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st: RE: HAC SE in high dimensional regression
From
DE SOUZA Eric <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: RE: HAC SE in high dimensional regression
Date
Sun, 5 Jun 2011 19:15:50 +0200
-areg- is what you need. Type -help areg-
Put all your dummy variables in the option -absorb- , and use the option -vce- for SE corrections
Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Diana Salvia
Sent: 05 June 2011 18:18
To: [email protected]
Subject: st: HAC SE in high dimensional regression
Hi
I am trying to run a regression with a large number of independent variables (approximately 8,000 dummies) and would like to compute SE corrected for heteroskedasticity and serial correlation. However, I only need corrected SE for five of my independent variables (I am not interested on the SE of the dummies). Using the command newey is not an option because it will literally take years to run (I only need SE for five and not for all of my independent variables).
I would really appreciate your help!
thanks
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