CAO HỌC TÀI LIỆU PHÂN TÍCH STATA 3

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Pham Thi Bich Ngoc, Ph.D. (University of Kiel, Germany) FEC/Hoa Sen University ngoc.phamthibich@hoasen.edu.vn UNIVERSITY OF ECONOMICS HOCHIMINHCITY, June 2014 June 14 - Dr. Pham Thi Bich Ngoc  Endogeneity refers to the fact that an independent variable (IV) included in the model is a choice variable (not enxogenous) June 14 - Dr. Pham Thi Bich Ngoc  Omitted variable bias  Sample selection bias/Measurement error  Simultaneity June 14 - Dr. Pham Thi Bich Ngoc Omitting a variable (X2) creates a bias only if: 1. X 2 is an explanator of Y (so, when omitted, it becomes a component of the error term) 2. X 2 is correlated with X 1 (so that X 2 creates a correlation between X 1 and the error term). June 14 - Dr. Pham Thi Bich Ngoc  Sample selection bias may occur when the study subjects are not a random sample of the population either on the dependent variable or on an independent variable.  Examples: ◦ Estimating women’s wage equation.  Measurement error also induces a correlation between our included explanator and the error term.  Instead of observing X i , we observe M i  X i  v i June 14 - Dr. Pham Thi Bich Ngoc Sample selection bias:  Union workers may be less able than non-union workers, and would be earning less than non-union workers had they not joined a union.  b underestimates the wage gain of joining a union. Non-union Union wages Observed earnings of union workers Earnings of non-union workers if they joined the union. Observed earnings of non-union workers Sample Selection Bias b Observed earnings of union workers had they not joined the union. True union effect June 14 - Dr. Pham Thi Bich Ngoc SAT College GPA True relationship Estimated relationship Suppose that the sample is selected such that only students with a GPA higher than B are included. B June 14 - Dr. Pham Thi Bich Ngoc  An independent variable included in the model is a choice variable, potentially affected by the DV.  Examples: ◦ IV = using a tutor or not; DV = grade ◦ IV = education; DV = income ◦ IV = union status; DV = wages June 14 - Dr. Pham Thi Bich Ngoc June 14 - Dr. Pham Thi Bich Ngoc  Both X and Y are jointly determined  The process that generates Y also generates X at the same time  Because X and Y are determined simultaneously, X can adjust in response to shocks to Y ( e )  Thus X will be correlated with e June 14 - Dr. Pham Thi Bich Ngoc  The classic example of simultaneous causality in economics is supply and demand.  Both prices and quantities adjust until supply and demand are in equilibrium.  A shock to demand or supply causes BOTH prices and quantities to move.  Thus, any attempt to estimate the relationship between prices and quantities (say, to estimate a demand elasticity) suffers from SIMULTANEITY BIAS.  Econometricians have a frequent interest in estimating elasticities resulting from such an equilibrium process. Simultaneity bias is a MAJOR problem. [...]... two exogenous variables Xit and Zit) June 14 - Dr Pham Thi Bich Ngoc   We then use the predicted rather than the actual values of Y2it when estimating the Y1it model: The a1 estimate is biased in eq (3) but it is unbiased in eq (4) because the vit term has been removed June 14 - Dr Pham Thi Bich Ngoc     In eq (4) the estimated coefficient for the Zit variable is We already know the value of from... we had included Zit in both models In this case, the coefficient cannot be identified because we estimate and ◦ In other words, we cannot determine whether the effect of Zit on Y1it is a main effect (a3) or an indirect effect through Y2it (a1b2)  Here we say that the system of equations is “under-identified” June 14 - Dr Pham Thi Bich Ngoc      Suppose we had included two exogenous variables in... triangular structure, the models can be estimated using the ivregress command ◦ The models can be estimated using 2SLS or GMM ◦ 2SLS is more commonly used in practice June 14 - Dr Pham Thi Bich Ngoc  STATA ◦ xtivreg2 depvar1 [varlist1] (depvar2 = varlistiv)  depvar1 is the dependent variable for the model which has an endogenous regressor  varlist1 are the exogenous variables in the model that has... condition, 1  E  N Zε  i=1 i N    zi1ei1    0  L1    zi2 ei2    0  L 2 1  E  N     N i=1           z e   0  L    iG iG     G   rows rows rows  STATA ◦ xtabond/xtabond2 depvar varlist [if exp] [in range] ◦ Options:  gmmstyle(varlist [, laglimits(# #) collapse orthogonal equation({diff | level | both}) passthru {cmdab:sp: d:)}  ivstyle(varlist . M i  X i  v i June 14 - Dr. Pham Thi Bich Ngoc Sample selection bias:  Union workers may be less able than non-union workers, and would be earning less than non-union workers had they. of joining a union. Non-union Union wages Observed earnings of union workers Earnings of non-union workers if they joined the union. Observed earnings of non-union workers Sample Selection. Sen University ngoc.phamthibich@hoasen.edu.vn UNIVERSITY OF ECONOMICS HOCHIMINHCITY, June 2014 June 14 - Dr. Pham Thi Bich Ngoc  Endogeneity refers to the fact that an independent