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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
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 <[email protected]> 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
> [email protected]
>
> 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 <[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.
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
--
Thomas Jacobs
*
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