计量经济学-实验三(共6页).doc

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1、精选优质文档-倾情为你奉上浙 江 财 经 大 学实 验（实训）报 告项 目 名 称 logistic or probit model 所属课程名称 计量经济学 项 目 类 型 验证性实验 实验(实训)日期 15年04月 日 班 级 学 号 姓 名 指导教师 浙江财经大学教务处制一、实验（实训）概述：【目的及要求】目的: 当被解释变量是虚拟变量时，学会用Logistic model或Probit model进行估计，掌握似然比（LR）检验，学会解释模型的估计值。要求: 掌握Logistic model或Probit model的估计，按具体的题目要求完成实验报告,并及时上传到给定的FTP！【基本

2、原理】MLE【实施环境】（使用的材料、设备、软件）STATA软件二、实验（实训）内容：【项目内容】Logistic model或Probit model的估计【方案设计】题目来自 Wooldridge chapter 17 C17.8。【实验（实训）过程】（步骤、记录、数据、程序等）附后【结论】（结果、分析）附后三、指导教师评语及成绩：评语：成绩： 优 指导教师签名：倪伟才 批阅日期：15年04月实验三报告Logistic model，Probit model（验证性实验）实验类型：验证性实验实验目的：当被解释变量是虚拟变量时，学会用Logistic model或Probit model进行估

3、计，掌握似然比（LR）检验，学会解释模型的估计值。实验内容：Logistic model或Probit model的估计实验要求：掌握Logistic model或Probit model的估计，按具体的题目要求完成实验报告,并及时上传到给定的FTP！实验题目：abstracted from chapter17 C17.8The file JTRAIN2.dta ontains data on a job training experimentfor a group of men. Men could enter the program starting in January 1976 up

4、through about mid-1977.The program ended in December 1977.The idea is to test whether participation in the job training program had an effect on unemployment probabilities and earnings in 1978. 就业培训是否对失业率及收益有影响(i)The variable train is the job training indictor. How many men in the example participat

5、ed in the job training program? What was the highest number of months a man actually participated in the program? (consider the variable mosinex).(ii)Run a linear regression of train on several demographic and pretraining variables:unem74,unem75,age,educ,black,hisp,and married. Are these variables j

6、ointly significant at the 5% level?(iii)Estimate a probit version of the linear model in part(ii).Compute the likelihood ratio test for joint significance of all variables .What do you conclude?(iv) Run a simple regression of unem78 on train and report the results in equation form. What is the estim

7、ated effect of participating in the job training program on the probability of being unemployed in 1978? Is it statistically significant?(v)Run a probit of unem78 on train .Does it make sense to compare the probit coefficient on train with the coefficient obtained from the linear model in part(v)?(v

8、i)Find the fitted probabilities from parts(v) and (vi).Explain why they are identical.Which approach would you use to measure the effect and statistical significance of the job training program?(vii)Add all of the variables from part(ii) as additional controls to the models from parts(v) and (vi).Ar

9、e the fitted probabilities now identical? What is the correlation between them? 实验题目分析报告：(i)sum train if train=1445人中有185人参加就业培训计划sum mosinex实验中时间最长的为24个月(ii)reg train unem74 unem75 age educ black hisp marriedF（7，437）=1.43.p=0.1915，5%的置信水平上联合显著(iii)probit train unem74 unem75 age educ black hisp marr

10、iedP(train = 1|x) = F(b0 + b1unem74 + b2unem75 + b3age + b4educ + b5black + b6hisp + b7married) LR chi2（7）=10.18，p=0.1785，和第二题中LPM获得的近似。(iv) reg unem78 trainunem= 0.35 - 0.11train （0.028） （0.044）n=445，=0.0139参加在职培训的在1987年失业率下降了0.111，这是很大的影响，没有参加培训的失业率为0.354，培训将失业率降低至0.243，这个差异在1%的双侧检验下具有显著的统计意义。(v)p

11、robit unem78 train (0.080) (0.128)与题目四模型中的系数比较无意义，但两个模型的t统计量相同。(vi)qui reg unem78 trainpredict lhat(option xb assumed; fitted values)tabulate lhatqui probit unem78 trainpredict phat(option pr assumed; Pr(unem78)tabulate phat(vii) qui reg unem78 train unem74 unem75 age educ black hisp marriedpredict l2hat(option xb assumed; fitted values)qui probit unem78 train unem74 unem75 age educ black hisp marriedpredict p2hat(option pr assumed; Pr(unem78)corr p2hat l2hat拟合的值已不再完全相同，因为模型不饱和，解释变量不是详尽的、互相排斥的一组虚拟变量。但由于其他解释变量是微不足道的，而且都是高度相关拟合的值，拟合的值不完全相同，他们之间有0.9932的相关。专心-专注-专业