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st: Book


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Book
Date   Mon, 15 May 2006 22:16:48 -0400

Dave,
 I hope to have the proofreading of the book done in a few weeks.
It's already 523 pp. I have written programs in Stata to do
ARIMA forecast evaluation and GARCH forecast evaluation as well
as with Brian Poi of Stata preparing a program to do automatic
ARIMA intervention detection and modeling.
 Moreover, there is a program for each chapter that runs all the
output and generates all of the graphs in sequence for that chapter.
 I have included questions, problems, and data sets.  I have answered
the even-numbered questions in the back of the book.  
 So it goes. I hope it will be out this summer.
    Best,
      Bob
 

Robert A. Yaffee, Ph.D.
Research Professor
Shirley M. Ehrenkranz
School of Social Work
New York University

home address:
Apt 19-W
2100 Linwood Ave.
Fort Lee, NJ
07024-3171
Phone: 201-242-3824
Fax: 201-242-3825
yaffee@nyu.edu

----- Original Message -----
From: David Greenberg <dg4@nyu.edu>
Date: Wednesday, August 4, 2004 6:59 pm
Subject: Re: st: Hausman test

> Try doing the estimation of the two models in the opposite order. 
> David Greenberg, Sociology Dept., New York University
> 
> ----- Original Message -----
> From: Andrea Molinari <A.Molinari@sussex.ac.uk>
> Date: Wednesday, August 4, 2004 6:22 am
> Subject: st: Hausman test
> 
> > Dear all,
> > When estimating a Hausman test between fixed and random effects 
> > models for a
> > subsample, I got a negative chi2 value (!) together with the 
> following> message:
> > 
> > model fitted on these data fails to meet the asymptotic 
> > assumptions of the
> > Hausman test; see suest for a generalized test
> > 
> > 
> > but I could not implement suest for panel. Does anyone have a 
> hint 
> > on how to
> > do this?
> > 
> > 
> > 
> > Thanks!
> > 
> > 
> > Andrea
> > 
> > 
> > 
> > 
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> > 
> 
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