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The Stata Journal Promoting communications on statistics and Stata
Scopus
ISSN 1536-867X · SAGE Publishing · 7 artikel di indeks
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Artikel Jurnal Teks lengkap
ardl: Estimating autoregressive distributed lag and equilibrium correction models
We present a command, ardl, for the estimation of autoregressive distributed lag (ARDL) models in a time-series context. The ardl command can be used to fit an ARDL model with the optimal number of autoregressive and distributed lags based on the Akaike or Bayesian (Schwarz) information criterion…
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Implementing the panel event study
Many studies estimate the impact of exposure to some quasi-experimental policy or event using a panel event study design. These models, as a generalized extension of 'difference-in-differences' or two-way fixed effect models, allow for dynamic lags and leads to the event of interest to be…
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Testing for slope heterogeneity in Stata
In this article, we introduce a new community-contributed command, xthst, to test for slope heterogeneity in panels with many observations over cross-sectional units and time periods. The command implements such a test, the delta test (Pesaran and Yamagata, 2008, Journal of Econometrics 142…
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The Romano–Wolf multiple-hypothesis correction in Stata
When considering multiple-hypothesis tests simultaneously, standard statistical techniques will lead to overrejection of null hypotheses unless the multiplicity of the testing framework is explicitly considered. In this article, we discuss the Romano–Wolf multiple-hypothesis correction and document…
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Recentered influence functions (RIFs) in Stata: RIF regression and RIF decomposition
Recentered influence functions (RIFs) are statistical tools popularized by Firpo, Fortin, and Lemieux (2009 , Econometrica 77: 953–973) for analyzing unconditional partial effects on quantiles in a regression analysis framework (unconditional quantile regressions). The flexibility and simplicity of…
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The random forest algorithm for statistical learning
Random forests (Breiman, 2001, Machine Learning 45: 5–32) is a statistical- or machine-learning algorithm for prediction. In this article, we introduce a corresponding new command, rforest. We overview the random forest algorithm and illustrate its use with two examples: The first example is a…
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Artikel Jurnal Teks lengkap
Fast Poisson estimation with high-dimensional fixed effects
In this article, we present ppmlhdfe, a new command for estimation of (pseudo-)Poisson regression models with multiple high-dimensional fixed effects (HDFE). Estimation is implemented using a modified version of the iteratively reweighted least-squares algorithm that allows for fast estimation in…