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Re: st: Newey estimations

From   Allin Cottrell <>
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

and the link from there,

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

Allin Cottrell
Wake Forest University
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