. :
. local a sqrt(2)
. local b = `a'
. di `a' _n `b' _n "`a' = `b'"
1.4142136
1.4142136
sqrt(2) = 1.414213562373095
. local i = 345
. local k = 1
. local i1 = 678
. di `i'`k'
3451
. di `i`k''
678
6 , .

98

 ;
, , ; ;
, ,
Stata; . . . . .
Stata .
syntax , .
. : [U] 21.3 Macros

Stata
, .
,
.
by () : Stata
Stata . , Stata
(), .
_N
. , , Stata .
bysort () ( ) : Stata
, by,
, .
for [: for . . . ]: Stata X [Y] [
\ Stata X [Y] . . . ]
: ( numlist ), ( varlist
), ( anylist ).
1 10 : 1(1)10 , 1 2 to 10 ,
1/10 .
, ,
. * : u* , "u".
: [U] 14 Language syntax , help numlist , help varlist .
for .
X (). for , Stata

99

 X Y , ..

Stata
by for,
, ,
, Stata. ,
for by , Stata, quietly ,
: qui for var x1-x5: g lX=log(X) \ lab var lX "log of X"

forvalues foreach.
forvalues {
Stata
}
foreach of local | global | varlist | newlist | numlist {
Stata
}
foreach in {
Stata
}
forvalues foreach `' . , Stata ,
, .

:
foreach x in sqrt log exp {
forvalues k = 1/3 {
qui g `x'`k' = `x'(`k')
}
}

:
. sum sqrt1 - exp3
Variable |
Obs
Mean
Std. Dev.
Min
Max
-------------+-------------------------------------------------------sqrt1 |
1
1
.
1
1
sqrt2 |
1
1.414214
.
1.414214
1.414214
sqrt3 |
1
1.732051
.
1.732051
1.732051
log1 |
1
0
.
0
0
log2 |
1
.6931472
.
.6931472
.6931472

100

-------------+-------------------------------------------------------log3 |
1
1.098612
.
1.098612
1.098612
exp1 |
1
2.718282
.
2.718282
2.718282
exp2 |
1
7.389056
.
7.389056
7.389056
exp3 |
1
20.08554
.
20.08554
20.08554

3.12

, Stata.
Stata , .
log using , [ append | replace ]
log on | off | close
, Stata ,
( , append
replace, ). log off ,
log on , log close .
, log-, Stata . Log- Stata, Stata ( , ..).
Stata 7 log-: ( ,
,
) ( ,
). log- cmdlog
using . log- HTML texman  log html log texman .
 outreg (Gallup 2001), : , , R2 .
, , , . [R] stb, help stb.
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