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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   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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