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Re: st: GMM Newey-West HAC on quarterly time series data
From
Nick Cox <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: GMM Newey-West HAC on quarterly time series data
Date
Thu, 22 Aug 2013 11:31:11 +0100
Good. By the way, your signature here "Aksom" suggests that your
identifier "Aon na" is not your full real name. Please (re-)read the
Statalist FAQ to see that use of full real names is requested.
Nick
[email protected]
On 22 August 2013 11:21, Aon na <[email protected]> wrote:
> Hi Nick
>
> It's work by using actest
>
> Many thanks for your help
> Aksorn
> ----------------------------------------
>> Date: Thu, 22 Aug 2013 11:07:06 +0100
>> Subject: Re: st: GMM Newey-West HAC on quarterly time series data
>> From: [email protected]
>> To: [email protected]
>>
>> On 5) the write-up for -ivactest- (SSC) says, in effect, use -actest-
>> (SSC) instead. That said, I can't comment on the specific problem
>> here.
>> Nick
>> [email protected]
>>
>>
>> On 22 August 2013 10:57, Aon na <[email protected]> wrote:
>>> I employed GMM to deal
>>> with price endogenous with three instruments by using
>>> quarterly time series data (all 60 quarters)
>>>
>>> I would like to ask some questions. Since my data is quarterly time series that usually have autocorrelation problem .
>>>
>>> 1.) Can I run GMM and correct problem of autocorrelation and heteroscedasticity on my data with Newey-West
>>> HAC variance?
>>>
>>> 2.) Is it correct if I used this command? (my priceb_s is endogenous)
>>> ivreg2 lnsale1 (lnpriceb_s = lnwage lner lnppi) lngdp lnir lnbenzeneb policy , bw(4) gmm kernel(Bartlett) robust
>>>
>>> Can i use 4 in bw(4) because my data is quarterly time series?
>>>
>>> 3.) But if I use bw (1) both results of command give the similar results
>>>
>>> ivreg2 lnsale1 (lnpriceb_s = lnwage lner lnppi) lngdp lnir lnbenzeneb policy , bw(1) gmm kernel(Bartlett) robust
>>>
>>> ivregress gmm lnsale1 (lnpriceb_s = lnwage lner lnppi) lngdp lnir lnbenzeneb policy
>>>
>>> I am quite confused that both commands (ivreg2, gmm and ivregress gmm) are the same?
>>>
>>> 4.) After run the command, i try to check the autocorrelation by ivactest. I already install by command ssc install ivactest.
>>> It had an error and say like this
>>>
>>> . ivactest
>>> struct ms_vcvorthog undefined
>>> (76 lines skipped)
>>> (error occurred while loading ivactest.ado)
>>> r(3000);
>>>
>>> Do I command correctly?
>>>
>>> Sorry for asking many questions. It would appreciate if someone could help.
>>> Thank you very much
>>>
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