stata：应用stata学习计量经济学原理 practice 5 多元线性回归推断

Practice 5 多元线性回归推断

clear all 

cd "F:\stata与计量经济学\week 5 计量实验"
dir

* Q1
use food.dta, replace

* (1)
reg food_exp income

* (2)
scalar tc90 = invttail(38,.05)

scalar ub2 = _b[income] + tc90*_se[income]
scalar lb2 = _b[income] - tc90*_se[income]
di "income 90% interval estimate is " lb2 " , " ub2

* (3) H0 : beta1 = 5.5 ; H1 : beta1 > 5.5
scalar tstat3 = (_b[income] - 5.5)/_se[income]

di "t statistic for Ho: beta1=5.5 = " tstat3
di "t(38) 90th percentile = " invttail(38,.1)

di "p value for right tail test H1:beta1 > 5.5 = 5.5 is " ttail(38,tstat3)

* (4) H0 : beta1 = 15 ; H1 : beta1 < 15
scalar tstat4 = (_b[income] - 15)/_se[income]

di "t-statistic for Ho: beta1 = 15 = " tstat4
di "t(38) 5th percentile = " invttail(38,.9)

di "p value for right tail test H1:beta1 < 15 is " 1 - ttail(38,tstat4)

* (5) H0 : beta1 = 7.5 ; H1 : beta1 ！= 7.5
scalar tstat5 = (_b[income] - 7.5)/_se[income]

di "t-statistic for Ho: beta1 = 7.5 = " tstat5
di "t(38) 95th percentile = " invttail(38,.05)

scalar phalf = ttail(38,abs(tstat5))
scalar p = 2*phalf
di "p value for two tail test ho:beta1 = 7.5 is " p
di "p value for ho:beta1 = 0 is " 2*ttail(38,abs(tstat5))


* Q2
clear all 
dir
use WAGE1.DTA , clear

* (1)
qnorm wage
qnorm lwage

reg lwage educ exper tenure nonwhite female married numdep smsa northcen south west

* (2)
gen exper2 = exper^2
gen exper3 = exper^3

reg lwage educ exper exper2 exper3 tenure nonwhite female married numdep smsa northcen south west

ereturn list

matrix b=e(b)
matrix list b

gen margeff_exper = b[1,2] + 2*b[1,3]*exper + 3*b[1,4]*exper^2

scatter margeff_exper exper if female == 1 , xtitle("Years of experience") ytitle("Marginal effect") title("Women's Marginal effect of experience on wage")

graph save women ,replace

scatter margeff_exper exper if female == 0 , xtitle("Years of experience") ytitle("Marginal effect") title("Men's Marginal effect of experience on wage")

graph save men,replace

graph combine women.gph men.gph

graph save WomenAndMenMarginalEffect0fExperience0nWage

Answer

use food,clear
*Q1
* (1)
reg food_exp income

* (2)
scalar lb=_b[income]-invttail(38,.05)*_se[income]
scalar ub=_b[income]+invttail(38,.05)*_se[income]

di "90% confidence interval estimate is " lb " , " ub

* (3) H0 : beta1 = 5.5 ; H1 : beta1 > 5.5
scalar tstat3 = (_b[income] - 5.5)/_se[income]

di "t statistic for Ho: beta1=5.5 = " tstat3
di "t(38) 90th percentile = " invttail(38,.1)

di "p value for right tail test H1:beta1 > 5.5 = 5.5 is " ttail(38,tstat3)  //refuse h0

* (4) H0 : beta1 = 15 ; H1 : beta1 < 15
scalar tstat4 = (_b[income] - 15)/_se[income]

di "t-statistic for Ho: beta1 = 15 = " tstat4
di "t(38) 5th percentile = " invttail(38,.9)

di "p value for right tail test H1:beta1 < 15 is " 1 - ttail(38,tstat4)  //refuse h0


* (5) H0 : beta1 = 7.5 ; H1 : beta1 ！= 7.5
scalar tstat5 = (_b[income] - 7.5)/_se[income]

di "t-statistic for Ho: beta1 = 7.5 = " tstat5
di "t(38) 95th percentile = " invttail(38,.05)

scalar phalf = ttail(38,abs(tstat5))
scalar p = 2*phalf
di "p value for two tail test ho:beta1 = 7.5 is " p
di "p value for ho:beta1 = 0 is " 2*ttail(38,abs(tstat5))  // accept h0



* Q2
use wage,clear

* (1)
qnorm wage
qnorm lwage

reg lwage educ exper tenure nonwhite female married numdep smsa northcen south west

* (2)
gen exper2 = exper^2
gen exper3 = exper^3

reg lwage educ exper exper2 exper3 tenure nonwhite female married numdep smsa northcen south west

ereturn list
matrix b=e(b)
matrix list b

gen margeff_exper = b[1,2] + 2*b[1,3]*exper + 3*b[1,4]*exper^2

scatter margeff_exper exper, xtitle("Years of experience") ytitle("Marginal effect") title("Marginal effect of experience on wage")

* (3)
gen margeff_m=b[1,2]+2*b[1,3]*exper+3*b[1,4]*exper^2 if female==0
gen margeff_f=b[1,2]+2*b[1,3]*exper+3*b[1,4]*exper^2 if female==1

scatter margeff_m exper, title("Marginal effect of experience on wage (male)") saving(male) 
scatter margeff_f exper, title("Marginal effect of experience on wage (female)") saving(female)

graph combine male.gph female.gph, iscale(0.5)