Stock计量经济学第11章ppt课件.ppt

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1、Chapter11RegressionwithaBinaryDependentVariableRegressionwithaBinaryDependentVariable(SWChapter11)2Example:MortgagedenialandraceTheBostonFedHMDAdataset3TheLinearProbabilityModel(SWSection11.1)4Thelinearprobabilitymodel,ctd.5Thelinearprobabilitymodel,ctd.6Example:linearprobabilitymodel,HMDAd

2、ata7Linearprobabilitymodel:HMDAdata,ctd.8Linearprobabilitymodel:HMDAdata,ctd9Thelinearprobabilitymodel:Summary10ProbitandLogitRegression(SWSection11.2)11121314Probitregression,ctd.15STATAExample:HMDAdata16STATAExample:HMDAdata,ctd.17Probitregressionwithmultipleregressors18STATAExample:HMDAda

3、ta19STATAExample,ctd.:predictedprobitprobabilities20STATAExample,ctd.21LogitRegression22Logitregression,ctd.23STATAExample:HMDAdata24Predictedprobabilitiesfromestimatedprobitandlogitmodelsusuallyare(asusual)verycloseinthisapplication.25Exampleforclassdiscussion:262728Hezbollahmilitantsexampl

4、e,ctd.29Predictedchangeinprobabilities:30EstimationandInferenceinProbit(andLogit)Models(SWSection11.3)31Probitestimationbynonlinearleastsquares32Probitestimationbymaximumlikelihood33Specialcase:theprobitMLEwithnoX34353637TheMLEinthe“no-X”case(Bernoullidistribution),ctd.:38TheMLEinthe“no-X”ca

5、se(Bernoullidistribution),ctd:39TheprobitlikelihoodwithoneX40Theprobitlikelihoodfunction:41TheProbitMLE,ctd.42ThelogitlikelihoodwithoneX43Measuresoffitforlogitandprobit44ApplicationtotheBostonHMDAData(SWSection11.4)45TheHMDADataSet46Theloanofficer’sdecision47Regressionspecifications48495051T

6、able11.2,ctd.52Table11.2,ctd.53SummaryofEmpiricalResults54Remainingthreatstointernal,externalvalidity55Summary(SWSection11.5)56