Econometría 2

Docente: Ramiro Rodríguez Revilla

Guía 1 Estadística descriptiva, gráficos y regresiones

I. R
1. Preliminares
getwd(): muestra la carpeta por defecto en la cual se almacenarán los archivos
setwd(): cambiar el directorio en el que se guardarán los archivos
ls(): muestra la lista de objetos que se encuentran en memoria
history(): muestra un script con todos los comandos que se ha ingresado
help() o ?: muestra la ayuda de un comando o función

> setwd("D:/Docencia RRR/Econometria II/Clases Practicas/Practica 1")

2. Leer una base de datos de Stata

> library(haven)
> bdwage=read_dta("wage.dta")
> View(bdwage)

3. Leer una base de datos de Excel

> library(readxl)
> bddda=read_excel("dda.xls")
> View(bddda)
> attach(bddda)

4. Variables cuantitativas
> mean(dx)
[1] 40.38462
> sd(dx)
[1] 16.8994
> summary(dx)
Min. 1st Qu. Median Mean 3rd Qu. Max.
13.00 29.00 38.00 40.38 55.00 63.00
> library(pastecs)
> stat.desc(dx)
nbr.val nbr.null nbr.na min max ra
nge
13.0000000 0.0000000 0.0000000 13.0000000 63.0000000 50.0000
000
sum median mean SE.mean CI.mean.0.95
var
525.0000000 38.0000000 40.3846154 4.6870504 10.2122056 285.5897
436
std.dev coef.var
16.8994007 0.4184614

> stat.desc(bddda)
dx px pz pw ing

1
 nbr.val 13.0000000 13.0000000 13.0000000 13.000000 13.0000000
nbr.null 0.0000000 0.0000000 0.0000000 0.000000 0.0000000
nbr.na 0.0000000 0.0000000 0.0000000 0.000000 0.0000000
min 13.0000000 2.0000000 2.0000000 3.000000 2.0000000
max 63.0000000 12.0000000 18.0000000 15.000000 26.0000000
range 50.0000000 10.0000000 16.0000000 12.000000 24.0000000
sum 525.0000000 80.0000000 93.0000000 94.000000 149.0000000
median 38.0000000 6.0000000 5.0000000 6.000000 8.0000000
mean 40.3846154 6.1538462 7.1538462 7.230769 11.4615385
SE.mean 4.6870504 0.8904490 1.2291656 1.057051 2.2944062
CI.mean.0.95 10.2122056 1.9401217 2.6781218 2.303116 4.9990817
var 285.5897436 10.3076923 19.6410256 14.525641 68.4358974
std.dev 16.8994007 3.2105595 4.4318197 3.811252 8.2725992
coef.var 0.4184614 0.5217159 0.6195017 0.527088 0.7217704

5. Gráficos

5.1 De dispersión
> plot(px,dx)

5.2 Histograma
> hist(dx)

6. Correlación
> cor(dx,px)
[1] -0.9580555
> cor(bddda)
dx px pz pw
dx 1.0000000 -0.9580555 0.8681374 -0.9045916
px -0.9580555 1.0000000 -0.8861698 0.9503078
pz 0.8681374 -0.8861698 1.0000000 -0.8113969
pw -0.9045916 0.9503078 -0.8113969 1.0000000

7. Regresión por MCO

7.1 Estimación modelo regresión simple, generar valores ajustados, errores, gráfico
con valores ajustados y criterios de información Akaike y Bayesiano

> modelo1=lm(dx~px)
> modelo2=lm(dx~px+pz)
> summary(modelo1)

Call:
lm(formula = dx ~ px)

Residuals:
Min 1Q Median 3Q Max
-6.332 -3.160 -1.246 2.097 10.925

Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 71.4179 3.1309 22.81 1.30e-10 ***
px -5.0429 0.4548 -11.09 2.61e-07 ***
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

2
Residual standard error: 5.058 on 11 degrees of freedom
Multiple R-squared: 0.9179, Adjusted R-squared: 0.9104
F-statistic: 122.9 on 1 and 11 DF, p-value: 2.611e-07

> ygorro=fitted(modelo1)
> ygorro
1 2 3 4 5 6 7 8
9
36.11754 41.16045 20.98881 51.24627 26.03172 61.33209 31.07463 31.07463 61
.33209
10 11 12 13
10.90299 56.28918 56.28918 41.16045
> errores=residuals(modelo1)
> errores
1 2 3 4 5 6
7
0.8824627 -3.1604478 -2.9888060 -1.2462687 -4.0317164 -6.3320896 10.92537
31
8 9 10 11 12 13
-2.0746269 1.6679104 2.0970149 3.7108209 5.7108209 -5.1604478

> plot(px,dx)
> abline(modelo1)
> AIC(modelo1)
[1] 82.86814
> BIC(modelo1)
[1] 84.56299

7.2 Modelo log log

> ldx=log(dx)
> lpx=log(px)
> modelo3=lm(ldx~lpx)
> modelo4=lm(ldx~px)
> summary(modelo3)

Call:
lm(formula = ldx ~ lpx)

Residuals:
Min 1Q Median 3Q Max
-0.44042 -0.15593 0.07768 0.12082 0.43954

Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 4.7995 0.2089 22.975 1.20e-10 ***
lpx -0.7220 0.1184 -6.097 7.77e-05 ***
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 0.2491 on 11 degrees of freedom

Multiple R-squared: 0.7717, Adjusted R-squared: 0.7509
F-statistic: 37.18 on 1 and 11 DF, p-value: 7.767e-05

7.3 Exportar el modelo como una tabla a un documento u hoja de Excel

install.packages("stargazer")

> stargazer(modelo1,type="text",out="modelo1.doc")

3
 ===============================================
Dependent variable:
---------------------------
dx
-----------------------------------------------
px -5.043***
(0.455)

Constant 71.418***
(3.131)

-----------------------------------------------
Observations 13
R2 0.918
Adjusted R2 0.910
Residual Std. Error 5.058 (df = 11)
F Statistic 122.935*** (df = 1; 11)
===============================================
Note: *p<0.1; **p<0.05; ***p<0.01

8. Matrices

> summary(modelo2)

Call:
lm(formula = dx ~ px + pz)

Residuals:
Min 1Q Median 3Q Max
-6.2522 -3.1761 -0.9782 1.4181 10.8899

Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 66.4278 11.3119 5.872 0.000157 ***
px -4.6271 1.0187 -4.542 0.001071 **
pz 0.3399 0.7380 0.461 0.654977
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 5.25 on 10 degrees of freedom

Multiple R-squared: 0.9196, Adjusted R-squared: 0.9035
F-statistic: 57.17 on 2 and 10 DF, p-value: 3.365e-06

> matx=cbind(1,px,pz)
> maty=cbind(dx)
> tmatx=t(matx)
> xtx=tmatx%*%matx
> xtxi=ginv(xtx)
> xty=tmatx%*%maty
> dim(xtxi)
[1] 3 3
> dim(xty)
[1] 3 1
> beta=xtxi%*%xty
> beta
dx
[1,] 66.4278183
[2,] -4.6271399
[3,] 0.3398877

4
 > summary(modelo2)

Call:
lm(formula = dx ~ px + pz)

Residuals:
Min 1Q Median 3Q Max
-6.2522 -3.1761 -0.9782 1.4181 10.8899

Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 66.4278 11.3119 5.872 0.000157 ***
px -4.6271 1.0187 -4.542 0.001071 **
pz 0.3399 0.7380 0.461 0.654977
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 5.25 on 10 degrees of freedom

Multiple R-squared: 0.9196, Adjusted R-squared: 0.9035
F-statistic: 57.17 on 2 and 10 DF, p-value: 3.365e-06

II. Stata

1. Realizar lo mismo pero en Stata

2. Matrices

*** Matrices
clear all
use dda
reg dx px pz
**generar variables importantes
gen uno = 1

** informar que las variables deben ser tratadas como matrices

mkmat dx px pz uno

*** generar matriz x

matrix x = uno, px, pz
matrix y=dx

** generar beta
matrix beta = inv(x'*x)*(x'*y)
matrix list beta
** genrerar matriz var cov beta
matrix var=27.5618611*inv(x'*x)
matrix list var