Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: Prais with vce(robust)
From
Thomas Jacobs <[email protected]>
To
StataList <[email protected]>
Subject
st: Prais with vce(robust)
Date
Sat, 19 Jun 2010 18:28:46 -0500
I am trying to perform regressions with prais and the vce(robust)
option as per the manual. Yet, I keep getting an error that the
option is not allowed:
. prais IISBasis TenYrTreasLiq TBillRepo3Mspread TIPS_Share
Bank_CDS_5Y SPF10YR if TenorYr==2, vce(robust)
option vce() not allowed
r(198);
It works fine without it:
. prais IISBasis TenYrTreasLiq TBillRepo3Mspread TIPS_Share
Bank_CDS_5Y SPF10YR if TenorYr==2
Iteration 0: rho = 0.0000
Iteration 1: rho = 0.1506
Iteration 2: rho = 0.1765
Iteration 3: rho = 0.1806
Iteration 4: rho = 0.1812
Iteration 5: rho = 0.1813
Iteration 6: rho = 0.1813
Iteration 7: rho = 0.1813
Iteration 8: rho = 0.1813
Prais-Winsten AR(1) regression -- iterated estimates
Source | SS df MS Number of obs = 19
-------------+------------------------------ F( 5, 13) = 10.33
Model | 1.32617093 5 .265234186 Prob > F = 0.0004
Residual | .333633316 13 .025664101 R-squared = 0.7990
-------------+------------------------------ Adj R-squared = 0.7217
Total | 1.65980425 18 .092211347 Root MSE = .1602
------------------------------------------------------------------------------
IISBasis | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
TenYrTreas~q | 1.449256 .6318501 2.29 0.039 .0842271 2.814286
TBillRepo3~d | .8240618 .203306 4.05 0.001 .3848459 1.263278
TIPS_Share | .0662117 .1569602 0.42 0.680 -.2728803 .4053037
Bank_CDS_5Y | .0678376 .1154862 0.59 0.567 -.1816552 .3173304
SPF10YR | 1.024128 .5681905 1.80 0.095 -.2033725 2.251629
_cons | -2.777354 1.369345 -2.03 0.064 -5.735644 .1809365
-------------+----------------------------------------------------------------
rho | .1813495
------------------------------------------------------------------------------
Durbin-Watson statistic (original) 1.695354
Durbin-Watson statistic (transformed) 1.853295
Can anyone suggest what I may be doing wrong here?
Thanks,
Tom
--
Thomas Jacobs
*
* 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/