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ID:48155138
大小:305.00 KB
页数:34页
时间:2020-01-16
《计量虚拟变量讲解.ppt》由会员上传分享,免费在线阅读,更多相关内容在教育资源-天天文库。
1、中级计量经济学INTERMEDIATEECONOMETRICS多元回归虚拟变量之二ChapterOutlineDescribingQualitativeInformationASingleDummyIndependentVariableUsingDummyVariableforMultipleCategoriesInteractionsInvolvingDummyVariablesABinaryDependentVariable:TheLinearProbabilityModel7/20/2021
2、2InteractionsAmongDummyVariablesInteractionsofdummyvariableswithotherdummyvariablesand/orotherexplanatoryvariablesmakestheregressionanalysismuchmorepowerful.Westartwiththeinteractionofadummywithanotherdummy.Interactionsofdummiesallowsanotherwaytoobser
3、veandtestgroupdifferenceamongdifferentgroups.7/20/20213InteractionsAmongDummyVariablesConsiderthewagemodelwithfemale-marriedinteractionwiththebasegroupstillbesinglemen:Thismodelalsoallowsustoobtaintheestimatedwagedifferentialamongallfourgroups,buthere
4、wemustbecarefultopluginthecorrectcombinationofzerosandones.Comment:norealadvantageoverusingmultipledummyvariables.Justanotherpossibleway.7/20/20214InteractingDummieswithOtherExplanatoryVariablesForwhat?Toallowdifferencesinslopes.Nowsupposethatwewishto
5、testwhetherthereturntoeducationisthesameformenandwomen,allowingforaconstantwagedifferentialbetweenmenandwomen.Weneedamodelthatallowsforaconstantwagedifferentialaswellasdifferentreturnstoeducation.7/20/20215InteractingDummieswithOtherExplanatoryVariabl
6、esTobemorespecific,wewishtomodeltobelog(wage)=β0+β1educ+uformale,log(wage)=β’0+β’1educ+uforfemale,whereβ0≠β’0aswehavealreadyfoundevidencethatthereexistswagedifferentialbetweenmaleandfemale.Letβ’0=β0+δ0,β’1=β1+δ1,thenwecancombinetheabovetwoequationsusi
7、ngadummyfemale:log(wage)=β0+δ0female+(β1+δ1female)educ+u,rearranging,log(wage)=β0+δ0female+β1educ+δ1female·educ+u,whereweobservethedummy,andtheinteractionofthedummywithotherexplanatoryvariables.7/20/20216InteractingDummieswithOtherExplanatoryVariables
8、Theequationlog(wage)=β0+δ0female+β1educ+δ1female·educ+u,showsthatδ0measuresthedifferenceininterceptsbetweenwomenandmen,andδ1measuresthedifferenceinthereturntoeducationbetweenwomenandmen.AfterweestimatetheaboveequationusingOLS,wecanperformhypot
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