An Introduction to Modern Econometrics Using Stata.pdf

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1、AnIntroductiontoModernEconometricsUsingStataChristopherF.BaumDepartmentofEconomicsBostonCollege2Ihaveincurredmanyintellectualdebtsduringthecreationofthisbook.BillGould,DavidDrukker,andVinceWigginsofStataCorphavebeenenthusiasticabouttheneedforsuchabookintheeconomic

2、sandfinancecommunity.DavidDrukker,VinceWiggins,GabeWaggoner,andBrianPoihaveProvidedinvaluableeditorialcommentsthroughouttheprocess.MycoauthorsofvariousStataroutines—NicholasJ.Cox,MarkSchaffer,StevenStilhnan,andVinceWiggins—havecontributedagreatdeal,ashavemanyotherme

3、mbersoftheStatausercommunityviatheirownroutines,advice,andStatalistinquiries.Dr.ChuckChakrabortyhasbeenhelpfulinidentifyingtopicsofinteresttotheconsultingcommunity.Dr.PetiaPetrovaprovidedathoughtfulreviewofportionsofthemanuscript.AtBostonCollege,ImustthankNadezhda

4、Karamchevaforableresearchassistanceinconstructingexampledatasets,aswellascolleaguesinResearchServicesformanyusefulconversationsonusingstatisticalsoftware.IamdeeplythankfultoAcademicVicePresidentJohnNeuhauserandDeanJosephQuinnoftheCollegeofArtsandSciencesfortheirac

5、ceptanceofthisprojectasaworthyuseofmyfall2004sabbaticalterm.Ihaveadaptedsomematerialsinthebookfromcoursenotesforunder-graduateandgraduate-leveleconometrics.IthankmanygenerationsofBostonCollegestudentswhohavepressedmetoimprovetheclarityofthosenotesandhelpedmetounde

6、rstandtheaspectsoftheoreticalandappliedeconometricsthatarethemostdifficulttomaster.Lastbutbynomeansleast,IammostgratefultomywifePaulaArnoldforgraciouslycopingwithagrumpyauthordayafterdayandofferingencour-agement(andoccasionallygrammartips)throughoutthecreativeprocess

7、.ChristopherF.BaumOakSquareSchoolBrighton,MassachusettsJuly2006ContentsPrefaceviiiNotationandtypographyxi1Introduction11.1AnoverviewofStata’sdistinctivefeatures...........21.2Installingthenecessarysoftware.................51.3Installingthesupportmaterials.........

8、........62WorkingwitheconomicandfinancialdatainStata72.1Thebasics.............................72.1.1Theusecommand....................72.1.2Variabletypes.