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Re: st: Prais with vce(robust)


From   Thomas Jacobs <[email protected]>
To   [email protected]
Subject   Re: st: Prais with vce(robust)
Date   Fri, 2 Jul 2010 19:33:31 -0500

I am back again on this and now unable to run prais y x, vce(robust)
even when affixing version 10.1 at the top of the program.  Is there
something else I need to do to ensure it applies the rules for 10.1 as
opposed to 11.1?  I have:

version 10.1
*Tb_Infl_Results_MonthlyLevChng.do

...

prais IISBasis `Liquidity' `InfVar' if TenorYr==BasisTenors[1,`j'], vce(robust)

and I receive:

option vce() not allowed
r(198);

It runs fine if I lift the robust option just as in 11.1

Thanks,

Tom

On Tue, Jun 22, 2010 at 8:15 AM, Brian P. Poi <[email protected]> wrote:
> On Mon, 21 Jun 2010, Thomas Jacobs wrote:
>
>> Brian,
>>
>> Thanks for the update.  In the meantime, am I best off simply using
>> robust without vce (regress y x, robust) or going back to version 10.1
>> in my program?
>>
>> Tom
>>
>
> Tom,
>
> If you need to use Prais-Winsten or Cochrane-Orcutt regression with robust
> standard errors, you'll need to do so in version 10.1 until we get the fix
> out.  Of course, if you just want to do plain regression with robust
> standard errors, you can just use -regress- in Stata 11 instead.  One other
> alternative would be to use -newey- to obtain Newey-West standard errors;
> they are robust to autocorrelation.
>
>   -- Brian Poi
>   -- [email protected]
> *
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>



-- 
Thomas Jacobs

*
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