------------------------------------------------------------------------------------------------------------------------------------ log: C:/stataproject/micrometrics/hw7/hw7.log log type: text opened on: 16 Dec 2002, 20:42:33 . *Page 336, 11.12. ; . use /stataproject/micrometrics/hw7/murder.dta, replace; . *a.; . reg cmrdrte d93 cunem cexec,cluster(id); Regression with robust standard errors Number of obs = 102 F( 3, 50) = 3.80 Prob > F = 0.0157 R-squared = 0.0252 Number of clusters (id) = 51 Root MSE = 4.3003 ------------------------------------------------------------------------------ | Robust cmrdrte | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- d93 | -1.296717 1.306089 -0.99 0.326 -3.920075 1.326641 cunem | .1630854 .2998749 0.54 0.589 -.439231 .7654018 cexec | -.1150682 .0386021 -2.98 0.004 -.1926027 -.0375337 _cons | 1.51099 1.056408 1.43 0.159 -.6108674 3.632848 ------------------------------------------------------------------------------ . *c.; . ivreg cmrdrte d93 cunem (cexec=cexec_1),cluster(id); IV (2SLS) regression with robust standard errors Number of obs = 51 F( 2, 50) = 1.01 Prob > F = 0.3725 R-squared = 0.1096 Number of clusters (id) = 51 Root MSE = 1.079 ------------------------------------------------------------------------------ | Robust cmrdrte | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- cexec | -.1000972 .0724523 -1.38 0.173 -.2456219 .0454276 d93 | (dropped) cunem | -.0667262 .1464632 -0.46 0.651 -.3609061 .2274537 _cons | .410966 .2058505 2.00 0.051 -.002497 .8244289 ------------------------------------------------------------------------------ Instrumented: cexec Instruments: d93 cunem cexec_1 ------------------------------------------------------------------------------ . *first stage regression; . reg cexec cexec_1 d93 cunem; Source | SS df MS Number of obs = 51 -------------+------------------------------ F( 2, 48) = 20.09 Model | 281.429488 2 140.714744 Prob > F = 0.0000 Residual | 336.217571 48 7.00453273 R-squared = 0.4556 -------------+------------------------------ Adj R-squared = 0.4330 Total | 617.647059 50 12.3529412 Root MSE = 2.6466 ------------------------------------------------------------------------------ cexec | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- cexec_1 | -1.08241 .1707822 -6.34 0.000 -1.42579 -.7390289 d93 | (dropped) cunem | .0400493 .3892505 0.10 0.918 -.7425912 .8226898 _cons | .3139609 .5116532 0.61 0.542 -.7147868 1.342709 ------------------------------------------------------------------------------ . test cexec_1; ( 1) cexec_1 = 0.0 F( 1, 48) = 40.17 Prob > F = 0.0000 . *d.; . reg cmrdrte d93 cexec cunem if id~=44,cluster(id); Regression with robust standard errors Number of obs = 100 F( 3, 49) = 0.66 Prob > F = 0.5776 R-squared = 0.0190 Number of clusters (id) = 50 Root MSE = 4.3448 ------------------------------------------------------------------------------ | Robust cmrdrte | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- d93 | -1.298473 1.306983 -0.99 0.325 -3.924953 1.328007 cexec | -.1261069 .1471378 -0.86 0.396 -.4217914 .1695776 cunem | .1643528 .2968937 0.55 0.582 -.4322775 .7609831 _cons | 1.511777 1.064562 1.42 0.162 -.6275402 3.651094 ------------------------------------------------------------------------------ . ivreg cmrdrte d93 cunem (cexec=cexec_1) if id~=44,cluster(id); IV (2SLS) regression with robust standard errors Number of obs = 50 F( 2, 49) = 0.15 Prob > F = 0.8586 R-squared = . Number of clusters (id) = 50 Root MSE = 1.112 ------------------------------------------------------------------------------ | Robust cmrdrte | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- cexec | .082233 1.298529 0.06 0.950 -2.52726 2.691726 d93 | (dropped) cunem | -.0826635 .1683045 -0.49 0.626 -.4208841 .255557 _cons | .3939505 .2528434 1.56 0.126 -.1141574 .9020584 ------------------------------------------------------------------------------ Instrumented: cexec Instruments: d93 cunem cexec_1 ------------------------------------------------------------------------------ . reg cexec cexec_1 d93 cunem if id~=44; Source | SS df MS Number of obs = 50 -------------+------------------------------ F( 2, 47) = 0.50 Model | 2.24130974 2 1.12065487 Prob > F = 0.6109 Residual | 105.75869 47 2.2501849 R-squared = 0.0208 -------------+------------------------------ Adj R-squared = -0.0209 Total | 108.00 49 2.20408163 Root MSE = 1.5001 ------------------------------------------------------------------------------ cexec | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- cexec_1 | -.1247862 .1353647 -0.92 0.361 -.397105 .1475325 d93 | (dropped) cunem | .0819492 .2206608 0.37 0.712 -.361963 .5258614 _cons | .1187586 .2906389 0.41 0.685 -.4659315 .7034486 ------------------------------------------------------------------------------ . test cexec_1; ( 1) cexec_1 = 0.0 F( 1, 47) = 0.85 Prob > F = 0.3613 . *e.; . ivreg2 cmrdrte d93 cunem cexec (=cexec_1), cluster(id) gmm; HOLS-GMM estimation ------------------- Number of clusters (id) = 51 Number of obs = 51 Total (centered) SS = 62.76038803 Centered R2 = 0.1097 Total (uncentered) SS = 66.93999421 Uncentered R2 = 0.1653 Residual SS = 55.87263377 Root MSE = 1.04668 ------------------------------------------------------------------------------ | Robust cmrdrte | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- d93 | .4132747 .1940339 2.13 0.033 .0329752 .7935743 cunem | -.0673809 .1416125 -0.48 0.634 -.3449363 .2101745 cexec | -.1034155 .0139885 -7.39 0.000 -.1308325 -.0759985 _cons | (dropped) ------------------------------------------------------------------------------ Hansen J statistic (Lagrange mulitplier test of excluded instruments): 0.002 Chi-sq(1) P-val = 0.96128 ------------------------------------------------------------------------------ Collinearities detected among instruments: 1 instrument(s) dropped Instruments: d93 cunem cexec cexec_1 ------------------------------------------------------------------------------ . ivreg2 cmrdrte d93 cunem (cexec=cexec_1), cluster(id) gmm; GMM estimation -------------- Number of clusters (id) = 51 Number of obs = 51 Total (centered) SS = 62.76038803 Centered R2 = 0.1096 Total (uncentered) SS = 66.93999421 Uncentered R2 = 0.1652 Residual SS = 55.8811355 Root MSE = 1.04676 ------------------------------------------------------------------------------ | Robust cmrdrte | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- cexec | -.1000972 .0702891 -1.42 0.154 -.2378612 .0376669 d93 | .410966 .1997043 2.06 0.040 .0195526 .8023793 cunem | -.0667262 .1420901 -0.47 0.639 -.3452178 .2117653 _cons | (dropped) ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.000 (equation exactly identified) ------------------------------------------------------------------------------ Collinearities detected among instruments: 1 instrument(s) dropped Instrumented: cexec Instruments: d93 cunem cexec_1 ------------------------------------------------------------------------------ . log close; log: C:/stataproject/micrometrics/hw7/hw7.log log type: text closed on: 16 Dec 2002, 20:42:34 ------------------------------------------------------------------------------------------------------------------------------------