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st: re: newey west


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: newey west
Date   Wed, 10 Dec 2008 13:16:50 -0500

< >
Jared said

Let me rephrase then.  Say my date is numerical, and indicates year and
month in the form yyyymo.  Then the last two digits of this number
ranges from 1 to 12.  This causes the tsset to choke.  That's when I use
my trick.  Sorry for the confusion.


-tsset- will not choke if presented with valid input:

. l

     +--------+
     |   var1 |
     |--------|
  1. | 200801 |
  2. | 200802 |
  3. | 200803 |
  4. | 200805 |
  5. | 200812 |
     +--------+

. g date = ym(int(var1/100),var1-100*int(var1/100))

. format date %tm

. l

     +------------------+
     |   var1      date |
     |------------------|
  1. | 200801    2008m1 |
  2. | 200802    2008m2 |
  3. | 200803    2008m3 |
  4. | 200805    2008m5 |
  5. | 200812   2008m12 |
     +------------------+

. tsset date
        time variable:  date, 2008m1 to 2008m12, but with gaps
                delta:  1 month


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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