Hello, I�m currently working on my master thesis regarding the use of the yield spread to predict future recessions on Norwegian data. To do this I�m estimating several probit models of the form
P(Yt=1|x)=F(b0+b1Xt-k), where Y is a dummy variable which equals 1 in recession months and 0 in non-recession months. X is the spread between 10 year government zero coupon bonds and treasury bills with 3 (6, 9 or 12) months to maturity.
I would like to calculate robust standard errors adjusted for autocorrelation using the Newey-West (1987) technique. I have downloaded the nwest function (STB-39 sg72), and run the command (I am running Stata MP 10 and all files are up to date):
. nwest probit Rec_skj l12.sp_10_n12 if time>301 & time
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