用R取代Stata与SAS

Mon, 20 Jan 2020 00:00:00 +0000

安装Stata

首先安装ncurses5-compat-libs和libpng12这两个包，其次

% sudo -s

cd /tmp/

mkdir statafiles

cd statafiles

tar -zxf /home/you/Downloads/Stata14Linux64.tar.gz

cd /usr/local

mkdir stata14

cd stata14

/tmp/statafiles/install

安完之后把安装目录加到环境变量中去。我选择编辑/etc/profile加入：

export PATH="$PATH:/usr/local/stata14"

若想不重启就生效可以source /etc/profile

Lic文件可以直接COPY到安装目录，或者在目录中放stata.lic.tar.gz。

在R中调用Stata

通过RStata实现

#run Stata in R----
library("RStata")
options("RStata.StataPath" = "D:\\Stata15\\StataSE-64") #office
options("RStata.StataPath" = "/usr/local/stata14/stata") #linux #cannot use stata-se?
options("RStata.StataVersion" = 14)

三种环境下数据互通

R下通过两个包

library(haven) #nead read_dta to read dta
library(rio) # rio::import to read sas data
#haven::read_sas can also import sas7bdat
f1 <- str_c(data_loc,"after2007.sas7bdat",sep = "/") 
o1 <- str_c(data_loc,"after2007.dta",sep = "/") 
after2007_raw <-  import(f1)
after2007 %>% 
  mutate_if(is.numeric, as.integer) %>% 
  write_dta(.,o1, version = 12)
# Because sas only supports Stata 12 files (or earlier) while haven supports stata versions 8-15.

如以上方法都无法顺利读入sas7bdat，用SAS中转

#import stata data file, only supports 12 or earlier
PROC IMPORT OUT= WORK.S1 
            DATAFILE= "E:\after2007.dta" 
            DBMS=STATA REPLACE;
RUN;

proc export data=raw1 outfile= "D:\sample.dta" replace;
run;

Panel data in R vs in Stata

Tue, 27 Aug 2019 00:00:00 +0000

Panel data with one way fixed effect

mm1 <- invforward ~ TOBINQ + inv + top3 + size + lev + cash + loss + lnage + cfo + sd + ic + factor(year)
zzz <- plm(mm1,data=sample,model="within",index=c("stkcd"))

same as xtreg i.year fe , without robust vcetype 用这种方法算出来$R^2$和Stata报告$R^2$ within的一致

m1 <- invforward ~ TOBINQ + inv + top3 + size + lev + cash + loss + lnage + cfo + sd + ic
zz <- plm(m1,data=sample,model="within",index=c("stkcd", "year"),effect = "twoways")
summary(zz)

same sa xtreg i.year, fe , without robust vcetype，但$R^2$较Stata报告$R^2$ within小

vcetype robust

zz_r <- coeftest(zz, vcov.=function(x) vcovHC(x, type="sss")) # same as stata xtreg i.year, fe r
# OR
zzz_r <- coeftest(zzz, vcov.=function(x) vcovHC(x, type="sss"))

组间系数比较

OLS可用

sur_diff <-  MVBV ~ (Dm + Dh + EBV + DmEBV +DhEBV)*g_layer
h2t <- h2 %>%
  filter(g_layer != 2)%>%
  mutate(g_layer = ifelse(g_layer == 1, 0, 1))
mm <- lm(sur_diff,data=h2t)
ttt <-  coeftest(mm, vcov.=function(x) vcovHC(x, cluster="group", type="HC1"))

stargazer(fpm,models_growth_layer,type = "text", column.labels = table4_label)
stargazer(fpm_r,robusts_growth_layer,type = "text", column.labels = table4_label,
          add.lines=c("DhEBV(4)-(2)", str_c(round(ttt[12,1],3),"**(p=",round(ttt[12,4],3),")")))

Panel Data不行！One way, two way fixed effect都不行！建议直接加interaction

R | Little World