Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: Probit models with Newey-West st.errors and lagged variables


From   therese flokketveit <[email protected]>
To   [email protected]
Subject   st: Probit models with Newey-West st.errors and lagged variables
Date   Sun, 27 Apr 2008 09:49:00 +0200

Hello, I�m currently working on my master thesis regarding the use of the yield spread to predict future recessions on Norwegian data. To do this I�m estimating several probit models of the form 
P(Yt=1|x)=F(b0+b1Xt-k), where Y is a dummy variable which equals 1 in recession months and 0 in non-recession months. X is the spread between 10 year government zero coupon bonds and treasury bills with 3 (6, 9 or 12) months to maturity. 


I would like to calculate robust standard errors adjusted for autocorrelation using the Newey-West (1987) technique. I have downloaded the nwest function (STB-39 sg72), and run the command (I am running Stata MP 10 and all files are up to date):



. nwest probit Rec_skj l12.sp_10_n12 if time>301 & time
_________________________________________________________________
S�k fra enhver webside med kraftig beskyttelse. F� Windows Live Toolbar GRATIS i dag!
http://www.toolbar.live.com


*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index