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Re: st: Prais with vce(robust)


From   Thomas Jacobs <thomasjacobs@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Prais with vce(robust)
Date   Wed, 14 Jul 2010 18:06:46 -0500

Nick,

Thanks.  I was under the mis-impression that affixing version 10.1
under a later version and running 10.1 were the same thing.  My
ultimate solution was to switch to Newey-West via ivreg2.

Tom

On Mon, Jul 5, 2010 at 6:05 AM, Nick Cox <n.j.cox@durham.ac.uk> wrote:
>
> I am not surprised that this does not do what you need.
>
> As the behaviour change in -prais- in Stata 11 was not deliberate, it follows that there is _no_ switch in the code for -prais- that allows this use of version control to get what you want.
>
> -version- does much less than many people think. Only Stata 10.1 is a complete replica of Stata 10.1, for example. Stata's not like a set of Russian dolls with older versions wrapped inside newer versions.
>
> There is more explanation at
>
> FAQ     . . . . . . . . . . . . . . .  User-written programs and Stata version
>        . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  N. J. Cox
>        2/09    I have a certain version of Stata and have come
>                across a user-written program that is apparently
>                written for a later version of Stata. What are
>                my options?
>                http://www.stata.com/support/faqs/lang/version2.html
>
> This stuff is a bit complicated, but Brian knows what he is talking about: only doing this within Stata 10.1 will suffice until this is fixed.
>
> Nick
> n.j.cox@durham.ac.uk
>
> Thomas Jacobs
>
> 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
>
> On Tue, Jun 22, 2010 at 8:15 AM, Brian P. Poi <bpoi@stata.com> 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.
>
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--
Thomas Jacobs

*
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