Statalist The Stata Listserver


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: Park-Phillips/Phillips-Hansen "bias-corrected" estimators - Part II


From   "Tan Elaine" <[email protected]>
To   <[email protected]>
Subject   st: Park-Phillips/Phillips-Hansen "bias-corrected" estimators - Part II
Date   Thu, 19 Apr 2007 14:51:14 +0100

Hello - further to my earlier posting, here are more details:

I'm doing IV estimation with data that are I(1). According to theory,
OLS is consistent, but biased. 

In the literature, an estimator correcting for the bias is called the
"Phillips-Hansen estimator". [It's developed in P. Phillips and B.
Hansen, Statistical Inference in Instrumental Variables Regression with
I(1) Processes, Review of Econ Studies, 57(1), Jan 1990]

As far as I can see, this estimator is rather well-known, and authors
just write that their derived Phillips-Hansen estimator is
such-and-such. (Much like authors just refer to "Newey-West", etc.)

However, I can't seem to obtain the Phillips-Hansen estimator through
STATA. Does anyone know if it can be obtain through STATA, and if so,
what the commands are please? 

Many thanks, Elaine Tan

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index