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From | Austin Nichols <austinnichols@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
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 <ariel.linden@gmail.com>: -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 <ariel.linden@gmail.com> 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 <njcoxstata@gmail.com> > 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 * * 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/