Regression analysis with STATA

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1、RegressionanalysiswithSTATADrEiriniKonstantinidiLecturerinFinanceUniversityofExeter,BusinessSchoolXfiCentreofFinance&Investmente.konstantinidi@exeter.ac.uk1Outline•Multiplelinearregression.
IsVIXaffectedbyS&P500returns&theslopeoftheyieldcurve?•ImportdataintoSTATA.

2、WorkingwithdatesinSTATA.•MultiplelinearregressionwithSTATA.
EstimatingmultiplelinearregressionswithSTATA.
UnderstandingtheSTATAoutput.
Testingforautocorrelationintheresiduals:Durbin-Watsontest.
Testingforheteroscedasticity:Breusch-Pagantest.2Multiplelinearregressio

3、n•Determinetheeffectofmorethanoneindependentvariablesonaparticulardependentvariable.Y=β+βX+βX+...+βX+εfori=1,2,...,ni011i22ikkiiwhereY:Dependentvariable.iX:Thej-thindependentvariable(j=1,2,...k).jiεErrorterm(i.e.portionofdependentvariablethaticannotbeexplainedbythe

4、independent).βSlopecoefficient.0βThej-thregressioncoefficient.j3Multiplelinearregression:Anexample•InvestigatetheeffectoftheS&P500index&theslopeoftheyieldcurveonVIX.VIXt=β0+β1Rt+β2YSt+εtwhereVIX:VIXindexmeasuredattimet.tR:ReturnontheS&P500attimet.tYS:Slopeoftheyiel

5、dcurve,calculatedasthetdifferencebetweenthe10Ygovernmentbondandthe1MT-billrateattimet.ε:Errorterm.t4ImportthedataintoSTATA•Dataset3containsdailydataontheVIXindex,S&P500returnsandslopeoftheyieldcurve(2/2/2001–13/2/2009).•Openthedataeditorbyclickingonthe‘DataEditor(E

6、dit)’iconontheSTATAtoolbar.•CopycellsA1:C3274in‘data3_VIX,SPXandYS.xlsx’.
CellsA1,B1andC1containthenameofthevariables.•Pasteintothe‘DataEditor(Edit)’inSTATA.
Treatfirstrowasvariablename.5WorkingwithdatesinSTATA:Convertingstringstodates•Datesarerecognisedas‘strings’

7、bySTATA.
‘Strings’needtobeconvertedto‘dates’.•Thefollowingcommandsneedstobeused:date(string,mask,[,baseyear])cStringvariabletobetranslatedSpecifiestheorderofthecomponentsD:day,M:month,Y:yearUsedwhenwehavetwo-digityears:Statatochooseaprefixthatplacestheyearclosestto

8、baseyear6WorkingwithdatesinSTATA:Convertingstringstodates(Cont’d)•Typeonthecommandwindow:•Define‘dates_2’tobethetimevariablebytypinginthecommandw