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st: RE: Prais with vce(robust)
From
"Martin Weiss" <[email protected]>
To
<[email protected]>
Subject
st: RE: Prais with vce(robust)
Date
Sun, 20 Jun 2010 10:37:46 +0200
<>
Thomas does have a good case with his complaint re -vce(robust)-. Even the
official example gets stuck:
***********
webuse idle, clear
tsset t
prais usr idle
prais usr idle, corc
prais usr idle, corc vce(robust)
***********
The same example does run w/o problems in 10.1. The problem seems to be that
lines 136-138 of -prais.ado- request -_regress- to accept a -vce(robust)-
option, which it rejects.
Indeed, when I run
-version 11.1, missing: _regress usr idle, vce(robust)- on the dataset from
the example above, I get the same rejection. It only works when I change the
call to
-version 11.1, missing: _regress usr idle, robust-
HTH
Martin
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Thomas Jacobs
Sent: Sonntag, 20. Juni 2010 01:29
To: StataList
Subject: st: Prais with vce(robust)
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
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