Stata博文系列：边模拟边学计量经济学-Econometrics-By-Simulation

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目录

Source: Stata Blogs - Econometrics By Simulation

Programming

Basics

• commenting
• wildcards
• forvalues
• foreach
• macros 1
• macros 2
• capture
• predict
• return
• logical operators
• If statements and relational operators
• 7 ways to Speed up your do files
• Formatting Guide

Random Variables

• A note on generating random numbers
• Generating 'random' variables drawn from any distribution
• Drawing jointly distributed non-normal random variables
• Generate rank correlated variables
• Draw Multinomial Random Variables

Mata

• Matrix operations in Mata
• Mata speed gains over Stata
• Write your own System OLS in Mata
• Mata: program your own IV Estimator

Maximum Likelihood (write your own commands)

• Quantile regression
• 3 ways to write a probit command
• Linear models with heteroskedastic errors
• ML and initial values

Programs

• all missing in SPSS to Stata missing
• capture_retry
• Remove a subset from a global - Stata
• Recursive programming in Stata
• Inverting a Binomial Distribution in Stata - harder than it sounds

Simulation Tools

• bootstrapped draws - merge method - bootstrapped draws - expand method
• asim command
• msimulate command

Programming

• Return Text
• Stata Syntax Command's Syntax

Data Management

Data Organization

• Three ways to Create Unique Identifiers
• Use Expand to Manually Reshape Data
• Pre and Post Test Data Merge/Append
• Moving Averages & Data Cleaning

Data Imputation

• Hot Decking!

Data Powertools-?Increasing your workload Efficiency

• Easy recode all missing SPSS or SAS into Stata
• Turn factor variables into a list of dummy variables
• 3 Ways of Loading SPSS (sav) files into Stata
• Stata Fuzzy match command
• Search all of the data in a directory for a variable

Econometrics

Probability

• Central Limit Theorem
• Independence and Bayes Rule
• Jensen's inequality
• The Delta Method
• Law of Iterative Expectations/Law of Total Expectations
• t-tests and F-tests and rejection rates
• A note on correlated variables
• Write your own bootstrap command
• Survival Rates and Negative Binomial
• The Problem with Probabilities I - how many rolls does it take to get a 1?
• The Problem with Probabilities II - Monte Hall's Problem
• The Problem with Probabilities III - Settlers of Catan - probability of bandit attack
• The Delta method to estimate standard errors from a non-linear transformation

Classical Problems-

• OLS w Correlation between x and u
• The problem of near multicollinearity
• The randomly walking currency market
• Selection and Bias
• Linear models with heteroskedastic errors
• Calculating Mutually Exclusive Fixed Effects
• Test Rejection Power for Failure of Normality Assumption
• Modeling Heteroskedasticity
• Measurement Error
• Model Selection Tests
• Efficiency of LAD vs OLS
• Checking for differences in estimates by group
• Chamberlain Mundlak Device and the CLuster Robust Hausman Test
• Endogenous Binary Regressors
• Regression with Endogenous Explanatory Variables
• Potential IV Challenges even with RCTs

System Ordinary Least Squares

• Write your own System OLS in Mata
• Seemingly Unrelated Regression - with Correlated Errors
• R-squared
• Multivariate Least Squares - Multi-Step Estimator and Correlated Explanatory Variables

Unobserved Effect Models

• Unobserved fixed effects model
• Unobserved effects model - extensions
• A brief look at fe vs re
• Robust Hausman Test
• Robust Hausman Test Fail?
• Interpreting the Control Function Coefficient

Correlated Random Coefficients

• Average Treatement Effects and Correlated Random Coefficients
• Random Coefficients with IFGLS and MLE

Random Coefficients

• HLM comparison with OLS - 2 levels, random coefficient on constant
• Hierarchical linear modelling
• Choosing an appropriate level of analysis

连享会计量方法专题……

Instrumental Variables

• Many Forms of Instrumental Variables
• The Weak Instrument Problem
• Testing the Rank Condition of IV Estimators
• 2SQreg IVqreg Cfqreg - zombies

Censored Regression

• Dependent variable is bottom coded?
• Asymmetric Error with Right and Left Sensoring
• Tobit Normality Assumption Fail - Tobit Still Works

Quantile Regression

• Program your own quantile regression v1 - Maximum Likelihood?
• Quantile Regression Fail
• Oh wait! Quantile regression wins!
• 2SQreg IVqreg Cfqreg - zombies
• Quantile Regression (qreg) is invariant to non-decreasing transformations

Random Coefficients

• Estimating Random Coefficients on X?(using xtmixed)
• Estimating Random Coefficients on X?(using NormalReg -preferred)
• Estimating Random Coefficients in a panel data

Binary Response Models

• Reverse Engineering a Probit
• Average Partial Effects
• Probit vs Logit
• Simulating Multinomial logit in Stata

Non-linear least squares

• Non-Linear Least Squares (M-estimation)
• R vs Stata Non-linear least squares!
• Power Analysis with Non-Linear Least Squares: A Simulation Approach

Simultaneous Equations

• Demand Simulation and Estimation

Bootstrapping

• Write your own estimator and bootstrap the standard errors
• Write your own bootstrap command
• Stata - Write your own "fast" bootstrap
• Bootstrapping Percentile Count Vs. Standard Error Approximation

Regression Discontinuity (RDD)

• Sharp Regression Discontinuity Example and Limitations
• Non-Parametric Regression Discontinuity

Non-random Selection

• Inverse Probability?Weighting?to Correct for Sample Selection/Missing Data My Own Tools (No Theory Backing Them)
• Breaking down R2 by variable
• Sticky Probit - clustered bootstrapped standard errors
• Non-Parametric PDF Fit Test
• Test of PDF Fit - Does not work

Power Analysis

• Power Analysis with Non-Linear Least Squares: A Simulation Approach

Micro Simulations:

• Selection Bias in the use of Fertilizer
• Estimating Supply
• Demand Simulation and Estimation
• Estimating demand (AIDS model)
• Misspecified Cobb Douglas Demand Model
• Production Possibility Frontier: Simulation & Estimation
• Commodity Demand Estimation - Fish Demand

Logistic Regression

• Logistic or Logit or doesn't matter
• Simulating Multinomial Logit

Path Analysis

• Path Analysis

Miscellaneous Topics

Special Topics

• Value-added modelling iPad example
• Estimating VAMs Value Added Methods (models)
• Social network analysis simulation - contagious depression
• 2012 Election! Simulation and predictions. Obama wins 91% of simulated outcomes

Dynamic Simulations:

• Spatial malaria epidemiology infection model
• Zombie Invasion - spatial multi-agent system simulation
• Werewolf attack - spatial multi-agent system basic artificial intelligence

Exporting Results for Publication

• Creating Professional Tables Using Estpost
• Professional Post Estimation Tables Using Estout

Psychometrics

Classical Methods

• Cronbach's alpha
• The True Test Score World
• Relating Classics Test Theory Parameters to IRT Parameters
• Strictly Parallel Tests Classical Test Theory Results

R & Stata Bridge

Commands in Stata and R

• 7 commands in R & Stata
• R vs Stata Non-linear least squares!?
• Nested functions in R and Stata
• Stata is to Accounting as R is to Tetris

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