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st: hadrilm


From   MONTEIRO Josť-Antonio <jose-antonio.monteiro@unine.ch>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: hadrilm
Date   Tue, 29 Jul 2008 17:06:44 +0200

Hello. I have a question/remark about the code of hadrilm.do. In particular, the line which defines the maximum truncation lag:

* set maxlag via Schwert criterion (Ng/Perron JASA 1995)
                local maxlag = int(schwert*(`N'/100)^0.25)


Why is it a function of N, the number of individuals. Shouldnt it be instead a function of the sample size T?!

* set maxlag via Schwert criterion (Ng/Perron JASA 1995)
                local maxlag = int(schwert*(`T'/100)^0.25)

Could someone confirm the right command.

Thanks.

J

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