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Re: Re: st: how to us prais in a situation with comparison group

From   Austin Nichols <>
Subject   Re: Re: st: how to us prais in a situation with comparison group
Date   Thu, 3 May 2012 12:32:03 -0400

Ariel Linden, DrPH <>:
-newey- is also for TS not XT data.

webuse grunfeld, clear
newey mvalue kstock, lag(4)
ivreg2 mvalue kstock, bw(auto)

On Thu, May 3, 2012 at 12:17 PM, Ariel Linden, DrPH
<> wrote:
> Let me try and help out here...
> - prais - will not work on multiple groups, since it is intended for a
> single group time series analysis. However, there are other available
> approaches with multiple groups. For example, you could use -newey- which
> will allows specification of lags and provide appropriate standard errors.
> In addition, you can (and should) check for autocorrelation in each group
> individually, which can be done via -dfuller-, - wntestq- ,  -abar- (user
> written program) or -ivactest- (user written program). You may have to find
> the correct form/structure for each group separately and then put apply the
> statistical model to the corrected data
> I hope this helps...
> Ariel
> Date: Wed, 2 May 2012 20:32:56 +0100
> From: Nick Cox <>
> Subject: Re: st: how to us prais in a situation with comparison group
> I don't know what autoreg in SAS does, so can't comment much, except for
> this.
> If you can explain how autoreg calculates serial correlation of
> residuals for your model, then somebody well qualified may be able to
> comment. You could try betting that someone on this list knows what
> autoreg in SAS does, but you're less likely to get a good answer.
> You can't easily have it both ways. If your data are time series, it
> is hard to bootstrap them meaningfully, at least in Stata.
> Nick

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