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st: RE: Park-Phillips/Phillips-Hansen "bias-corrected" estimators
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From |
"Maarten Buis" <[email protected]> |
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To |
<[email protected]> |
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Subject |
st: RE: Park-Phillips/Phillips-Hansen "bias-corrected" estimators |
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Date |
Thu, 19 Apr 2007 15:34:58 +0200 |
Please see:
http://www.stata.com/statalist/archive/2007-04/msg00339.html
http://www.stata.com/statalist/archive/2007-03/msg00865.html
http://www.stata.com/support/faqs/res/statalist.html#advice
-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands
visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434
+31 20 5986715
http://home.fsw.vu.nl/m.buis/
-----------------------------------------
-----Original Message-----
From: [email protected] [mailto:[email protected]]On Behalf Of Tan Elaine
Sent: donderdag 19 april 2007 15:24
To: [email protected]
Subject: st: Park-Phillips/Phillips-Hansen "bias-corrected" estimators
Hello -
Can someone please help me obtain Park-Phillips/Phillips-Hansen
"bias-corrected" estimators from Stata?
I'm doing IV estimation with data that are I(1). According to theory,
OLS is consistent, but biased. Park & Phillips (1988) and later,
Phillips and Hansen (1990), have developed estimators that correct for
this bias.
What are the Stata commands for these estimators please?
Many thanks, Elaine Tan
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