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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 11:07:06 +0100
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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