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st: RE: Prais with vce(robust)


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Prais with vce(robust)
Date   Sun, 20 Jun 2010 10:37:46 +0200

<>

Thomas does have a good case with his complaint re -vce(robust)-. Even the
official example gets stuck:

***********

webuse idle, clear
tsset t

prais usr idle
prais usr idle, corc
prais usr idle, corc vce(robust)
***********

The same example does run w/o problems in 10.1. The problem seems to be that
lines 136-138 of -prais.ado- request -_regress- to accept a -vce(robust)-
option, which it rejects. 

Indeed, when I run

-version 11.1, missing: _regress usr idle,  vce(robust)- on the dataset from
the example above, I get the same rejection. It only works when I change the
call to

-version 11.1, missing:  _regress usr idle,  robust-



HTH
Martin

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Thomas Jacobs
Sent: Sonntag, 20. Juni 2010 01:29
To: StataList
Subject: st: Prais with vce(robust)

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
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