Statalist


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

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


From   "nicola.baldini2@unibo.it" <nicola.baldini2@unibo.it>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Probit models with Newey-West st.errors and lagged variables
Date   Tue, 6 May 2008 11:01:39 -0700

I can't understand what's the question/problem here.
BTW, you need to specify the -lag()- option if you really want to apply the Newey-West correction
Nicola

At 02.33 29/04/2008 -0400, therese flokketveit wrote:
>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

*
*   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/

Privileged, confidential or patient identifiable information may be contained in this message. This information is meant only for the use of the intended recipients. If you are not the intended recipient, or if the message has been addressed to you in error, do not read, disclose, reproduce, distribute, disseminate or otherwise use this transmission. Instead, please notify the sender by reply e-mail, and then destroy all copies of the message and any attachments.

*
*   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 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index