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


From   therese flokketveit <therese3788@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Probit models with Newey-West st.errors and lagged variables
Date   Sun, 27 Apr 2008 09:49:00 +0200

Hello, Im currently working on my master thesis regarding the use of the yield spread to predict future recessions on Norwegian data. To do this Im 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
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