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Regression Analysis, Testing Hypothesis - Econometrics - Lecture Slides, Slides of Econometrics and Mathematical Economics

Regression Analysis, Testing hypothesis, In depth analysis of line graph, In depth analysis of scatter graph, Simple regression, Multiple regression, Linear regression are key and learning points in this lecture of Econometric.

Typology: Slides

2011/2012

Uploaded on 11/10/2012

uzman
uzman 🇮🇳

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Regression Analysis & Testing

Hypothesis

OBJECTIVES

The main objectives are: ™In depth analysis of line graph ™In depth analysis of scatter graph ™Working

with

labels,

legend

and

other

graphing options.

Regression Analysis

The regress command is used to run ‘Simple as well asMultiple regression’. regress depvar [indepvars] [if] [in] [weight] [, options] The mostly used options are given below:

noconstantvcerobusthc2hc3level(#)beta^

(gives standardized beta.)

Simple Linear Regression AnalysisLoad the data file named ‘auto.dta’.Lets run a Simple Regression of ‘price’ on ‘mpg’.Go to Statistics Menu

Æ^

Linear models and related

Æ

Linear regression.

Simple Linear Regression AnalysisThe regression result is shown: (Interpret the results).

Try other options in the dialogue as well.

Simple Linear Regression AnalysisTo^ get

the

predicted/estimated’

values

,^ simply

use

the

‘predict command’.

predict newvar

Here ‘newvar’ is the name of new variable which storespredicted/estimate/Y-hat values.Suppose we want to save the ‘predicted values’ in variable‘estprice’.Then the command is:

predict estprice

10

Simple Linear Regression AnalysisTo get the plot of actual price vs the estimated price, simplydraw a line graph b/w these two.For this you have to specify a time variable ‘sno’. line price estprice sno

15,000 10,000 5,000 0 0

20

40

60

80

sno Price Fitted values

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11

Simple Linear Regression AnalysisTo store the residuals in a variable named “resids,” type:

predict resids, residuals This will generate a new variable with the name resids whichcontains residuals.Use the list command to list residuals.

13

Multiple Linear Regression AnalysisA dialogue box appear:Select

‘price’

as

the

Dependent variable.Select ‘mpg’ & ‘weight’ asthe independent variables.Click submit.

14

Multiple Linear Regression AnalysisThe regression result is shown: (Interpret the results).^ Find ‘predicted values and the residuals. Make a line plot ofactual vs the estimated values.

16

Testing Hypothesis

With the regression output in the Results window,We would like to test several hypotheses.To test whether a

weight

contributes as much as

foreign

to the

price,Type:

test weight = foreign

17

Testing Hypothesis

To test whether the variables “weight” and “foreign” are jointlysignificant in our model,Type:

test weight foreign

19

Testing Hypothesis

The result is given below:

20

Testing Hypothesis

Try the command.

ttest mpg = weight