《计量经济学导论》ch7.pptVIP

Chapter 7 ;Qualitative Information Examples: gender, race, industry, region, rating grade, … A way to incorporate qualitative information is to use dummy variables They may appear as the dependent or as independent variables A single dummy independent variable;Graphical Illustration;Dummy variable trap;Estimated wage equation with intercept shift Does that mean that women are discriminated against? Not necessarily. Being female may be correlated with other produc-tivity characteristics that have not been controlled for.;Comparing means of subpopulations described by dummies Discussion It can easily be tested whether difference in means is significant The wage difference between men and women is larger if no other things are controlled for; i.e. part of the difference is due to differ-ences in education, experience and tenure between men and women;Further example: Effects of training grants on hours of training This is an example of program evaluation Treatment group (= grant receivers) vs. control group (= no grant) Is the effect of treatment on the outcome of interest causal?;Using dummy explanatory variables in equations for log(y) ;Holding other things fixed, married women earn 19.8% less than single men (= the base category);Incorporating ordinal information using dummy variables Example: City credit ratings and municipal bond interest rates ;Interactions involving dummy variables Allowing for different slopes Interesting hypotheses ;Graphical illustration;Estimated wage equation with interaction term ;Testing for differences in regression functions across groups Unrestricted model (contains full set of interactions) Restricted model (same regression for both groups);Null hypothesis Estimation of the unrestricted model ;Joint test with F-statistic Alternative way to compute F-statistic in the given case Run separate regressions for men and for women; the unrestricted SSR is given by the sum of the SSR of these two regressions Run regression for the restricted mo