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From |
Daniel Park <danielpark87@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Regression output: Nwest and Probit |

Date |
Mon, 17 Jun 2013 11:42:03 +0200 |

Hello everyone, before I start I ll apologize for any noob-ish questions. I previously worked with Eviews for my master thesis until I had to realize that the things I need to do can't be done with Eviews. So since yesterday I have been trying to teach myself some STATA. For my thesis, I am performing forecasts using a probit model. Due to the overlapping nature of the forecasts, I would like to correct the serial correlation of the errors by using Newey-West techinique. Delta is one quarter and I want to do predictions 1 to 8 quarters ahead. What I got so far: tsset date time variable: date, 1900q1 to 2013q1 delta: 1 quarter nwest probit dependentvar independentvar, lag(X) t(date) first annoying thing is that the lag operator "L" doesn't work with nwest, or at least i am too stupid to do so. Is there any way except creating new time series with manually lagged independent variables? If i use "probit" only, the lag operator works perfectly fine. Also, i set X equal the lag of the independent variable minus 1 (so if the independent variable has a lag of two quarters I set X equal 1). I thought that for one quarter ahead I don't yet need to correct for serial correlation,or am I mistaken? My question is concerning the output that nwest delivers. Eviews outputs a nice table with all sorts of information for any sort of regression (problem with Eviews was that there is no function to calculate robust SE based on Newey West for probit models). However, the nwest command only outputs Regression with Newey-West standard errors maximum lag : 0 Number of obs = 251 F( 1, 249) = 13.13 Prob > F = 0.0004 ------------------------------------------------------------------------------ | Robust ptinrec | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- dlog_djind | -1.888772 .5211739 -3.62 0.000 -2.915243 -.8623005 _cons | .218619 .0268878 8.13 0.000 .1656625 .2715755 ------------------------------------------------------------------------------ If it comes out distorted, its basically just the coefficients with the robust SE and the t-statistics together with probability and 95% confidence interval. Is there any option to extend this table automatically to include basic regression output like R-squared, adjust R-squared, the SE of the regression, values of the log likelihood etc? Thanks in advance * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

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