RE: st: GMM Newey-West HAC on quarterly time series data

[Aon na <mraon@hotmail.com>]

Hi Nick

It's work by using actest

Many thanks for your help
Aksorn
----------------------------------------
> Date: Thu, 22 Aug 2013 11:07:06 +0100
> Subject: Re: st: GMM Newey-West HAC on quarterly time series data
> From: njcoxstata@gmail.com
> To: statalist@hsphsun2.harvard.edu
>
> 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
> njcoxstata@gmail.com
>
>
> On 22 August 2013 10:57, Aon na <mraon@hotmail.com> 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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