计量虚拟变量讲解.pptVIP

南京工业大学经济管理学院 张家峰 Ieconometrics16.ppt 南京工业大学经济管理学院 张家峰 中级计量经济学INTERMEDIATE ECONOMETRICS 多元回归虚拟变量之二 Chapter Outline Describing Qualitative Information A Single Dummy Independent Variable Using Dummy Variable for Multiple Categories Interactions Involving Dummy Variables A Binary Dependent Variable: The Linear Probability Model Interactions Among Dummy Variables Interactions of dummy variables with other dummy variables and/or other explanatory variables makes the regression analysis much more powerful. We start with the interaction of a dummy with another dummy. Interactions of dummies allows another way to observe and test group difference among different groups. Interactions Among Dummy Variables Consider the wage model with female-married interaction with the base group still be single men: This model also allows us to obtain the estimated wage differential among all four groups, but here we must be careful to plug in the correct combination of zeros and ones. Comment: no real advantage over using multiple dummy variables. Just another possible way. Interacting Dummies with Other Explanatory Variables For what? To allow differences in slopes. Now suppose that we wish to test whether the return to education is the same for men and women, allowing for a constant wage differential between men and women. We need a model that allows for a constant wage differential as well as different returns to education. Interacting Dummies with Other Explanatory Variables To be more specific, we wish to model to be log(wage)=β0+ β1 educ+u for male, log(wage)=β’0+ β’1 educ+u for female, where β0 ≠ β’0 as we have already found evidence that there exists wage differential between male and female. Let β’0= β0+δ0 , β’1= β1+δ1 , then we can combine the above two equations using a dummy female: log(wage)= β0+δ0 female+(β1+δ1 female) educ+u, rearranging, log(wage)= β0+δ0 female+β1educ+δ1 female· educ+u, where we observe the dummy, and the interaction of the dummy with ot