《微观计量经济学模型(Model-of-Microeconometrics)》.docxVIP

微观计虽经济学模型( Model of Microeconometrics ) Generalized Linear Models Three aspects of the linear regression model for conditionally normally distributed response y are: The linear predictor i xT through which i E(y」Xi). (2) y |Xi ⑶i is N( i, 2) GLMs: extends (2)and(3) to distributions for y. Specifically, more general families yi | xi may follow a density: — 、 y f(y； , ) exp 7 ，c(y;) of :canonical parameter, depends on the linear predictor. :dispersion parameter, is often known. Also i and i are related by a monotonic transformation, g( i) i Called the link function of the GLM. Selected GLM families and their canonical link Family Canonical link Name binomial log( /(1 )) logit gaussian identity poisson log log Binary Dependent Variables Model: E(yi|Xi) Pi F(xT ),i 1,2,......n In the probit case: F equals the standard normal CDF In the logit case: F equals the logistic CDF Example: (1)Data Considering female labor participation for a sample of 872 women from Switzerland. The dependent variable: participation The explain variables: income,age,education,youngkids,oldkids,foreignyesandageA2 R: library(AER) data(SwissLabor) summary(SwissLabor) participation income age education no :471 Min. : 7.187 Min. :2.000 Min. : 1.000 yes:401 1st Qu.:10.472 1st Qu.:3.200 1st Qu.: 8.000 Median :10.643 Median :3.900 Median : 9.000 Mean :10.686 Mean :3.996 Mean : 9.307 3rd Qu.:10.887 3rd Qu.:4.800 3rd Qu.:12.000 Max. :12.376 Max. :6.200 Max. :21.000 youngkids oldkids foreign Min. :0.0000 Min. :0.0000 no :656 1st Qu.:0.0000 1st Qu.:0.0000 yes:216 Median :0.0000 Median :1.0000 Mean :0.3119 Mean :0.9828 3rd Qu.:0.0000 3rd Qu.:2.0000 Max. :3.0000 Max. :6.0000 Estimation R: swiss_prob=glm(participation~.+I(ageA2),data=SwissLabor,family=bino mial(link=probit)) summary(swiss_prob) Call: glm(formula = participation ~ . + I(ageA2), family = binomial(link = probit), data = SwissLabor) Deviance Residuals: Min 1Q Median 3Q Max -1.9191 -0.9695 -0.4792 1.0209 2.4803 Coefficients: Estimate Std. Error z