General econometric questions and advice should go in the econometric discussions forum. First, in section 2, i walk through a simple example which outlines the general empirical setting and illustrates why we would need to correct the standard errors on the coefficient estimates when faced with. I have estimated a linear multiple regression with robust standard errors using stata regress depvar. In these data sets, the residuals may be correlated across firms or across time, and ols standard. I have estimated a linear multiple regression with robust standard errors using stata regress depvar indepvar1 indepvar2 indepvar3 indepvar4 indepvar5, robust. Need help to create variable from list of qualitative variables next by date. The stata regress command includes a robust option for estimating the standard errors using the huberwhite sandwich estimators. First, in section 2, i walk through a simple example which outlines the general empirical setting and illustrates why we would need to correct the standard errors on the coefficient estimates when faced with overlapping samples. Stata modules to perform tests on ordered probit and ordered. This paper also discusses the pros and cons of doubleclustered standard errors. This is an example of the calculation of hodrick1992 standard errors. It also includes examples of how confidence intervals for estimates can be calculated. The survey commands are part of the standard software package.
Hodrick 1992 standard errors for technical questions regarding estimation of single equations, systems, vars, factor analysis and state space models in eviews. The column with positive and negative numbers measures the cyclical portion of gdp, that is, the deviation of gdp from its trend. In corporate finance and asset pricing empirical work, researchers are often confronted with panel data. Stata timeseries reference manual survey design and analysis. When estimating spatial hac errors as discussed in conley 1999 and conley 2008, i usually relied on code by solomon hsiang. Calculating approximate standard errors and confidence intervals for current population survey estimates this document provides information about calculating approximate standard errors for estimates from the current population survey cps. Hodrick prescott filter see hodrick and prescott 1997 is a popular tool in macroeconomics for fitting smooth trend to time series.
Correcting standard errors andrew johnston economics. Below you will find a tutorial that demonstrates how to calculate clustered standard errors in stata. How can i calculated the standard error for time series. Calculating approximate standard errors and confidence. Find out for yourself why eviews is the worldwide leader in windowsbased econometric software and the choice of those who demand the. How to create a date variable from a date stored as a string duration. West standard errors newey y x, lagm in pure trend or seasonality models set m1. Iv regression and twoway clusterrobust standard errors. Conley spatial hac standard errors for models with fixed. Comparison between neweywest 1987 and hansenhodrick. Since i dont have a stata license and only a physical print, i couldnt try to experiment with the data on stata. Potential problems with cr standard errors test for clustering some speci c examples with simulations references the clusterrobust variancecovariance estimator.
Standard error estimation with overlapping samples. I would like stata to divide the sum of the variables by the number of valid variables for that specific case. For all the software covered here, the default number of bootstrap replications is 199, but this can be overruled via option brep, e. Mar 06, 20 6 videos play all time series in stata statacorp llc data management.
The prefix option tells stata to save the standard. Stata module to calculate omnibus test for univariatemultivariate normality christopher baum and nicholas cox omodel. Stata module to implement hodrickprescott filter for timeseries data, statistical software components s447001, boston college department of economics, revised 28 oct 2009. This message has been checked for viruses but the contents of an attachment may still contain software viruses which could damage your computer system. Rats procedure to compute hodrick standard errors tom doan omninorm. How can i calculated the standard error for time series means. Newey and west standard errors, a neweywest estimator is.
Alternative procedures for inference and measurement. Dropping observations with similar names same prefix next by date. Based on your location, we recommend that you select. On stata i used a hp filter on my gdp data, soothing parameter is 1600. Suppose you want to predict annual returns on the stock market, but that you sample the data monthly. Estimating standard errors in panel data sets petersen. And actually i mean if stata has builtin or userwritten command, not eviews. The reported standard errors are neweywest corrected standard errors for the b0 estimate use robust standard errors reg with r option if the errors are correlated use newey. Basics of stata this handout is intended as an introduction to stata. Estima develops and sells rats regression analysis of time series, a leading econometrics and timeseries analysis software package.
Standard error estimation with overlapping samples research. This is an example of the calculation of hodrick 1992 standard errors. For example, patient 1 has a sum of 40 with 4 valid variables while patient 2 has a. The need for hansen hodrick standard errors shows up a lot when working with overlapping data in finance. Three common methods are 1 robust standard errors not to be confused with robust regression, 2 bootstrap standard errors, and 3 jacknife standard errors.
Rats is used worldwide by economists and others for analyzing time series and cross sectional data, developing and estimating econometric models, forecasting, and much more. Throughout, bold type will refer to stata commands, while le names, variables names, etc. Stata is a complete statistical software package with full statistical, data management, and graphical capabilities. Clustered standard errors in stata economic theory blog. The suggested solution was to use neweywest standard errors. Neweywest tends to be used as catchall hac standard errors, whereas hansen hodrick comes up frequently in the context of overlapping data points e. Alternative methods of estimating standard errors stata. It also gives you higher moments, skewness and kurtosis. It also gives you higher moments, skewness and kurtosis, as well as the jarquebera test for normality as the software is tailor made for financial econometrics. Veronica this message and any attachment are intended solely for the addressee and may contain confidential information. Estimating standard errors in finance panel data sets. In few words this is what happens when varying bandwidth and kernels a if i run iv regressions with nontruncated kernel and hac standard errors. Such robust standard errors can deal with a collection of minor concerns about failure to meet assumptions, such as minor problems about normality, heteroscedasticity, or. So i have gdp data, and i want to find the output gap.
It generates a a new column of data, some negative some positive. Statistical software packages that are commonly used to estimate standard errors from complex multistage designs using the taylorseries linearization method include sas version 8. On april 23, 2014, statalist moved from an email list to a forum. Comparison between neweywest 1987 and hansenhodrick 1980. Eviews 10 feature list eviews offers an extensive array of powerful features for data handling, statistics and econometric. Hodrick 1992 standard errors statalist the stata forum. Oct 23, 2017 below you will find a tutorial that demonstrates how to calculate clustered standard errors in stata. Baums code is nicer in that it does not rely on matrices, and being on ssc it will have a larger userbase. The rats software forum view topic hodrick1992 standard. He and others have made some code available that estimates standard errors that allow for spatial correlation along a smooth running variable distance and temporal correlation. It is well known that the trend computation according to this filter is equivalent to fitting the local linear trend plus irregular model with the. Introduction to robust and clustered standard errors.
As i have a feeling this isnt incorporated in to stata yet. Hac standard errors may be computed using nonparametric kernel, parametric varhac, and prewhitened kernel methods. Many stata estimation commands support alternative ways of estimating standard errors. In stata, the command newey produces neweywest standard errors for coefficients estimated by ols regression. This message has been checked for viruses but the contents of an attachment may still contain software viruses which could damage. The tutorial is based on an simulated data that i generate here and which you can download here. The code runs quite smoothly, but typically, when you. And like in any business, in economics, the stars matter a lot. Positive numbers mean that realized gdp is above trend. Neweywest tends to be used as catchall hac standard errors, whereas hansenhodrick comes up frequently in the context of overlapping data points e. Stata module to implement hodrick prescott filter for timeseries data, statistical software components s447001, boston college department of economics, revised 28 oct 2009. Eviews offers academic researchers, corporations, government agencies, and students access to powerful statistical, forecasting, and modeling tools through an innovative, easytouse objectoriented interface. On the lefthandside you now have annual returns and observations next to each other have 11 month of data in common. Calculating hansenhodrick standard errors using stata.
Choose a web site to get translated content where available and see local events and offers. Replicating stata probit with robust errors in r stack. Stata modules to perform tests on ordered probit and ordered logit models rory wolfe onemode. Procedure to compute a least squares regression with the covariance matrix proposed by hodrick1992 dividend yields and expected stock returns. Journal of financial economics university of rochester. Therefore, i would be grateful if someone could suggest how i can calculate hh st. Dear statalisters, i am writing to enquire whether there is a command or implementation of hodrick standard errors for time series in stata. Calculating hansen hodrick standard errors using stata. In this post, i show how to compute corrected standard errors for a predictive regression with overlapping samples as in hodrick 1992. Replicating stata probit with robust errors in r stack overflow. Medical expenditure panel survey computing standard errors. Calculating hansen hodrick standard errors using stata dear all, the topic was discussed on the forum before.
Sep, 2011 this option gives ou the standard mean, median, min, max and standard deviation of the observations just as in matlab, r or stata. Hence one important aspect of my question is, is there anything about hansenhodrick that makes it more suited to deal with overlapping data than neweywest. The paper also provides valid standard errors for the more complicated case which allows for persistent common shocks. Procedure to compute a least squares regression with the covariance matrix proposed by hodrick 1992 dividend yields and expected stock returns. Test for autocorrelation sample may not include multiple panels previous by thread. Im wondering if eviews has a way to implement hodrick 1992 standard errors. The need for hansenhodrick standard errors shows up a lot when working with overlapping data in finance. Dear all, i am running a timeseries predictive regression, where left hand side is monthly returns and right hand side are some economic variables. R is a programming language and not just an econometrics program, most of the functions we will be interested in are available through libraries sometimes called packages obtained from the r website. It can be run interactively or in batch mode, and is fully programmable.
I would like to find the r implementation that most closely resembles stata output for fitting a least squares regression function with heteroskedastic corrected standard errors. Hansenhadrick 1980 standard errors arent the same as hedrick 1992. It seems as if, r uses different standard errors for probit and logit, but i have only basic knowledge of stata, so i cant figure it out semprini may 15 15 at 7. Calculating hansenhodrick standard errors using stata st. The baxterking and christianofitzgerald bandpass filters and the butterworth and hodrick. In matlab, the command hac in the econometrics toolbox produces the neweywest estimator among others. The standard errors determine how accurate is your estimation. Stata is available on the pcs in the computer lab as well as on the unix system. Regression with heteroskedasticity corrected standard errors. It seems as if, r uses different standard errors for probit and logit, but i have only basic knowledge.
Hence one important aspect of my question is, is there anything about hansen hodrick that makes it more suited to deal with overlapping data than neweywest. This module should be installed from within stata by typing ssc install hprescott. Stata module to estimate ordinal generalized linear models richard williams olshodrick. To obtain a library that does not come with the standard installation follow the cran link on the above website. Unless you have a lot of dofiles using this program lying around, i advise you to turn to a one written by christopher f baum, hprescott. Im writing a thesis and im wondering if eviews has a way to implement hodrick 1992 standard errors. A stata practitioners guide austin nichols and mark scha er 21 sept 2007 austin nichols and mark scha er the clusterrobust variancecovariance estimator. Ive been using software to calculate multivariate risk ratios from logistic regression models. This will run the regression multiple times and use the variability in the slope coefficients as an estimate of their standard deviation intuitively like i did with my simulations. In python, the statsmodels module includes functions for the covariance matrix using neweywest. Dear all, the topic was discussed on the forum before. I am wondering what type of covariance correction for standard errors is better.
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