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