Assingment 8

Chitresh Kumar
if(!require("pacman")) install.packages("pacman")
pacman::p_load(tidyverse, reshape, gplots, ggmap, RStata,haven,

data.table,margins,pastecs,MASS,lmtest,broom,car,stargazer,sandwich,knitr,dpl
yr)
search()
theme_set(theme_classic())

df<-read_dta('ivreg2.dta')
head(df)

## # A tibble: 6 x 4
## x y z1 z2
## <dbl> <dbl> <dbl> <dbl>
## 1 -0.965 1.16 0.438 -1.17
## 2 -2.33 1.53 -2.51 -1.43
## 3 0.472 4.78 -0.449 -0.0394
## 4 -3.43 -3.58 -0.848 0.530
## 5 0.138 2.14 0.729 0.0836
## 6 -1.53 1.03 -0.638 -0.603

PART b
a=df$y
b=df$x

e=a-3-b

cor(b,e)

## [1] 0.65136

PART c
e_y=3+b
ggplot(df,aes(x=a,y=b))+
geom_point()+
geom_smooth(method="lm")
PART D
lmdata_1<- df %>% slice(1:10)
lm_1<-lm(y~x,data=lmdata_1)
summary(lm_1)

##
## Call:
## lm(formula = y ~ x, data = lmdata_1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1.6450 -0.6888 -0.2390 0.4484 1.9556
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 2.7775 0.3608 7.698 5.76e-05 ***
## x 1.3722 0.1727 7.945 4.59e-05 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 1.136 on 8 degrees of freedom
## Multiple R-squared: 0.8875, Adjusted R-squared: 0.8735
## F-statistic: 63.12 on 1 and 8 DF, p-value: 4.589e-05
lmdata_2<- df %>% slice(1:20)
lm_2<-lm(y~x,data=lmdata_2)
summary(lm_2)

##
## Call:
## lm(formula = y ~ x, data = lmdata_2)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1.83171 -0.52577 0.08304 0.45379 1.75205
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 3.0169 0.2036 14.81 1.59e-11 ***
## x 1.3876 0.1211 11.46 1.05e-09 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.9056 on 18 degrees of freedom
## Multiple R-squared: 0.8795, Adjusted R-squared: 0.8728
## F-statistic: 131.4 on 1 and 18 DF, p-value: 1.053e-09

lmdata_3<- df %>% slice(1:100)

lm_3<-lm(y~x,data=lmdata_3)
summary(lm_3)

##
## Call:
## lm(formula = y ~ x, data = lmdata_3)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2.1199 -0.5289 0.0271 0.5255 1.7940
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 3.00783 0.07872 38.21 <2e-16 ***
## x 1.40164 0.05330 26.30 <2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.7864 on 98 degrees of freedom
## Multiple R-squared: 0.8759, Adjusted R-squared: 0.8746
## F-statistic: 691.5 on 1 and 98 DF, p-value: < 2.2e-16

lmdata_4<- df %>% slice(1:500)

lm_4<-lm(y~x,data=lmdata_4)
summary(lm_4)
##
## Call:
## lm(formula = y ~ x, data = lmdata_4)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2.20345 -0.51588 -0.01086 0.52412 2.26606
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 3.01825 0.03410 88.5 <2e-16 ***
## x 1.45352 0.02367 61.4 <2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.7624 on 498 degrees of freedom
## Multiple R-squared: 0.8833, Adjusted R-squared: 0.8831
## F-statistic: 3770 on 1 and 498 DF, p-value: < 2.2e-16

PART e
df$e<-e
cor(df)

## x y z1 z2 e
## x 1.0000000 0.9398447 0.620821104 0.28948601 0.651359982
## y 0.9398447 1.0000000 0.399870154 0.19965601 0.871374239
## z1 0.6208211 0.3998702 1.000000000 -0.01530765 -0.003447192
## z2 0.2894860 0.1996560 -0.015307651 1.00000000 0.027708992
## e 0.6513600 0.8713742 -0.003447192 0.02770899 1.000000000

PART f
lmdata_1<- df %>% slice(1:10)
lm_i1<-lm(x~z1,data=lmdata_1)
x_fit<-fitted(lm_i1)
sls_1<-lm(y~x_fit,data=lmdata_1)
summary(sls_1)

##
## Call:
## lm(formula = y ~ x_fit, data = lmdata_1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -4.8950 -1.4894 -0.5804 2.4329 3.0017
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 2.7144 0.8705 3.118 0.0143 *
## x_fit 1.0640 0.5142 2.069 0.0723 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 2.733 on 8 degrees of freedom
## Multiple R-squared: 0.3486, Adjusted R-squared: 0.2672
## F-statistic: 4.282 on 1 and 8 DF, p-value: 0.07231

lmdata_2<- df %>% slice(1:20)

lm_i2<-lm(x~z1,data=lmdata_2)
x_fit2<-fitted(lm_i2)
sls_2<-lm(y~x_fit2,data=lmdata_2)
summary(sls_2)

##
## Call:
## lm(formula = y ~ x_fit2, data = lmdata_2)
##
## Residuals:
## Min 1Q Median 3Q Max
## -5.7627 -1.2284 0.2782 1.3325 3.6378
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 3.0810 0.5024 6.132 8.61e-06 ***
## x_fit2 1.0263 0.3952 2.597 0.0182 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 2.225 on 18 degrees of freedom
## Multiple R-squared: 0.2726, Adjusted R-squared: 0.2322
## F-statistic: 6.745 on 1 and 18 DF, p-value: 0.01821

lmdata_3<- df %>% slice(1:100)

lm_i3<-lm(x~z1,data=lmdata_3)
x_fit3<-fitted(lm_i3)
sls_3<-lm(y~x_fit3,data=lmdata_3)
summary(sls_3)

##
## Call:
## lm(formula = y ~ x_fit3, data = lmdata_3)
##
## Residuals:
## Min 1Q Median 3Q Max
## -5.8057 -1.4028 0.2217 1.5811 4.0127
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 2.9771 0.2058 14.463 < 2e-16 ***
## x_fit3 0.9363 0.2217 4.223 5.41e-05 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 2.053 on 98 degrees of freedom
## Multiple R-squared: 0.1539, Adjusted R-squared: 0.1453
## F-statistic: 17.83 on 1 and 98 DF, p-value: 5.408e-05

lmdata_4<- df %>% slice(1:500)

lm_i4<-lm(x~z1,data=lmdata_4)
x_fit4<-fitted(lm_i4)
sls_4<-lm(y~x_fit4,data=lmdata_4)
summary(sls_4)

##
## Call:
## lm(formula = y ~ x_fit4, data = lmdata_4)
##
## Residuals:
## Min 1Q Median 3Q Max
## -5.8886 -1.4938 0.0333 1.3726 7.6623
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 3.03150 0.09153 33.119 <2e-16 ***
## x_fit4 0.99613 0.10232 9.736 <2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 2.046 on 498 degrees of freedom
## Multiple R-squared: 0.1599, Adjusted R-squared: 0.1582
## F-statistic: 94.78 on 1 and 498 DF, p-value: < 2.2e-16

PART g
lmdata_g1<- df %>% slice(1:10)
lm_g1<-lm(x~z2,data=lmdata_g1)
x_fitg1<-fitted(lm_g1)
sls_g1<-lm(y~x_fitg1,data=lmdata_g1)
summary(sls_g1)

##
## Call:
## lm(formula = y ~ x_fitg1, data = lmdata_g1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -5.9100 -1.5470 -0.7599 2.0799 5.8201
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1.892 3.697 0.512 0.623
## x_fitg1 -2.950 17.282 -0.171 0.869
##
## Residual standard error: 3.38 on 8 degrees of freedom
## Multiple R-squared: 0.00363, Adjusted R-squared: -0.1209
## F-statistic: 0.02915 on 1 and 8 DF, p-value: 0.8687

lmdata_g2<- df %>% slice(1:20)

lm_g2<-lm(x~z2,data=lmdata_g2)
x_fitg2<-fitted(lm_g2)
sls_g2<-lm(y~x_fitg2,data=lmdata_g2)
summary(sls_g2)

##
## Call:
## lm(formula = y ~ x_fitg2, data = lmdata_g2)
##
## Residuals:
## Min 1Q Median 3Q Max
## -6.8580 -1.4576 0.2981 1.5408 5.0120
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 3.2433 0.7499 4.325 0.000408 ***
## x_fitg2 0.1110 2.6571 0.042 0.967140
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 2.609 on 18 degrees of freedom
## Multiple R-squared: 9.693e-05, Adjusted R-squared: -0.05545
## F-statistic: 0.001745 on 1 and 18 DF, p-value: 0.9671

lmdata_g3<- df %>% slice(1:100)

lm_g3<-lm(x~z2,data=lmdata_g3)
x_fitg3<-fitted(lm_g3)
sls_g3<-lm(y~x_fitg3,data=lmdata_g3)
summary(sls_g3)

##
## Call:
## lm(formula = y ~ x_fitg3, data = lmdata_g3)
##
## Residuals:
## Min 1Q Median 3Q Max
## -6.8871 -1.3593 -0.0861 1.5005 5.3739
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 2.9902 0.2137 13.996 < 2e-16 ***
## x_fitg3 1.1349 0.3542 3.204 0.00183 **
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 2.124 on 98 degrees of freedom
## Multiple R-squared: 0.09483, Adjusted R-squared: 0.08559
## F-statistic: 10.27 on 1 and 98 DF, p-value: 0.001828

lmdata_g4<- df %>% slice(1:500)

lm_g4<-lm(x~z2,data=lmdata_g4)
x_fitg4<-fitted(lm_g4)
sls_g4<-lm(y~x_fitg4,data=lmdata_g4)
summary(sls_g4)

##
## Call:
## lm(formula = y ~ x_fitg4, data = lmdata_g4)
##
## Residuals:
## Min 1Q Median 3Q Max
## -6.8896 -1.3373 -0.1368 1.4042 7.5446
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 3.02946 0.09804 30.901 < 2e-16 ***
## x_fitg4 1.06665 0.23458 4.547 6.84e-06 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 2.187 on 498 degrees of freedom
## Multiple R-squared: 0.03986, Adjusted R-squared: 0.03793
## F-statistic: 20.68 on 1 and 498 DF, p-value: 6.839e-06

PART h
data_1<- df %>% slice(1:10)
comb_1<-lm(x~z2+z1,data=data_1)
fit_1<-fitted(comb_1)
sls_lm1<-lm(y~fit_1,data=data_1)
summary(sls_lm1)

##
## Call:
## lm(formula = y ~ fit_1, data = data_1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -5.0639 -1.3528 -0.4129 2.4800 2.9570
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 2.7114 0.8746 3.100 0.0147 *
## fit_1 1.0491 0.5140 2.041 0.0755 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 2.745 on 8 degrees of freedom
## Multiple R-squared: 0.3425, Adjusted R-squared: 0.2603
## F-statistic: 4.166 on 1 and 8 DF, p-value: 0.07553

data_2<- df %>% slice(1:20)

comb_2<-lm(x~z2+z1,data=data_2)
fit_2<-fitted(comb_2)
sls_lm2<-lm(y~fit_2,data=data_2)
summary(sls_lm2)

##
## Call:
## lm(formula = y ~ fit_2, data = data_2)
##
## Residuals:
## Min 1Q Median 3Q Max
## -5.9387 -0.9457 0.3604 1.4182 3.6502
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 3.0852 0.5045 6.115 8.92e-06 ***
## fit_2 1.0026 0.3924 2.555 0.0199 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 2.235 on 18 degrees of freedom
## Multiple R-squared: 0.2661, Adjusted R-squared: 0.2254
## F-statistic: 6.528 on 1 and 18 DF, p-value: 0.01989

data_3<- df %>% slice(1:100)

comb_3<-lm(x~z2+z1,data=data_3)
fit_3<-fitted(comb_3)
sls_lm3<-lm(y~fit_3,data=data_3)
summary(sls_lm3)

##
## Call:
## lm(formula = y ~ fit_3, data = data_3)
##
## Residuals:
## Min 1Q Median 3Q Max
## -6.1040 -1.4575 0.2193 1.5744 3.9015
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 2.9808 0.1962 15.191 < 2e-16 ***
## fit_3 0.9921 0.1833 5.413 4.41e-07 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 1.958 on 98 degrees of freedom
## Multiple R-squared: 0.2302, Adjusted R-squared: 0.2223
## F-statistic: 29.3 on 1 and 98 DF, p-value: 4.407e-07

data_4<- df %>% slice(1:500)

comb_4<-lm(x~z2+z1,data=data_4)
fit_4<-fitted(comb_4)
sls_lm4<-lm(y~fit_4,data=data_4)
summary(sls_lm4)

##
## Call:
## lm(formula = y ~ fit_4, data = data_4)
##
## Residuals:
## Min 1Q Median 3Q Max
## -6.1205 -1.3817 -0.0526 1.2986 7.3349
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 3.03113 0.08920 33.98 <2e-16 ***
## fit_4 1.00899 0.08984 11.23 <2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 1.994 on 498 degrees of freedom
## Multiple R-squared: 0.2021, Adjusted R-squared: 0.2005
## F-statistic: 126.1 on 1 and 498 DF, p-value: < 2.2e-16