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

[Nick Cox <njcoxstata@gmail.com>]

Thanks for that. (And sorry for writing "Aksom" before.)
Nick
njcoxstata@gmail.com


On 22 August 2013 11:46, Aksorn Lueanyod <mraon@hotmail.com> wrote:
> 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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