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

[Aksorn Lueanyod <mraon@hotmail.com>]

That's OK, i didn't realize it ^^
----------------------------------------
> Date: Thu, 22 Aug 2013 11:48:13 +0100
> Subject: Re: st: GMM Newey-West HAC on quarterly time series data
> From: njcoxstata@gmail.com
> To: statalist@hsphsun2.harvard.edu
>
> 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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