This is an example of the calculation of hodrick 1992 standard errors. The suggested solution was to use neweywest standard errors. Also, i dont really now how to turn those into variables. Also useful is the variance inflation factor vif, which is the reciprocal of the tolerance. Pdf regression standard errors in clustered samples. Throughout, bold type will refer to stata commands, while le names, variables names, etc.
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. One approach would be to use the usual standard errors that do not adjust for correlation between observations. Potential problems with cr standard errors test for clustering some speci c examples with simulations references the clusterrobust variancecovariance estimator. Oct 23, 2017 below you will find a tutorial that demonstrates how to calculate clustered standard errors in stata. Hodrick prescott filter see hodrick and prescott 1997 is a popular tool in macroeconomics for fitting smooth trend to time series. Therefore, i would be grateful if someone could suggest how. Estima develops and sells rats regression analysis of time series, a leading econometrics and timeseries analysis software package. I have a panel data with 180 countries over 10 years annual data and i tried to run a hodrick prescott filter over it to smooth data by typing the following command in stata 10.
Hello stata users i can replicate ame exactly but not standard error using margins. 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. Stata is available on the pcs in the computer lab as well as on the unix system. See general information about how to correct material in repec for technical questions regarding this item, or to correct its authors, title, abstract. This shows us how much the variances are inflated by multicollinearity, e. 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. Former fbi negotiator chris voss at the australia real estate conference duration. A short introduction to the computation of standard errors for af measures a short introduction to the computation of standard errors for af measures gaston yalonetzky oxford poverty and human development initiative, university of oxford ophihdca summer school, delft, 24 august.
The program allows you to specify a by variable for fama. How to create a date variable from a date stored as a string duration. A read is counted each time someone views a publication summary such as the title, abstract, and list of authors, clicks on a figure, or views or downloads the fulltext. 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. Jun 16, 2010 0, than this estimate is equivelent to white standard errors with spatial correlations accounted for. Im writing a thesis and im wondering if eviews has a way to implement hodrick 1992 standard errors. Stata does not contain a routine for estimating the coefficients and standard errors by famamacbeth that i know of, but i have written an ado file which you can download. The tutorial is based on an simulated data that i generate here and which you can download here. To obtain a library that does not come with the standard installation follow. Suppose you want to predict annual returns on the stock market, but that you sample the data monthly. Login or register by clicking login or register at the topright of this page.
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. This paper also discusses the pros and cons of doubleclustered standard errors. Conley spatial hac standard errors for models with fixed. Baums code is nicer in that it does not rely on matrices, and being on ssc it will have a larger userbase. 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. The two commands are straightforward to use even for beginning users of stata and guarantee that users will obtain correct point estimates and standard errors.
It also includes examples of how confidence intervals for estimates can be calculated. Sadly, standard errors and standard deviations are often confused in the literature. The stata regress command includes a robust option for estimating the standard errors using the huberwhite sandwich estimators. A short introduction to the computation of standard errors for af measures a short introduction to the computation of standard errors for af measures gaston yalonetzky oxford poverty and human development initiative, university of oxford ophihdca summer school, delft, 24 august 3 september 2011. Since i dont have a stata license and only a physical print, i couldnt try to experiment with the data on stata. On the lefthandside you now have annual returns and observations next to each other have 11 month of data in common. Therefore, i would be grateful if someone could suggest how i can calculate hh st.
General econometric questions and advice should go in the econometric discussions forum. Alternative procedures for inference and measurement. Dear statalisters, i am writing to enquire whether there is a command or implementation of hodrick standard errors for time series in stata. Hp filtering 12 annual observations seems a highly dubious practice, even if it. This script stores estimation results in standard stata formats, so most ereturn commands should work properly. Journal of financial economics university of rochester. I can see the coefficients with ereturn list and eb but i have trouble at getting the standard errors.
To obtain a library that does not come with the standard installation follow the cran link on the above website. Eviews offers an eviews addins and user object infrastructure that provides seamless access to userdefined programs and objects using the standard eviews command, menu, and object interface. Simple formulas for standard errors that cluster by both firm. Calculating approximate standard errors and confidence. The need for hansen hodrick standard errors shows up a lot when working with overlapping data in finance. Many stata estimation commands support alternative ways of estimating standard errors. Such intervals are called confidence intervals streiner, 1996. Three common methods are 1 robust standard errors not to be confused with robust regression, 2 bootstrap standard errors, and 3 jacknife standard errors. The standard errors are very close to one another but not identical mpg is 72. The need for hansenhodrick standard errors shows up a lot when working with overlapping data in finance. Rats is used worldwide by economists and others for analyzing time series and cross sectional data, developing and estimating econometric models, forecasting, and. Pdf bootstrap standard error estimates for linear regression. This sample code uses the errorbar option on the hbar statement of proc gchart to display error bars representing one standard error.
A stata practitioners guide austin nichols and mark scha er 21 sept 2007 austin nichols and mark scha er the clusterrobust variancecovariance estimator. Positive numbers mean that realized gdp is above trend. This package implements the smallsample degrees of freedom adjustments for robust and clusterrobust standard errors in linear regression described in imbens and kolesar 2016. All material on this site has been provided by the respective publishers and authors. Standard error estimation with overlapping samples research. 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. When requesting a correction, please mention this items handle. This manual documents stata s timeseries commands and is referred to as ts in crossreferences. Based on your location, we recommend that you select. Dear all, i am running a timeseries predictive regression, where left hand side is monthly returns and right hand side are some economic variables. Below you will find a tutorial that demonstrates how to calculate clustered standard errors in stata. Clustered standard errors in stata economic theory blog.
Hodrick 1992 standard errors statalist the stata forum. When estimating spatial hac errors as discussed in conley 1999 and conley 2008, i usually relied on code by solomon hsiang. Procedure to compute a least squares regression with the covariance matrix proposed by hodrick 1992 dividend yields and expected stock returns. Choose a web site to get translated content where available and see local events and offers. Hodrick 1992 standard errors for technical questions regarding estimation of single equations, systems, vars, factor analysis and state space models in eviews. Standard error estimation with overlapping samples. The paper also provides valid standard errors for the more complicated case which allows for persistent common shocks. How can i calculated the standard error for time series means.
Correcting standard errors andrew johnston economics. Procedure to compute a least squares regression with the covariance matrix proposed by hodrick1992 dividend yields and expected stock returns. Replicating stata probit with robust errors in r stack overflow. In this post, i show how to compute corrected standard errors for a predictive regression with overlapping samples as in hodrick 1992. Using addins or user objects, you can add userdefined features of power and sophistication that are virtually indistinguishable from builtin features. After this entry,ts time series provides an overview of the ts commands. Petersen 2009 and many other have shown that can lead to standard errors that are too small. Could somebody point me towards the precise mathematical difference. Hac standard errors may be computed using nonparametric kernel, parametric varhac, and prewhitened kernel methods, and allow for andrews and neweywest automatic bandwidth selection methods for kernel estimators, and information criteria based lag length selection methods for varhac and prewhitening estimation. In the stata manual they refer to eqno bvarname and eqno sevarname but theres no example and i cant figure outfind online how to use them. Standard errors can be used to delineate an interval likely to contain the populations true characteristic. If lagcutoff infinity, than this treatment is equivelent to the cluster command in stata at the panel variable level. A short introduction to the computation of standard errors. Basics of stata this handout is intended as an introduction to stata.
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