* The World Health Report * * Keywords: * regression, ols, f-test, wald test, world health report, who * * Description: * We illustrate how to estimate linear OLS models for life expectancy, derived * on the data from the World Health Report, and how to test the significance * of coefficients using F and Wald tests * * Author(s): * Noel Roy * Skif Pankov * * Source: * William H. Greene, Econometric Analysis - 7th Edition * Pearson International Edition, Chapter 6, Example 6.10 (page 213) * * Reading the datafile and naming the variables, specifying to ignore the * first 2 lines of the file read (TableF6-3.shd) comp dale year hexp hc3 small country groupti oecd gini geff & voice tropics popden pubthe gdpc / skiplines=2 * Turning off warnings of skipped observations set nowarnskip * Skipping observations when year is not 1997 skipif (year .ne. 1997) * The dataset includes political subunits of countries, which must be extracted. * Skip observations when small is greater than 0 (0 implies country unit) skipif (small .gt. 0) * Generating the square of education variable genr hc3sq = hc3**2 * Running OLS regressions for all countries ols dale hexp hc3 hc3sq ols dale hexp hc3 hc3sq gini tropics popden pubthe gdpc geff voice * Testing significance of the additional variables in the second regression * using an F-test test test gini test tropics test popden test pubthe test gdpc test geff test voice end * Saving the Sum of Squred Errors, numbers of observations and coefficients from * previous regression in separate variables gen1 sse=$sse gen1 k=$k gen1 n=$n * Skipping if country is not in the oecd skipif (oecd .eq. 0) * Running the regressions above for the OECD countries only, specifying to save * the estimated coefficients and covariance matrix in separate variables ols dale hexp hc3 hc3sq ols dale hexp hc3 hc3sq gini tropics popden pubthe gdpc geff voice / coef=theta1 cov=v1 * Testing the significance of additional variables test test gini test tropics test popden test pubthe test gdpc test geff test voice end * Saving sum of squared errors (sse) to test for structural break gen1 sse1=$sse * Non-oecd regressions * We must restore the non-oecd countries to the sample by removing the skip * indicators delete skip$ * Restoring the skipping of all except 1997 countries skipif (year .ne. 1997) skipif (small .gt. 0) * Skipping if the country is an OECD member skipif (oecd .eq. 1) * Running the regressions above for the non-OECD countries, specifying to save * the estimated coefficients and covariance matrix in separate variables. ols dale hexp hc3 hc3sq ols dale hexp hc3 hc3sq gini tropics popden pubthe gdpc geff voice /coef=theta2 cov=v2 * Testing the significance of additional variables test test gini test tropics test popden test pubthe test gdpc test geff test voice end * Saving the sum of squared errors (sse) to test for structural breaks gen1 sse2=$sse * Calculating F-statistic for structural break gen1 f = ((sse-(sse1+sse2))/k)/((sse1+sse2)/(n-2*k)) * Outputting the F-statistic print f * Calculating degrees of freedom gen1 df=n-2*k * Computing the probability density function (pdf) and the cummulative density * function (cdf) for variable f, specifying that it has an F-distribution with k and * df degrees of freedom - this gives the value of the test statistic distrib f / type=f df1=k df2=df * Calculating Wald test statistic w in equation using shazam's matrix * manipulation capabilities. matrix w = (theta1-theta2)'inv(v1+v2)(theta1-theta2) * Outputting w print w * The wald statistic is asymptotic chi-square, so we can use the distrib * command to calculate its p value distrib w / type=chi df=k stop