STATA Commands for Econometrics

STATA Commands for Econometrics#

Basic Operations#

Data Management#

  • Load a dataset:

    use "filename.dta", clear

  • Save a dataset:

    save "filename.dta", replace

  • Browse data:

    browse

  • Summarize variables:

    summarize varname

  • List specific variables:

    list varname1 varname2

Data Import/Export#

  • Import CSV:

    import delimited "filename.csv", clear

  • Export to CSV:

    export delimited "filename.csv"

Variable Management#

Create, Drop, and Rename Variables#

  • Generate new variable:

    generate newvar = expression

  • Replace variable values:

    replace varname = expression

  • Drop a variable:

    drop varname

  • Rename a variable:

    rename oldvar newvar

Label Variables and Values#

  • Label a variable:

    label variable varname "Label description"

  • Label values of a variable:

    label define lblname 1 "Label1" 2 "Label2"
label values varname lblname

Missing Values#

  • Count missing values:

    count if missing(varname)

Descriptive Statistics and Data Exploration#

Basic Statistics#

  • Mean, standard deviation, etc.:

    summarize varname, detail

  • Frequency of categorical variables:

    tabulate varname

Cross-tabulation#

  • Two-way table:

    tabulate var1 var2

  • Add row and column percentages:

    tabulate var1 var2, row col

Correlation Matrix#

  • Pairwise correlations:

    correlate var1 var2 var3

Data Transformations#

Recoding Variables#

  • Recode values of a variable:

    recode varname (oldval1 = newval1) (oldval2 = newval2)

Generating Categorical Variables#

  • Creating dummies (binary variables):

    generate newvar = (varname == value)

Logarithmic and Other Transformations#

  • Log of a variable:

    generate logvar = log(varname)

Time Series and Panel Data#

  • Set panel data:

    xtset panelvar timevar

  • Set time series:

    tsset timevar

Regressions and Statistical Models#

Basic Regression#

  • Linear regression:

    regress depvar indepvar1 indepvar2

  • Robust standard errors:

    regress depvar indepvar1, robust

Instrumental Variables (IV) Regression#

  • Two-stage least squares (2SLS):

    ivregress 2sls depvar (endogvar = instrumentvar) indepvars

Probit and Logit#

  • Probit model:

    probit depvar indepvars

  • Logit model:

    logit depvar indepvars

Panel Data Models#

  • Random effects model:

    xtreg depvar indepvars, re

  • Fixed effects model:

    xtreg depvar indepvars, fe

Time Series Models#

  • Autoregressive model (AR):

    arima depvar, ar(1)

  • Vector autoregression (VAR):

    var depvar1 depvar2, lags(1/2)

Post-estimation and Diagnostics#

Predictions#

  • Generate fitted values:

    predict yhat

  • Generate residuals:

    predict residuals, residuals

Model Fit Statistics#

  • Display regression statistics:

    estat ic

Heteroskedasticity Tests#

  • Breusch-Pagan test:

    estat hettest

Multicollinearity Diagnostics#

  • Variance inflation factor (VIF):

    estat vif

Marginal Effects#

  • Calculate marginal effects:

    margins

  • Marginal effects at means:

    margins, atmeans

  • Marginal effects at specific values:

    margins, at(varname=value)

Hypothesis Testing#

  • Test linear restrictions:

    test var1 = var2

  • Test joint significance:

    test var1 var2 var3

  • Test non-linear restrictions:

    testnl _b[var1] * _b[var2] = 1

Linear and Nonlinear Combinations#

  • Linear combination of coefficients:

    lincom var1 + var2

  • Nonlinear combination of coefficients:

    nlcom exp(_b[var1])

  • Delta method for standard errors:

    nlcom _b[var1] / _b[var2]

Graphs and Visualizations#

Basic Graphs#

  • Histogram:

    histogram varname, normal

  • Scatter plot:

    scatter var1 var2

Regression Plot#

  • Add a line to scatter plot:

    twoway (scatter y x) (lfit y x)

Box Plots#

  • Boxplot:

    graph box varname, over(groupvar)

Packages#

Installing Packages#

ssc install packagename
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