An Econometric Evaluation Stata Project Undertake an econometric evaluation of an economic issue using data that you have gathered either from the host of data sets now available on the web, or
that you have assembled yourself from data published in journals or in official sources.
The data set must contain a minimum of 3 variables, (one dependent variable and at least 2 right-hand side variables to be added to a constant term). You should concentrate on estimating a multiple (rather than simple) regression model. minimum of 50 observations in your regressions. The model should be a causal one, This is an accounting identity and so the coefficients
shouldn’t be anything other than one, barring measurement error. The econometric results should include a thorough statistical evaluation using
the full range of (relevant) diagnostic tests highlighted during the course. Do
not use tests just for the sake of it. There are no marks to be gained by doing
countless irrelevant tests. Only use tests that are relevant to the type of data and the economic relationship you are trying to estimate. (For the purposes of the project assume that a sample of 50 or more observations is enough to make
any asymptotic tests valid).
You should aim for a maximum of 2,500 words or around 8 pages of text, 2
to 3 tables of results and 2 or 3 figures (not including the log file)
Please provide a word count on your cover page.
The idea is to choose an economic issue which you find interesting, outline a theory and a set of testable hypotheses that follow on from that. Then test the
theory empirically using the tools you have learned during this term’s course.
The dissertation should read something like a typical article that you would find in a (non-technical) academic journal like the Journal of Economic
Perspectives or the May Papers & Proceedings volumes of the American Economic Review, (the collection of back issues are in the library).
The most important thing is to choose a project that is feasible, that can be finished within one month from start to finish and still allow you time to work
on your other subjects. This means confining your topic to a simple issue.
An Econometric Evaluation Stata Project
Also, it is a good idea to choose a topic that you are interested in, rather than one you feel you ought to do. The more you are interested the easier the
project will be. Do not write the theoretical part of your project until you know you have data that can be used to test your hypotheses.
One good way to find a topic to study is to read the economic pages of the broadsheet newspapers and/or academic articles summarised in the overview
journals like the Journal of Economic Perspectives
or Journal of Economic Literature
both of which are in the library. In addition, there are specialist journals, (and therefore more technical), such as the American Economic Review, Economic Journal, Quarterly Journal of Economics, Journal of Labor Economics, Journal of Industrial
Economics, Journal of Development Economics, Journal of Finance which should all be good sources of current issues concerning academic
economists, There are now a variety of data sources on the internet.
Many UK macroeconomic statistics, (inflation, unemployment, gdp etc), can be downloaded from the Office for National Statistics website
http://www.ons.gov.uk/ons/index.html
The bized site also contains access to official UK data alongside the company account data and some international data.
http://www.bized.co.uk/learn/economics/index.htm
You can find stock market data at the Stock Exchange’s web site
http://www.londonstockexchange.com/
or from yahoo
http://uk.finance.yahoo.com/q/hp?s=%5EFTSE
A very good source of international data both cross section and time series is given at the Resources for Economists website
http://rfe.org/showCat.php?cat_id=2
and also the Statlib website
http://lib.stat.cmu.edu
and also the university of Michigan
http://www.lib.umich.edu/govdocs/stforeig.html
The World Bank also has data
http://worldbank.org
and there are lots of data and ideas at
http://www.economagic.com/
and http://pwt.econ.upenn.edu
The library also has a useful link to some sites
For those of you interested in working with cross section data. I have put 2
different UK cross section data sets on the course web site
GHS_project.dta – which has information on wages, health, smoking, drinking, education and other socio-demographic characteristics of individuals
taken from the General Household Survey
(you can find a codebook giving details of the variables at http://www.esds.ac.uk/findingData/snDescription.asp?sn=5804
Food_project.dta
– which has information on household spending on various consumer items taken from the Expenditure & Food Survey
(you can find a codebook giving details of the variables at http://www.esds.ac.uk/findingData/snDescription.asp?sn=5375
Ideally, your project should look and be structured like an article you can find in any of the economic journals listed above. You are strongly advised to read
some articles to get a feel for how they are presented.
(there is an example article on the course moodle page)
So your project should include the following sections:
Theoretical Framework
Set out the economic theory underlying your project and use it to specify a model and the resulting hypotheses to be tested. Set out your prior
expectations of the likely signs and magnitudes of the coefficients. Discuss any econometric problems you expect to encounter.
An Econometric Evaluation Stata Project Data
Discuss the sources for your data. Give the exact definition of variables (in a Table in an appendix) and sample period, Describe the main features of the
data using a table of sample means and their standard errors. Graph the trends in the dependent and, perhaps, the independent variables. Comment
on the main trends/features.
Econometric Method
Outline the econometric techniques used to estimate your model, (eg.
ordinary least squares with corrections for heteroskedasticty/autocorrelation).
You need to convince the reader that you have made the right choice of
estimation technique. Evaluate the model using the set of (relevant)
diagnostic tests covered in the lectures. (Eg, Box-Cox, Ramsey Reset,
Forecasting). Do NOT report the results of the tests one after another like a
shopping list. Report the tests for each model at the bottom of a column of
estimates. (Again read a journal article for hints on presentation).
An Econometric Evaluation Stata Project Results
Outline your results in tabular form, (check with a journal if you are unsure as
to how to present your results). The Stata command “outreg” will help
considerably with you inputting the results in tabular form. State whether your
hypotheses are accepted or rejected. Comment on the results and on any
diagnostic tests you have used.
Conclusion
Give an overview of your hypotheses and main results
please do the test of Ramsey reset, jb test for normality, box cox, test for endorgeneity, breusch pagan test, chow forecasting test.
I will need both data file and do file.(very important)
This stata is to do ols, basically, it is how your data hold inaccordance to ols.
Every data’s T value must be significant. Those tests are the assumption of ols to test whether violates the assumption, those are correct specification,
exogeneity, homoscedasticity and normality of data. This is cross section data which you are required to do.
