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st: Newey estimations


From   Evelyn Colino de Cantero <colino@uiuc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Newey estimations
Date   Wed, 2 Aug 2006 18:25:46 -0500

hello,

I'm running a newey-west regression with command "newey".
I want also to test for structural break. I'm using the
optimal tests suggested by Andrews and Ploberger (1994) - the
Mean-Wald test - 

as part of the test I need to compute the standard LR test -
or a F-test for a parameter's significance (the one measuring
a possible change in the coeff.)

If I run the command "test" after "Newey" it shows a F-test
result, (which is actually really huge compared with the same
test under a regular OLS regression on the same equation)

Does somebody knows what is the exactly procedure Stata
follows to test parameters under linear reg. with Newey-West
std. errors estimators?
Is still valid to use the "test" command for this pourpose?

I'll appreciate any suggestions,
Thanks,
Evelyn


Evelyn Colino
PhD Student
University of Illinois at U-C
Research Assistant Agricultural and Consumer Economics Department
326 Mumford Hall, MC-710
1301 West Gregory Drive
Urbana, Il., 61801-3605

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