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2013 8

II

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Contents
.....................................................................................................................i

Chapter
01

1.1...................................................... 2
1.2.................................................................................................. 3
1.3.............................................................................................. 4
1.4.................................................................................... 17
1.5............................................................................ 18
1.6.................................................................................................... 19
............................................................................................................. 19

Chapter
02

21

2.1............................................................................................................ 22
2.2............................................................................................................ 32
2.3.................................................................................................... 37
2.4.................................................................................................... 53
............................................................................................................. 54
III

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Chapter
03

55

3.1........................................................................ 56
3.2.................................................................................................... 58
3.3.................................................................................... 65
3.4.................................................................................................... 68
3.5 X Y ................................................................... 71
3.6 X Y ................................................................... 71
3.7................................................................ 75
3.8.................................................................................................... 77
3.9.................................................................................................... 82
............................................................................................................. 83

Chapter
04

85

4.1............................................................................................................ 86
4.2................................................................................................ 88
4.3.................................................................................................... 91
4.4.................................................................................................... 94
4.5.................................................................................................... 95
4.6........................................................................................................ 96
4.7........................................................................................ 98
4.8........................................................ 99
IV

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Contents
4.9......................................................................100
4.10................................................................................................100
...........................................................................................................101

Chapter
05

103

5.1..............................................................104
5.2..............................................................................105
5.3..............................................................................107
5.4OLS .............................................................................108
5.5..........................................................110
5.6......................................................111
5.7..........................................................................112
5.8......................................................................................115
5.9TSCS .......................................................................................118
5.10................................................................................................122
...........................................................................................................123

Chapter
06

125

6.1..................................................................126
6.2..................................................127


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6.3 k = 0 ..................................................................129
6.4......................................................................130
6.5......................................................................133
6.6..................................................................................................135

Chapter
07

137

7.1..............................................................138
7.2..............................................................144
7.3..........................................................................151
7.4F F Test......................................................................................152
7.5Incremental R2............................................................153
7.6..........................................................................................154
7.7..................................................................................................155
7.8..................................................................................................157

Chapter
08

159

8.1..................................................................160
8.2..................................................................................................161
8.3..........................................................................................167
8.4..................................................................................................167
VI

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Contents
8.5..........................................................169
8.6..................................................................................................170
8.7..................................................................................................175
...........................................................................................................176

Chapter
09

177

9.1..................................................................................................178
9.2..................................................................................................178
9.3......................................................................................179
9.4......................................................................................180
9.5..................................................................................184
9.6..................................................................................................185
9.7..................................................................................................200
...........................................................................................................201

Chapter
10

203

10.1........................................................................204
10.2....................................................................................205
10.3....................................................................................206
10.4................................................................................207
VII

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10.5........................................................................210
10.6................................................................................................211
...........................................................................................................212

Chapter
11

213

11.1 ............................................................................................214
11.2 ........................................................................................229
11.3 ........................................................................................235
11.4 ................................................................................................243
...........................................................................................................244

Chapter
12

245

12.1........................................................................246
12.2....................................................................................247
12.3....................................................................................250
12.4................................................................................................264
...........................................................................................................264

VIII

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Contents
Chapter
13

265

13.1............................................................................................266
13.2............................................268
13.3................................................278
13.4............................................284
13.5....................................................287
13.6................................................................................................290
...........................................................................................................291

Chapter
14

293

14.1............................................................................................294
14.2............................................................................296
14.3............................................297
14.4................................................................................299
14.5....................................................................................302
14.6................................................................................................307
...........................................................................................................308

IX

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Chapter
15

311

15.1....................................................................................313
15.2................................................................................................333
15.3................................................................................................341
...........................................................................................................342

Chapter
16

345

16.1........................................................................347
16.2............................................................................348
16.3................................................................................350
16.4....................................................................351
16.5............................................................................357
16.6................................................................................................360
16.7................................................................................................370
...........................................................................................................370

Chapter
17

373

17.1....................................................................375
17.2........................................................................378


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Contents
17.3........................................................................................381
17.4................................................................................................389
...........................................................................................................390

Chapter
18

Logit

391

18.1........................................................392
18.2............................................................................................394
18.3........................................................................................400
18.4........................................................................401
18.5................................................................................407
18.6....................................................................................410
18.7................................................................................................412
...........................................................................................................412

413

XI

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t

01

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1.1

2006

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Chapter

01

1.2

Stata
TSCS2010
1988 1995 CHIP1990

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GSS1998 2000 2002 2005

CLHLS 1972
2010

TSCS
Stata10.0

1.3

1.3.1
population
sample

2005 2005
20 35

2005
2005

parameter

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Chapter

01

statistic
statistical
inference

sample analog estimator

1.3.2
random variable

Daniel A. Powers 2008

1-1

1-1




Daniel A. Powers Yu Xie(2008) Statistical Methods for Categorical Data Analysis

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quantitative variable
qualitative variable

1 = 0 = 1 0

categorical variable
continuous variable
discrete variableinterval variable

ordinal variable
nominal variable

1 =
2 = 3 = 4 = 5 = 15

1 = 2 =
3 = 4 = 1 = 2 =

12

1.3.3
X

ratio variable

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Chapter

01

ii = 1, 2, NN i
X probability distribution
x i X x
P (X = x) 0
1
X X = 1X = 2X = 3
1-1
1-1
X=x

P(X = x)

1=

0.3

2=

0.4

3=

0.3

X xi
f(x)probability density function, pdf

(1)

(- , ) 1

(2)

= P(a < X b) = F(b) - F(a) (a, b]

(a, b] F()

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1.3.4
X cumulative probability distribution
xi P(X xi)
1-2
1-
X = xi

P(X = xi )

P(X xi )

1=

0.3

0.3

2=

0.4

0.7

3=

0.3

1.0

F(x) = P(X x) =
1-2 1-3 X

 f(x)

P(X a)
a

1-

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Chapter

01

F(x)
1

F(a) = P(X a)

1-

1.3.5
Xexpectation E(X)

P(xi) X = xi E()

0.5 0.5
10,000 0.5
0.5 0.5
0.5

f(x)

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10

TSCS
2010 earn 37416.8

. sum earn
Variable |

Obs

Mean

Std. Dev.

Min

Max

--------------+-------------------------------------------------------------earn |

1262

37416.8 31083.77

5000

350000

TSCS dichotomous
variabledummy variable 1 = female0
= male
. sum female
Variable |

Obs

Mean

Std. Dev.

Min

Max

--------------+------------------------------------------------------------female |

1262

.4469097 .4973705

0.4469

. tab female
gender(female=1) |

Freq.

Percent

Cum.

----------------------+----------------------------------------0 |




698

55.31

55.31

0 1 12

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Chapter

1 |

564

44.69

01

100.00

----------------------+--------------------------------------Total |

1262

100.00

1.3.6
conditional expectation
XY X = xi Y
Y

11

(1) C E(C | X) = C
(2) k1, k2 E[(k1Y1 + k2Y2) | X] = k1E(Y1 | X) + k2E(Y2 | X)
(3) X Y E(Y | X) = E(Y)
(4) E(Y) = E[E(Y | X)]
TSCS earn
E(earn | female = 1) = 32198.58
. sum earn if female==1
Variable |

Obs

Mean

Std. Dev.

Min

Max

--------------+--------------------------------------------------------------earn |

564

32198.58 27232.43

5000

350000

1.3.7
law of iterated expectations LIE

E(Y) = Ex[E(Y | X)]

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12

Ex X X
Y 5

1.3.8
X variance
Var(X) =

[xi - E(X)]2P(xi)

P(xi) X = xi P(X = xi) Var()

X [xi - E(X)]2

Var(X) = E{[X - E(X)]2}

Var(X) = E(X2) - [E(X)]2

S2 2

n-1 n

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Chapter

01

Stata summarize
S S2

1.3.9
X X standard deviation
(X)

(X)
(X) S.D. S Stata
2010
31083.77
standard error S.E.

S.E.
Central Limit Theo
rem

Stata TSCS

Std. Dev. TSCS

31083.77 Std. Err.
n = 1262
874.9917

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13

14

. sum earn
Variable |

Obs

Mean

Std. Dev.

Min

Max

--------------+---------------------------------------------------------------earn |

1262

37416.8 31083.77

5000

350000

. mean earn
Mean estimation

Number of obs

= 1262

----------------------------------------------------------------------|

Mean

Std. Err.

[95% Conf. Interval]

-------------+-------------------------------------------------------earn |

37416.8 874.9917

35700.2

39133.4

----------------------------------------------------------------------
2 1-3

1-

S.D.

1.3.10 standardized random variable

X E(X) (X)

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Chapter

01

X
TSCS
earn

. sum earn
Variable |

Obs

Mean

Std. Dev.

Min

Max

-------------+--------------------------------------------------------------earn |

1262

37416.8 31083.77

5000

350000

earn_st
. gen earn_st=(earn-37416.8 )/31083.77
0 1

1.3.11
X Y covariance Cov(X, Y)

Cov(X, Y) =

[xi - E(X)][yj - E(Y)]P(xi, yj)

P(xi, yj) X = xi Y = yj P(X = xi Y = yj) Cov()

X Y Cov(X, Y) = 0

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15

16

Cov(X, Y) = E{[X - E(X)][Y - E(Y)]}

Cov(X, Y) = E(XY) - E(X)E(Y)

X X

earn educyr
Stata
. corr earn educyr, cov
(obs=1262)
|

earn educyr

-------------+----------------------earn | 9.7e+08
educyr | 25414.3 10.9921
22

9.7108 10.9921 25414.3

1.3.12
correlation coefcient

X Y
(X, Y)

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Chapter

01

(X) (Y) X Y Cov(X, Y) X Y

| (X, Y) | 1

X Y Cov(X, Y) = 0
(X, Y) = 0 (X, Y) = 0 X Y
(X, Y) = 0 X Y
X Y

Stata earn
educyr
. corr earn educyr
(obs = 1262)
|

earn educyr

-------------+--------------------earn |
educyr |

1.0000
0.2466 1.0000

0.2466

1.4

(1) X Y X + Y

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17

18

E(X + Y) = E(X) + E(Y)

Var(X + Y) = Var(X) + Var(Y) + 2Cov(X, Y)
X Y
1 + 2 12 + 22
(2) X Y X - Y
E(X - Y) = E(X) - E(Y)
Var(X - Y) = Var(X) + Var(Y) - 2Cov(X, Y)
X Y
1 - 2 12 + 22
(3) T = X1 + X2 + + XS S T

E(T) =
Var(T) =

E(Xi)
Var(Xi)

1.5
1.5.1
E(a + bX) = a + bE(X)

X* = a + bXX* X rescalinga
locationb scale

E(a) = a
E(bX) = bE(X)
1/1000

1.5.2
Var(a + bX) = b2Var(X)

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Chapter

01

(1) (2)

1.5.3
(1) Cov(X, X) = Var(X)
(2) Cov(X, Y) = Cov(Y, X)
(3) Cov(C, X) = 0C
(4) Cov(X1 + X2, Y) = Cov(X1, Y) + Cov(X2, Y)
(5) Cov(a + bX, c + dY) = bd[Cov(X, Y)]

(6) (a + bX, c + dY) = (X, Y)

1.6

Powers, Daniel A. and Yu Xie. 2008. Statistical Methods for Categorical Data Analysis
(Second edition). Howard House, England: Emerald.
Xie, Yu and Emily Hannum. 1996. Regional Variation in Earnings Inequality in Reform-

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19

20

Era Urban China. American Journal of Sociology 101:950-992.

2006

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22

2.1
2.1.1
1

parameter
statistic
S
Z F t

2.1.2

n n
TSCS 1262
100 500
2-1 2-2 2-3
. histogram earn, percent normal

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..
, 2013.09

ISBN 978-957-11-7216-3 ()
1.
511.7

102013966

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