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

[Aksorn Lueanyod <mraon@hotmail.com>]

Nick

Sorry about that, I've already changed correctly 

Best regards,
Aksorn
----------------------------------------
> Date: Thu, 22 Aug 2013 11:31:11 +0100
> Subject: Re: st: GMM Newey-West HAC on quarterly time series data
> From: njcoxstata@gmail.com
> To: statalist@hsphsun2.harvard.edu
>
> Good. By the way, your signature here "Aksom" suggests that your
> identifier "Aon na" is not your full real name. Please (re-)read the
> Statalist FAQ to see that use of full real names is requested.
> Nick
> njcoxstata@gmail.com
>
>
> On 22 August 2013 11:21, Aon na <mraon@hotmail.com> wrote:
>> 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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