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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   Mon, 28 Apr 2008 21:17:51 +0200

I'm sorry to bother you with my question again, but something went wrong the
first time I sent it.

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
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