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1、AppliedEconometricsusingStataRicardoPerez-TrugliaHarvardUniversity1*AppliedEconometricsusingStataγRicardoNicolásPérezTrugliaDepartmentofEconomicsHarvardUniversityExtremelyearlydraft:March2009Diclaimer:Chapters3,4and6areveryincompleteandcontainsomeparagraphsinSp
2、anish.Commentswelcomed!*ThankstomyProfessors:WalterSosaEscudero,SebastianGalianiandDaleJorgenson.ThesenoteswereoriginallywrittentobeusedinclassestaughtatUniversidaddeSanAndres(withMartinRossi).Theyarestillextremelypreliminary.γrtruglia@fas.harvard.edu
3、HarvardUn
4、iversity,DepartmentofEconomics:LittauerCenter,1805CambridgeStreet,Cambridge,MA(02138).2PrefaceTheguidesuseStata9.1.TheyshouldworkwithoutchangesinStata10(orsimplyentering"version9"atthebeginningofthecode),andwithminormodificationstheyshouldworkinolderversions.We
5、trynottoincludeStataoutputinthedocumentinordertoemphasizethatyoushouldexecutetheStatacommandswhileyouarereadingtheNotes.ItisveryimportanttosolvetheProblemSetsbyyourown.Theyarethemostimportantpedadogicaltoolsinthisdocument.TheobjectiveoftheNotesandtheProblemSets
6、istoreproducetheTablesofpublishedpapers,sothereadercanexperiencebyherselfthe“cooking”ofappliedeconometrics.IngeneralMontecarloexperimentsarenotusedforteachingeconometrics.Wethinkthatisthemaininnovationofthisdocument,sinceMontecarloexperimentsareaverypracticalwa
7、ytoincorporatetheintuitionbehindmanyeconometricresults.Youcanfindthedatabasesinthewebsite:ricardotruglia.com.ar.Mostofthedatabasesarefromthirdparties,downloadedfromtheauthor’soriginalwebsites.Wedonotcoverdeeplytheeconometrictheory,butwegiveabriefintroduction,sp
8、eciallyforthosemodelsthatarenotbasic(e.g.orderedlogit,programevaluation,kernelestimation,etc.).Ifyoufeelthatyouneedtorefreshsomeoftheeconometrictheory,werecommendJeffreyWooldridge’s“EconometricAnalysisofCrossSectionandPanelData,”whichcoversalmosteverysingletopi
9、cinthenotes(orWooldridge’s“IntroductoryEconometrics”forthebeggineersorfornon-economists).Itisthestandardtextbookinundergraduateandgraduatecoursesineconometrics.Wheneveratopi
