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Re: st: RE: Prais with vce(robust)
From
Thomas Jacobs <[email protected]>
To
[email protected]
Subject
Re: st: RE: Prais with vce(robust)
Date
Sun, 20 Jun 2010 07:50:06 -0500
Martin,
Thanks very much for the reply and confirmation. I had not thought to
return to an earlier version of Stata to workaround; I can go back to
10.1.
Tom
On Sun, Jun 20, 2010 at 3:37 AM, Martin Weiss <[email protected]> wrote:
>
> <>
>
> 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: [email protected]
> [mailto:[email protected]] 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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> *
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>
--
Thomas Jacobs
*
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