setwd("C:/Users/marcogeovanni/Desktop/Modern Guide To Econometrics/Chapter 4")
library(readstata13)
labordataset <- read.dta13("LABOUR2.dta")
attach(labordataset)
ols1 <-lm(labor~ wage + output + capital)
Res <- residuals(ols1)^2
Aux1 <- lm(Res~ wage + output + capital)
library(stargazer)
## Warning: package 'stargazer' was built under R version 3.2.3
##
## Please cite as:
## Hlavac, Marek (2015). stargazer: Well-Formatted Regression and Summary Statistics Tables.
## R package version 5.2. http://CRAN.R-project.org/package=stargazer
stargazer(ols1,Aux1, type = "text",out="table1.txt")
##
## ===========================================================
## Dependent variable:
## ----------------------------
## labor Res
## (1) (2)
## -----------------------------------------------------------
## wage -6.742*** 228.857
## (0.501) (302.217)
##
## output 15.400*** 5,362.207***
## (0.356) (214.354)
##
## capital -4.590*** -3,543.509***
## (0.269) (162.119)
##
## Constant 287.719*** -22,719.520*
## (19.642) (11,838.870)
##
## -----------------------------------------------------------
## Observations 569 569
## R2 0.935 0.582
## Adjusted R2 0.935 0.580
## Residual Std. Error (df = 565) 156.256 94,181.840
## F Statistic (df = 3; 565) 2,716.024*** 262.049***
## ===========================================================
## Note: *p<0.1; **p<0.05; ***p<0.01
library(lmtest)
## Warning: package 'lmtest' was built under R version 3.2.3
## Loading required package: zoo
##
## Attaching package: 'zoo'
## The following objects are masked from 'package:base':
##
## as.Date, as.Date.numeric
bptest(ols1)
##
## studentized Breusch-Pagan test
##
## data: ols1
## BP = 331.07, df = 3, p-value < 2.2e-16
ols2 <-lm(log(labor)~ log(wage) + log(output) + log(capital))
Res2 <- residuals(ols2)^2
wagelog2 <- log(wage)^2
outputlog2 <- log(output)^2
capitallog2 <- log(capital)^2
Aux2 <- lm(Res2~ log(wage) + log(output) + log(capital) + wagelog2 + outputlog2 + capitallog2 + log(wage)*log(output) + log(wage)*log(capital) + log(output)*log(capital))
stargazer(ols2,Aux2, type = "text",out="table1.txt")
##
## ==========================================================================
## Dependent variable:
## -------------------------------------------------
## log(labor) Res2
## (1) (2)
## --------------------------------------------------------------------------
## log(wage) -0.928*** -1.299
## (0.071) (1.753)
##
## log(output) 0.990*** -0.904
## (0.026) (0.560)
##
## log(capital) -0.004 1.142***
## (0.019) (0.376)
##
## wagelog2 0.193
## (0.259)
##
## outputlog2 0.138***
## (0.036)
##
## capitallog2 0.090***
## (0.014)
##
## log(wage):log(output) 0.138
## (0.163)
##
## log(wage):log(capital) -0.252**
## (0.105)
##
## log(output):log(capital) -0.192***
## (0.037)
##
## Constant 6.177*** 2.545
## (0.246) (3.003)
##
## --------------------------------------------------------------------------
## Observations 569 569
## R2 0.843 0.103
## Adjusted R2 0.842 0.088
## Residual Std. Error 0.465 (df = 565) 0.851 (df = 559)
## F Statistic 1,011.023*** (df = 3; 565) 7.124*** (df = 9; 559)
## ==========================================================================
## Note: *p<0.1; **p<0.05; ***p<0.01
library(sandwich)
## Warning: package 'sandwich' was built under R version 3.2.3
coeftest(ols2, vcov. = vcovHC)
##
## t test of coefficients:
##
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 6.1772896 0.3017675 20.4704 <2e-16 ***
## log(wage) -0.9277642 0.0888371 -10.4434 <2e-16 ***
## log(output) 0.9900474 0.0482929 20.5009 <2e-16 ***
## log(capital) -0.0036975 0.0390842 -0.0946 0.9247
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
LogRes2 <- log(residuals(ols2)^2)
Aux3 <- lm(LogRes2~ log(wage) + log(output) + log(capital))
library(nlme)
## Warning: package 'nlme' was built under R version 3.2.3
kk <- exp(fitted(Aux3))
gls1 <- lm (log(labor) ~ log(wage) + log(output) + log(capital), weights=(1/kk))
stargazer(gls1,Aux3, type = "text",out="table1.txt")
##
## ===========================================================
## Dependent variable:
## ----------------------------
## log(labor) LogRes2
## (1) (2)
## -----------------------------------------------------------
## log(wage) -0.856*** -0.061
## (0.072) (0.344)
##
## log(output) 1.035*** 0.267**
## (0.027) (0.127)
##
## log(capital) -0.057*** -0.331***
## (0.022) (0.090)
##
## Constant 5.895*** -3.254***
## (0.248) (1.185)
##
## -----------------------------------------------------------
## Observations 569 569
## R2 0.851 0.024
## Adjusted R2 0.850 0.019
## Residual Std. Error (df = 565) 2.509 2.240
## F Statistic (df = 3; 565) 1,074.480*** 4.728***
## ===========================================================
## Note: *p<0.1; **p<0.05; ***p<0.01