You are on page 1of 7

-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------name: <unnamed>

log: C:\Users\Koji\Google Drive\School\Winter 2015\ECO508\Final\Final.tx


t
log type: text
opened on: 20 Mar 2015, 20:30:21
. cd "C:\Users\Koji\Google Drive\School\Winter 2015\ECO508\Final"
C:\Users\Koji\Google Drive\School\Winter 2015\ECO508\Final
. set more off
. set type double
.
. sysuse cancer
(Patient Survival in Drug Trial)
. replace drug=2 if drug==3
(14 real changes made)
. replace drug=0 if drug==1
(20 real changes made)
. replace drug=1 if drug==2
(28 real changes made)
.
. *regress died drug age
. logistic died drug age
Logistic regression

Number of obs
LR chi2(2)
Prob > chi2
Pseudo R2

Log likelihood = -21.592635

=
=
=
=

48
19.21
0.0001
0.3079

-----------------------------------------------------------------------------died | Odds Ratio Std. Err.


z
P>|z|
[95% Conf. Interval]
-------------+---------------------------------------------------------------drug | .0340073 .0382362
-3.01 0.003
.0037542
.3080517
age | 1.121759
.078503
1.64 0.101
.9779818
1.286674
_cons | .0355848 .1380262
-0.86 0.390
.0000178
71.26916
-----------------------------------------------------------------------------.
. logit died drug age
Iteration
Iteration
Iteration
Iteration
Iteration

0:
1:
2:
3:
4:

log
log
log
log
log

likelihood
likelihood
likelihood
likelihood
likelihood

Logistic regression
Log likelihood = -21.592635

=
=
=
=
=

-31.199418
-22.312908
-21.605936
-21.592637
-21.592635
Number of obs
LR chi2(2)
Prob > chi2
Pseudo R2

=
=
=
=

48
19.21
0.0001
0.3079

-----------------------------------------------------------------------------died |
Coef. Std. Err.
z
P>|z|
[95% Conf. Interval]
-------------+---------------------------------------------------------------drug | -3.38118 1.124354
-3.01 0.003
-5.584873 -1.177488
age | .1148981
.069982
1.64 0.101
-.0222642
.2520604
_cons | -3.335837 3.878796
-0.86 0.390
-10.93814
4.266464
-----------------------------------------------------------------------------.
. *predict died_hat
.
. clear
.
. sysuse cancer
(Patient Survival in Drug Trial)
. generate placebo=0
. generate drug1=0
. generate drug2=0
. replace placebo=1 if drug==1
(20 real changes made)
. replace drug1=1 if drug==2
(14 real changes made)
. replace drug2=2 if drug==3
(14 real changes made)
.
. logit died drug1 drug2 age
Iteration
Iteration
Iteration
Iteration
Iteration
Iteration

0:
1:
2:
3:
4:
5:

log
log
log
log
log
log

likelihood
likelihood
likelihood
likelihood
likelihood
likelihood

Logistic regression
Log likelihood = -21.525537

=
=
=
=
=
=

-31.199418
-22.259892
-21.539075
-21.525583
-21.525537
-21.525537
Number of obs
LR chi2(3)
Prob > chi2
Pseudo R2

=
=
=
=

48
19.35
0.0002
0.3101

-----------------------------------------------------------------------------died |
Coef. Std. Err.
z
P>|z|
[95% Conf. Interval]
-------------+---------------------------------------------------------------drug1 | -3.550783 1.222919
-2.90 0.004
-5.94766 -1.153905
drug2 | -1.624752 .5903986
-2.75 0.006
-2.781912
-.467592
age | .1203223 .0718246
1.68 0.094
-.0204513
.2610959
_cons | -3.625338 3.966999
-0.91 0.361
-11.40051
4.149838
-----------------------------------------------------------------------------.
. mfx compute
Marginal effects after logit

y = Pr(died) (predict)
= .75292124
-----------------------------------------------------------------------------variable |
dy/dx
Std. Err.
z
P>|z| [
95% C.I. ]
X
---------+-------------------------------------------------------------------drug1*| -.6979834
.15336 -4.55 0.000 -.99856 -.397407 .291667
drug2 | -.302254
.08656 -3.49 0.000 -.471907 -.132601 .583333
age | .0223837
.01383
1.62 0.105 -.004715 .049482
55.875
-----------------------------------------------------------------------------(*) dy/dx is for discrete change of dummy variable from 0 to 1
.
.
.
.
.
.

*regress died drug1 drug2 age


*regress died placebo drug1 age
*regress died placebo drug2 age
clear

.
. sysuse sp500
(S&P 500)
. gen time=_n
. tset time
time variable: time, 1 to 248
delta: 1 unit
. dfuller open
Dickey-Fuller test for unit root

Number of obs

247

---------- Interpolated Dickey-Fuller --------Test


1% Critical
5% Critical
10% Critical
Statistic
Value
Value
Value
-----------------------------------------------------------------------------Z(t)
-1.779
-3.461
-2.880
-2.570
-----------------------------------------------------------------------------MacKinnon approximate p-value for Z(t) = 0.3907
.
. gen Lvolume=L1.volume
(1 missing value generated)
. *regress volume L.volume1
.
. gen Lvolume2=L2.volume
(2 missing values generated)
. *regress volume L1.volume L2.volume
.
. gen Lvolume3=L3.volume
(3 missing values generated)
. regress volume L1.volume L2.volume L3.volume
Source |
SS
df
MS
-------------+-----------------------------Model | 458674403
3 152891468
Residual | 1.0682e+09 241 4432510.23

Number of obs
F( 3, 241)
Prob > F
R-squared

=
245
= 34.49
= 0.0000
= 0.3004

-------------+-----------------------------Total | 1.5269e+09 244 6257825.28

Adj R-squared = 0.2917


Root MSE
= 2105.4

-----------------------------------------------------------------------------volume |
Coef. Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------volume |
L1. | .5411392 .0633353
8.54 0.000
.4163777
.6659007
L2. | -.0631893 .0717069
-0.88 0.379
-.2044417
.078063
L3. | .0883493 .0622197
1.42 0.157
-.0342146
.2109132
|
_cons | 5288.562
830.656
6.37 0.000
3652.289
6924.835
-----------------------------------------------------------------------------.
. gen Lclose1=L1.close
(1 missing value generated)
. gen Lclose2=L2.close
(2 missing values generated)
.
. regress volume L1.volume L2.volume L1.close L2.close
Source |
SS
df
MS
-------------+-----------------------------Model | 558815245
4 139703811
Residual | 1.0496e+09 241 4355323.74
-------------+-----------------------------Total | 1.6084e+09 245 6565094.97

Number of obs
F( 4, 241)
Prob > F
R-squared
Adj R-squared
Root MSE

=
=
=
=
=
=

246
32.08
0.0000
0.3474
0.3366
2086.9

-----------------------------------------------------------------------------volume |
Coef. Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------volume |
L1. | .5287931 .0624949
8.46 0.000
.4056871
.6518991
L2. | -.0742377 .0625923
-1.19 0.237
-.1975356
.0490602
|
close |
L1. | 4.963038 8.458272
0.59 0.558
-11.69854
21.62462
L2. | -10.72404 8.460088
-1.27 0.206
-27.3892
5.94112
|
_cons | 13575.45 2370.615
5.73 0.000
8905.682
18245.22
-----------------------------------------------------------------------------. test L1.close L2.close
( 1) L.close = 0
( 2) L2.close = 0
F( 2, 241) =
Prob > F =

6.52
0.0018

.
. regress volume L1.volume L2.volume L3.volume
Source |
SS
df
MS
-------------+-----------------------------Model | 458674403
3 152891468
Residual | 1.0682e+09 241 4432510.23

Number of obs
F( 3, 241)
Prob > F
R-squared

=
245
= 34.49
= 0.0000
= 0.3004

-------------+-----------------------------Total | 1.5269e+09 244 6257825.28

Adj R-squared = 0.2917


Root MSE
= 2105.4

-----------------------------------------------------------------------------volume |
Coef. Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------volume |
L1. | .5411392 .0633353
8.54 0.000
.4163777
.6659007
L2. | -.0631893 .0717069
-0.88 0.379
-.2044417
.078063
L3. | .0883493 .0622197
1.42 0.157
-.0342146
.2109132
|
_cons | 5288.562
830.656
6.37 0.000
3652.289
6924.835
-----------------------------------------------------------------------------.
. predict r,r
(3 missing values generated)
. gen Lr=L1.r
(4 missing values generated)
.
. regress r L1.volume L2.volume L3.volume L1.r
Source |
SS
df
MS
-------------+-----------------------------Model | 91910375.6
4 22977593.9
Residual | 970912424 239 4062395.08
-------------+-----------------------------Total | 1.0628e+09 243 4373756.38

Number of obs
F( 4, 239)
Prob > F
R-squared
Adj R-squared
Root MSE

=
=
=
=
=
=

244
5.66
0.0002
0.0865
0.0712
2015.5

-----------------------------------------------------------------------------r |
Coef. Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------volume |
L1. | 3.207886 .6761718
4.74 0.000
1.875869
4.539904
L2. | -1.709258
.368434
-4.64 0.000
-2.43505
-.983465
L3. | .0354409 .0608304
0.58 0.561
-.0843914
.1552731
|
r |
L1. | -3.221877 .6788413
-4.75 0.000
-4.559153 -1.884601
|
_cons | -18724.06 4000.184
-4.68 0.000
-26604.18 -10843.94
-----------------------------------------------------------------------------. estat dwatson
Durbin-Watson d-statistic( 5,

244) = 2.024182

.
. clear
.
. sysuse auto2
(1978 Automobile Data)
.
. regress price mpg rep78 headroom trunk weight length displacement foreign
Source |

SS

df

MS

Number of obs =

69

-------------+-----------------------------Model | 341454554
8 42681819.2
Residual | 235342405
60 3922373.42
-------------+-----------------------------Total | 576796959
68 8482308.22

F( 8,
60)
Prob > F
R-squared
Adj R-squared
Root MSE

=
=
=
=
=

10.88
0.0000
0.5920
0.5376
1980.5

-----------------------------------------------------------------------------price |
Coef. Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------mpg | -21.21781 74.39533
-0.29 0.776
-170.0306
127.595
rep78 | 264.6897 317.9342
0.83 0.408
-371.2734
900.6529
headroom | -632.1027 379.1949
-1.67 0.101
-1390.605
126.4001
trunk | 72.44755 94.24058
0.77 0.445
-116.0617
260.9568
weight | 4.434844 1.397284
3.17 0.002
1.639859
7.229829
length | -88.83929 38.12996
-2.33 0.023
-165.1106 -12.56801
displacement | 12.12428 7.379246
1.64 0.106
-2.636407
26.88497
foreign | 3355.358 805.4341
4.17 0.000
1744.25
4966.466
_cons | 6442.737 5492.363
1.17 0.245
-4543.624
17429.1
-----------------------------------------------------------------------------.
. ovtest
Ramsey RESET test using powers of the fitted values of price
Ho: model has no omitted variables
F(3, 57) =
10.26
Prob > F =
0.0000
.
. estat hettest
Breusch-Pagan / Cook-Weisberg test for heteroskedasticity
Ho: Constant variance
Variables: fitted values of price
chi2(1)
=
Prob > chi2 =

12.78
0.0004

. imtest, white
White's test for Ho: homoskedasticity
against Ha: unrestricted heteroskedasticity
chi2(43)
=
Prob > chi2 =

57.13
0.0730

Cameron & Trivedi's decomposition of IM-test


--------------------------------------------------Source |
chi2
df
p
---------------------+----------------------------Heteroskedasticity |
57.13
43
0.0730
Skewness |
17.88
8
0.0221
Kurtosis |
1.79
1
0.1807
---------------------+----------------------------Total |
76.81
52
0.0143
--------------------------------------------------. estat vif

Variable |
VIF
1/VIF
-------------+---------------------weight |
21.28
0.046999
length |
13.04
0.076673
displacement |
8.19
0.122087
mpg |
3.30
0.302834
trunk |
2.90
0.344325
foreign |
2.42
0.413883
headroom |
1.81
0.551085
rep78 |
1.72
0.582310
-------------+---------------------Mean VIF |
6.83
.
end of do-file
. exit, clear

You might also like