I have nothing to add to discussion of Newey-West, but just
want to point out that mass transformation of a bunch of
variables is just a -foreach- loop:
foreach v of var <varlist> {
gen logit_`v' = logit(`v')
label var logit_`v' "logit `v'"
}
subject to small problems if variable names are very long.
You mainly need to work out the <varlist>.
Nick
[email protected]
Clive Nicholas
> It can be onerous if you have lots of independent variables to
> logit-transform
Kit Baum
> > I'm not sure why transforming variables into logits 'by hand' is any
> > more onerous than transforming variables into logarithms 'by hand'
> > prior to estimation.
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