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Re: st: Newey estimations


From   Allin Cottrell <cottrell@wfu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Newey estimations
Date   Wed, 2 Aug 2006 22:41:45 -0400 (EDT)

On Wed, 2 Aug 2006, Evelyn Colino de Cantero wrote:

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)
Check out

http://www.stata.com/help.cgi?newey

and the link from there,

http://www.stata.com/help.cgi?newey+postestimation

I think the latter is what you really want, in particular the "lincom" and "test" items. The "test" item in this context seems to imply that you're getting a Wald test based on the robust estimate of the covariance matrix. But if the robust F-test result is "huge" compared with that associated with the standard OLS covariance matrix, there may be something amiss.

Do you grok Gauss? If so, you might look at

http://www.ssc.wisc.edu/~bhansen/progs/joe_00.html

Allin Cottrell
Wake Forest University
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