* Reference: Chapters 13 and 15 of * Jeffrey M. Wooldridge, Introductory Econometrics: A Modern Approach, * South-Western College Publishing, 2000. PAR 3000 SAMPLE 1 1129 READ (FERTIL1.shd) year educ meduc feduc age kids black & east northcen west farm othrural town smcity & y74 y76 y78 y80 y82 y84 agesq & y74educ y76educ y78educ y80educ y82educ y84educ * Example 13.1, pp. 409-411 * Estimation results reported in Table 13.1, p. 411 OLS kids educ age agesq black east northcen west farm othrural town smcity & y74 y76 y78 y80 y82 y84 * Test for the significance of year effects * This gives the F-test reported in the middle of p. 410. TEST TEST y74=0 TEST y76=0 TEST y78=0 TEST y80=0 TEST y82=0 TEST y84=0 END * Test for heteroskedasticity DIAGNOS / HET NOWHITE * OLS estimation with heteroskedasticity robust standard errors OLS kids educ age agesq black east northcen west farm othrural town smcity & y74 y76 y78 y80 y82 y84 / HETCOV * Test for the significance of year effects - use the * robust covariance matrix estimate to calculate the F-test statistic. TEST TEST y74=0 TEST y76=0 TEST y78=0 TEST y80=0 TEST y82=0 TEST y84=0 END * The data set is arranged with all data for 1972, followed by * all data for 1974 etc. * The POOL command implements a generalized least squares estimation * procedure that allows for different error variances in each time period. * The NCROSS= option specifies the number of groups (in this case, * the number of time periods). * The RHO=0 option assumes no serial correlation in the model. POOL kids educ age agesq black east northcen west farm othrural town smcity & y74 y76 y78 y80 y82 y84 / NCROSS=7 CSINDEX=year RHO=0 TEST TEST y74=0 TEST y76=0 TEST y78=0 TEST y80=0 TEST y82=0 TEST y84=0 END * Example 15.9, p. 489. 2SLS kids educ age agesq black east northcen west farm othrural town smcity & y74 y76 y78 y80 y82 y84 & (meduc feduc age agesq black east northcen west farm othrural town smcity & y74 y76 y78 y80 y82 y84) * Test for endogeneity OLS educ meduc feduc age agesq black east northcen west farm othrural & town smcity y74 y76 y78 y80 y82 y84 / RESID=V2 * Include the residuals (V2) from the reduced form estimation in the * structural equation. A test for endogeneity is the t-statistic * reported for the coefficient on V2. OLS kids educ age agesq black east northcen west farm othrural town smcity & y74 y76 y78 y80 y82 y84 V2 STOP