Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Prais with vce(robust)


From   Thomas Jacobs <thomasjacobs@gmail.com>
To   StataList <statalist@hsphsun2.harvard.edu>
Subject   st: Prais with vce(robust)
Date   Sat, 19 Jun 2010 18:28:46 -0500

I am trying to perform regressions with prais and the vce(robust)
option as per the manual.  Yet, I keep getting an error that the
option is not allowed:

. prais IISBasis TenYrTreasLiq TBillRepo3Mspread TIPS_Share
Bank_CDS_5Y SPF10YR if TenorYr==2, vce(robust)
option vce() not allowed
r(198);

It works fine without it:

. prais IISBasis TenYrTreasLiq TBillRepo3Mspread TIPS_Share
Bank_CDS_5Y SPF10YR if TenorYr==2

Iteration 0:  rho = 0.0000
Iteration 1:  rho = 0.1506
Iteration 2:  rho = 0.1765
Iteration 3:  rho = 0.1806
Iteration 4:  rho = 0.1812
Iteration 5:  rho = 0.1813
Iteration 6:  rho = 0.1813
Iteration 7:  rho = 0.1813
Iteration 8:  rho = 0.1813

Prais-Winsten AR(1) regression -- iterated estimates

      Source |       SS       df       MS              Number of obs =      19
-------------+------------------------------           F(  5,    13) =   10.33
       Model |  1.32617093     5  .265234186           Prob > F      =  0.0004
    Residual |  .333633316    13  .025664101           R-squared     =  0.7990
-------------+------------------------------           Adj R-squared =  0.7217
       Total |  1.65980425    18  .092211347           Root MSE      =   .1602

------------------------------------------------------------------------------
    IISBasis |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
TenYrTreas~q |   1.449256   .6318501     2.29   0.039     .0842271    2.814286
TBillRepo3~d |   .8240618    .203306     4.05   0.001     .3848459    1.263278
  TIPS_Share |   .0662117   .1569602     0.42   0.680    -.2728803    .4053037
 Bank_CDS_5Y |   .0678376   .1154862     0.59   0.567    -.1816552    .3173304
     SPF10YR |   1.024128   .5681905     1.80   0.095    -.2033725    2.251629
       _cons |  -2.777354   1.369345    -2.03   0.064    -5.735644    .1809365
-------------+----------------------------------------------------------------
         rho |   .1813495
------------------------------------------------------------------------------
Durbin-Watson statistic (original)    1.695354
Durbin-Watson statistic (transformed) 1.853295

Can anyone suggest what I may be doing wrong here?
Thanks,

Tom
--
Thomas Jacobs
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   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   |   Site index