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tw
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www.wunan.com.tw
(02)2705-5066





STATA SPSS
SASLISREL/HLMjMultiGretlAMOSLIMDEP Eviews STATA
(1) (2)
vs.
(3)
FRED(4)( )
panel (4)

STATA ( vs. )
STATA
Menu Menu
Stata longitudinal data panel-data
Stata
STATA

1. Stata
2. Stata
3. Stata
4. Panel-data Stata
longitudinal data ( AR MA ARIMAVAR VECM
)Stata panel-data
(cross section)
Stata
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(02)2705-5066 I


panel
panel vs.
vs. vs. ( )

(http://www.softhome.com.tw) STATA
STATA

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(02)2705-5066
II


Chapter
01 (Panel-Data) 1

1-1 ............................................................................................................2
1-1-1 ...........................................................................8
1-1-2 Panel ................................................. 10
1-2 ............................................................................. 18
1-2-1 OLS ............................................... 18
1-2-2Panel .......................................... 34
1-3 (panel-data) .................................................................... 37
1-3-1 ................................................................ 37
1-3-2 .................................................................... 40
1-3-3 ................................................ 42
1-3-4Panel .......................................................... 45
1-3-5 ................................................................ 49
1-4 (panel-data) Stata ...................................... 53
1-5 (panel-data) ........................................................ 60
1-5-1Panel .................................................. 60
1-5-2 (panel-data) vs. ................ 67
1-5-3a (panel-data) (identify) ................ 71

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(02)2705-5066 III
 1-5-3bFEBERE (panel-data)
.................................................................................. 83
1-5-4 (LSDV) ......... 90
1-5-5 (panel-data) ( vs. )
........................................................................................ 96
1-6 Panel .................................................................................... 102
1-6-1xtreg ............................................................. 102
1-6-2 Panel xtreg ...................... 106
1-6-2axtreg (panel-data)
................................................................................. 107
1-6-2b Fixed Effects Random Effects
Hausman (1978) ............................................ 134
1-6-3Two-Way ( reg
icc ) ................................................................. 138
1-7 (pooled OLS

?) ........................................................................................... 156
1-7-1F ( pooled OLS vs. ?)
xtreg, fe ................................................................. 160
1-7-2Lagrange (pooled OLS vs. ?)
xttest0 .................................................. 161
1-7-3F Lagrange (multiplier)
Hausman .............................................................. 162
1-7-4Hausman
(hausman ) ....................................................................... 177

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IV
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 Contents

Chapter
02 Panel-Data ( OLS
reg ) 185

2-1 (OLS) (assumption) ..................................... 186

2-2 ................................................... 190
2-3 ........................................................... 197
2-4 (crime rates in North Carolina) ........................................ 205

Chapter
03 225

3-1 (AR) (SC) ................................................. 226

3-1-1 OLS ............................................. 232
3-1-2Longitudinal Data ................................................ 242
3-1-3 (disturbances) AR(p)
(autoregressive of order p) ........................................................ 245
3-1-4 (SC) ......................... 246
3-1-4aDurbin-Watson AR(1) ....................... 246
3-1-4b AR(p) ........ 248
3-2 Longitudinal Data ( bgodfrey newey/prais
) ............................................................................................. 257
3-2-1 AR(3)( regbgodfrey
newey )................................................................ 259
3-2-2 AR(4)( dwatsonbgodfrey
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newey/prais) ......................................................................... 265
(02)2705-5066 V
 3-3 AR ........................................... 280
3-3-1 AR(1)( reg newey
AR1) ................................................................................ 280
3-3-2 AR(3)( reg, bgodfrey
newey )............................................................................. 287
3-3-3 AR ( reg prais ) ............. 292
3-4 Panel-Data Wooldridge (xtserial ) ................... 296
3-5 Panel-Data AR(1) ..................................................... 301
3-5-1a AR(1) xtregar ....... 303
3-5-1bxtserial .................................... 320
3-5-1c regivreg2 abar
xtabond2 .................................................................................. 322
3-6 Panel ............................. 328
3-6-1a (pooled) vs. (PA)
............................................................................. 333
3-6-1b vs. .................................. 339
3-6-1c (hausman ) ................. 350
3-6-1d AR(1) Panel (xtregar ) .................... 353
3-6-1e Panel (xttest3)
(xttest2 ) ........................................................ 355
3-6-1f Panel (xtgls ) ......... 356

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VI
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 Contents

Chapter
04 (xtgls ) 359

4-1 ....................................................................................... 361

2
4-1-1 it ............................................................... 361
2
4-1-2 it ........................................................... 365
4-2 (heteroskedasticity) .............................................. 373
4-2-1 OLS (hettest ) ............. 376
4-2-2OLS Robust ............................ 385
4-2-3 ln()
( reg whitetst ) ........................................................ 387
4-2-4 ( reg bpagan ) .................... 389
4-2-5 (longitudinal data) ARCH
( reg bpagan ) ......................................................... 393
4-3 Panel-Data 2it ..................................... 397
4-3-1Panel-Data
( xtgls xttest2 ) ....................................................... 397
2
4-3-2a Panel-Data it
( xtgls lrtest ) ........................................ 404
4-3-2b Panel-Data
(xtgls, panels(hetero)corr(ar1) ) ............................. 411
2
4-3-2c Panel-Data it
( lmhlrxt ) .......................................... 415
4-3-3FGLS Panel-Data
(xtgls ) .............................................................................. 419
4-4 Panel-Data (xtpcse ) ........ 423
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(02)2705-5066 VII
 Chapter
05 (Panel-Data) 431

5-1 (panel-data) ....................................................... 433

5-1-1 (panel-data regression model).............. 433
5-1-2Stata (panel-data) .................................... 443
5-2 Panelwide formlong form: Wages ........................ 454
5-3 (Long) Panels ............................................................................... 466
5-3-1 (Long) Panels .......................................................... 466
5-3-2 (Long) Panels ...................................................... 467
5-4 Panel .................................................................... 468
5-4-1 OLS (reg ) .................................................. 470
5-4-2 OLS (reg, vce(cluster i) ) ........................... 474
5-4-3 OLS (xtgee, corr(ar 2) vce(robust) ) ... 474
5-4-4 (between GLS)
(xtreg, be ) ........................................................................ 476
5-4-5 (or within) (xtreg, fe ) ........................ 476
5-4-6 (xtreg, re ) ........................................... 485
5-4-7 (reg, vce(cluster i) )............. 493
5-4-8 Panel se .............................................. 496
5-5 vs. ............................................................ 497
5-6 Panel IV( )xtivreg ................................ 499
5-7 (random coefficients) (xtrc ) ............................... 504

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VIII
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 Contents

Chapter
06 ( )
(2SLS) 511

6-1 (2SLS) .............................................. 512

6-1-1 OLS ..................................... 512
6-1-2 (IV) ..................................................... 517
6-1-3 X(random regressor)
Z(instrumental variable) ........................................................... 523
6-1-4a..................... 525
6-1-4bWu-Hausman
(estat endogenous ) ................................................. 547
6-1-5 ...................................................... 556
6-1-6 (instrumental variables) .................. 561
6-1-7 vs. ................................ 567
6-2 Panel ................................. 569
6-2-1 Z ...................... 570
6-2-2 Hausman OLS vs. 2SLS
(hausman ) ....................................................................... 590
6-2-3Panel-Data Hausman-Taylor
(xthtaylor) ................................................................................. 602
6-2-4 (ivregress 2sls ) ... 615
6-2-5 Probit
(ivprobit, twostep )....................................................... 622
6-3 Panel-Data (xtivreg ) ............ 629
6-3-1 Panel ........... 629
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(02)2705-5066 IX
 6-3-2 Panel (xtivreg ) .............................. 631
6-3-2aPanel xtreg vs.
xtivreg ................................................................ 632
6-3-2bPanel IVG2SLSEC2SLS
IV (xtivreg ) ............................................. 640
6-3-2cPanel-Data
(xtivreg, fd ) ............................................................... 645

Chapter
07 Panel-Data 651

7-1 (unit root test) ................................................... 654

7-1-1 .............................................. 655
7-1-2 ...................................................................... 658
7-1-3 .......................................................... 660
7-1-4ADF ..................................................... 661
7-1-5Augmented Dickey-Fuller(ADF) ......................... 661
7-2 Panel-Data ............................................................... 665
7-2-1Panel-Data: Levin and Lin Test (xtunitroot llc ) .............. 678
7-2-2Panel-Data: IPS (xtunitroot ips )............................. 679
7-2-3Panel-Data: Fisher Test (xtunitroot fisher ) ............ 680
7-3 Panel-Data ................................................................ 681
7-4 ....................................................................... 688
7-4-1Cointegration ........................................................... 693
7-4-2Stata ..................................... 697
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 Contents

7-5 Panel ............................................................................. 715

7-6 Panel-Data ................................... 717
7-6-1 .................................. 718
7-6-2aGroup-Mean ........................... 719
7-6-2bPanel ...................................... 720
7-6-2c (asymptotic test distribution) ......................... 721
7-6-2d (cross-sectional dependence) ..................... 722
7-7 Panel-Data ........................... 723
7-7-1xtwest ....................................................................... 723
7-7-2 (error-correction-based) Panel
(xtwest ) ........................................................................... 725

Chapter
08 Panel 743

8-1 Panel Models ....................................................... 744

8-1-1Panel ............................................ 746
8-1-2 (count) Zero-Inflated Poisson ..... 747
8-1-3Panel .................................... 754
8-1-4 Panel Models .................................................. 756
8-2 Panel .................................................................... 756
8-2-1 PanelPooled Population-Averaged .... 756
8-2-2 Panel ................................................ 757
8-2-3 Panel ................................................ 758
8-2-4 Panel (FE) ....................................... 759
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(02)2705-5066 XI
 8-3 Panel (count data) ................................ 760
8-3-1Nonlinear Panel (count) ................... 760
8-3-2Count Data (over dispersed) (xtsum ) .... 761
8-4 (likelihood-based) Count ........ 766
8-4-1Panel Poisson Pooled Poisson
(poisson ) ......................................................................... 767
8-4-2Panel Poisson (PA)Poisson
(xtgee ) ............................................................................. 771
8-4-3aPanel Poisson (RE) Gamma
(xtpoisson, re ) ............................................................... 782
8-4-3bPanel Poisson (RE) Normal
(xtpoisson, re ) ............................................................... 786
8-4-4Panel Poisson (xtpoisson, fe
xtpqml, fe )................................................................ 789
8-4-5 Cluster-Robust Poisson
...................................................................................... 794
8-4-6 Panel (FE count panel)......... 795
8-4-7Panel Poisson (GMM) ......................... 796
8-4-7a (GMM) .......................... 799
8-4-7b (ivregress 2sls)
(GMM) ........................................................................... 804
8-4-7c Lag CAPM (GMM) ........ 807
8-4-7d Endogenous Regressor Poisson
(GMM) ............................................................... 816
8-4-7eLogit Panel xtgeextlogit ........................ 818
8-5 (multilevel mixed) ................................................... 827
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XII
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 Contents

8-5-1a......................................................................... 829
8-5-1b .................... 832
8-5-2a (xtmixed ) ............. 834
8-5-2bMixed Multilevel Hierarchical
Model (xtmixed ) ........................................................... 844
8-5-2c (xtmixed ) .............. 850
8-5-2d (panel)
(xtmixed )....................................................................... 854
8-5-2e (panel)
(xtmixed ) ....................................................................... 862
8-5-3 (GEE) Panel-Data
(xtgee ) ............................................................................. 868
8-5-4a Logistic (xtmelogit ) ........ 891
8-5-4b Logistic (xtmelogit ) ................ 899
8-5-5 Poisson
(xtmepoisson ) ................................................................. 907
8-5-6 (xtmixed ).... 912
8-5-7 (xtmixed+ nlcom ) .................................. 922
8-6 (clustered data) ................................................................. 931
8-6-1 Panel ( xtreg, vce (cluster)) ..... 931
8-6-2 (clustered data) Stata .................................. 933
8-6-3 (clustered data) ( ) .................. 934

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(02)2705-5066 XIII
 Chapter
09 Panel-Data 949

9-1 ....................................................................................... 950

9-2 (dynamic) Panel ....................................................... 954
9-2-1 Panel
(xtabondxtdpd ) ............................................................ 955
9-2-2aGMM Panel-Data ...................................... 967
9-2-2b Panel
(xtdpdsysgmm ) ......................................................... 968
9-2-3Arellano-Bond Panel-Data (xtabond ) ... 973
9-2-3aArellano-Bond (xtabond ) ............. 974
9-2-3b Arellano-Bond
(xtabond ) ....................................................................... 981
9-2-4Arellano-Bond Panel-Data (xtdpd ) ....... 993

997

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XIV
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 t e r
p

01
a
Ch

(Panel-Data)

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 Panel-data Stata

CD copy
Stata File >
Chang working directoryD:\04_
(panel-data) File > Open*.dta

1-1

a, b, c (constant)
(coefficient)f, g, h i, j, k x, y, z X, Y,
Z ( M S)
( )




(Eigen value) (Eigen vector)

( ) (coefficient
matrix) (mn) (coefficient)

1-1

(
A( ) Alpha ( ) ( ) Nu
)
(
B( ) Beta ( ) ( ) Xi
)
(
( ) ( ) Gamma Omicron
)
( (
( ) Delta ( ) Pi
) )
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2
 (Panel-Data)
Chapter
01

( ) ( ) Epsilon ( ) Pho
(
( ) ( ) Zeta ( ) Sigma
)
(
( ) Eta ( ) Tau
)
( ) () Theta ( ) ( ) Upsilon
( ) Iota ( ) ( ) Phi
( (
( ) Kappa ( ) Chi
) )
(
MANOVA ( ) Lambda ( ) ( ) Psi
)
( ) ( ) Mu ( ) Omega

Panel

x y
y




(panel-data)( longitudinal data)
Panel
vs.
(panel-data)
(panel-data)

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(02)2705-5066 3
 Panel-data Stata

(econometrics)
(economic
measurement)






1.


2. 


3.



Stata longitudinal data panel-data
longitudinal data Stata
panel-data

(regression model)
(estimate) (test)
(forecast)

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4
 (Panel-Data)
Chapter
01

(TS)

(CS)

panel-data(PA)

TS: ARIMA, VAR, VECM

CS reg, gls, SEM, ,

Tobit, Logic

PA xtreg, xtgls, xtmixed,

xtdpd, xtivreg, xthtaylor, xtpcse

1.
2.
3.Panelhausman
4.
5.

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1-1
(02)2705-5066 5
 Panel-data Stata

(panel-data)( ) (cross section)

(time series) (panel-data)
(unit) (stack)


(panel-data)

(
)

Panel Rotating Panel Split Panel

1.
1.
Panel
()
Panel

2.
2.
( ) (composite
()


estimation)


1.
1.Panel


1. ()
()
Panel
2.
3. 2. ( )

2.

(composite estimation)




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(02)2705-5066
6
 (Panel-Data)
Chapter
01
Panel Rotating Panel Split Panel
4.
Panel
Panel

5.


6.





Panel

Panel

Panel


1.
1.




Panel
7.

2. 2.Panel

Panel Panel Panel

1.


Panel



2.


Panel


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(02)2705-5066 7
 Panel-data Stata

Panel Panel Panel

3.
Panel


Panel

Panel

4.


Panel

5. Panel



Panel
6. Panel



Panel

1-1-1

(research)

1.
2. ( )( vs. )
3.
4.
5.
6.

1. (cross section survey)

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8
 Chapter
(Panel-Data) 01




Stata


2. (longitudinal survey)
( )



(panel)
( )
(1) panel fixed-sample panel design (panel
study)



(2)





(3) (event
history analysis)

Cox


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(02)2705-5066 9
 Panel-data Stata

Stata

3. Panel( )
(dependent variable)


Panel

panel study
(a panel) panel study
(genalized longitudinal) Panel study

panel study ( )

1-1-2 Panel

(panel-data)

( )

panel Mundlak(1961), Balestra Nerlove(1966)
(panel-data)
(panel-data)



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10
 (Panel-Data)
Chapter
01

(Panel)

1-2

(panel-data)

(panel-data)

(Ohio) NLS
(the National Longitudinal Surveys of Labor Market Experience)
PSID (University of Michigans Panel Study of Income
Dynamics)NLS panel
panel 1966 45 59 1966 14
24 1967 30 44 1968 14 24
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 Panel-data Stata

1979 14 21

1. (Ohio) panel

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1-3 (Ohio) NLS

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12 https://www.chrr.ohio-state.edu/ (Surveys Investigator NLS Investigator)
 (Panel-Data)
Chapter
01
2. (Michigan) PSID
PSID (University of Michigans Panel Study of Income Dynamics)
1968 6,000 15,000 5,000
5,000

1-4 (Michigan) PSID

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 Panel-data Stata

3. (Connell) panel

1-5 (Connell) panel

http://www.ciser.cornell.edu/info/datasource.shtml ( Data List of Internet Sources)

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 (Panel-Data)
Chapter
01
4. (Princeton) panel

1-6 (Princeton) panel

http://dss.princeton.edu/cgi-bin/dataresources/newdataresources.cgi?term=1
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 Panel-data Stata

5.

1-7

https://www.icpsr.umich.edu/icpsrweb/ICPSR/studies/29981?keyword=crime+rates&permit
%5B0%5D=AVAILABLE
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 (Panel-Data)
Chapter
01
6. (http://caser.ust.hk/?act=project_hkpssd) panel

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1-8 panel 17
 Panel-data Stata

1-2
1-2-1 OLS

(panel-data) (pooled) OLS

Stata regress (ordinary least squares, OLS)OLS
least squares s
2
s (minimise the sum of the s) min(i)
OLS

1. OLS

x'i (explanatory variables)

x x
2. OLS
y = X' +

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 (Panel-Data)
Chapter
01
95
90

85

80
(kg)

75
70
65

60
55
160 165 170 175 180 185 190
(cm)

1-9 OLS ( x y)

OLS
1. (population linear regression)

E(Yt | Xt) = 1 + 2Xt

2. (stochastic disturbance or stochastic error term)

t = Yt - E(Y | Xt)

3. (simple linear regression model)

Yt = E(Y | Xt) + t = 1 + 2Xt + t

Yt (dependent variable)
Xt (independent variable)
t (error)
1, 2 (coefficient of regression)

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 Panel-data Stata

1.
2.
3.
4.

( )OLS (assumptions)
A1. (linear) 1 2
A2. s Xs (uncorrelated)E(i | Xi) = 0
(1) (regressor) (endogenous) A2 E(i Xi) =
0
(2) Cov(x, ) 0 OLS x (endogenous)

(3)
(instrumental variables, IV)
x
x

Yt = 1 + 2 Xt + t

ZX

1-10 Z x y

A3. (the expected value of the error) 0

E(t | Xt) = 0 E(Yt) = 1 + 2 Xt

A4. (the variance of the error) (homoskedasticity)

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20
 (Panel-Data)
Chapter
01
E(t | Xt) = 2 = Var(Yt | Xt)

(Homoskedasticity)

(Homoskedasticity) (Heteroskedasticity)

1-11 vs.

A5. (series independent) (s

uncorrelated with each other)

Cov(t, S | Xt) = 0 = Cov(Yt, YS | Xt)

A6. Xt ( A2 Cov(Xt, t) = 0)
2
A7. t N(0, ) ( )
(disturbances) iid ( 0 )

( )
1. (dummy variable)(1) (2)
CHOW vs. OLS
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 Panel-data Stata

2. (heteroskedasticity)Stata Robust
( log-log )
xtreg xtgls, panels(hetero) corr(ar1)
4
3. (autocorrelation) (serial correlation) 3
7
4. (random regressor) (instrumental variables)
(gllamm, xtabond, xtcloglog, xtgee, xtintreg, xtlogit, xtmelogit, xtmepoisson,
xtmixed, xtnbreg, xtpoisson, xtprobit, xtreg, xtregar, xttobit re )
(xtivreg , ivregress )
6
5. Poisson 8
6. (lags) 9

( ) (sample linear regression)( 1-12)

(residual)
(estimator)

( )
1. A1 8
2. A2 E(t) 0 679
3. A3 Var(t) = (heteroskedasticity) 4
4. A4 Cov(t, S) 0 (serial correlation)
3
5. A5 Xt 15
6.
OLS

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 (Panel-Data)
Chapter
01

E(Y | Xt) = 1 + 2 Xt

E(Y | Xt)

1-12 vs.

1.

2. A2-A5 iid ( independently
identical distribution)

1. (least squares principle)Ordinary Least Squares (OLS)

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 Panel-data Stata

( )

(normal equations)

( )

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 Chapter
(Panel-Data) 01

2. (maximum likelihood estimation, MLE)

(OLS) (MLE) (MM)

t (p.d.f.)

p.d.f. (likelihood function)

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 Panel-data Stata

2 2
ln L(1, 2, ) 1, 2,

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 Chapter
(Panel-Data) 01
3. (method of moments, MM)
(1) (population moments)

(2) (sample moments)

1. (residual variance)

2.

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(02)2705-5066 27
 Panel-data Stata

H 0 1 = 0
H 1 1 0

H0

3.

H 0 2 = 0
H 1 2 0

H0

4.

5.

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 Chapter
(Panel-Data) 01
H 0 2 = 0
H 1 2 0
H0

1. X0 Y0 (point forecast)


(forecast error)

(confidence interval for the point forecast)

Y0

2. X0 E(Y | X0) (mean predictor)

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(02)2705-5066 29
 Panel-data Stata

E(Y | X0)

3.
f
Yt Yt

(1) (mean squared error, MSE) =

(2) (root mean squared error, RMSE) =

(3) (mean absolute error, MAE) =

(4) (mean absolute percent error, MAPE) =

(5) (mean squared percent error, MSPE) =

(6) (root mean squared percent error, RMSPE) =

(goodness of fit)
1. (coefficient of determination)R2

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