示例代码 newey2ln_ttf_volnordstream_annnordstream_nordstream_2_01ln_nbp_volln_nymex_volln_wrei_volln_gold_volln_vix_vol,lag(2)forceoutreg2usingttf_vol.xls,replacectitle(ttf_vol_newey)setseed12345generatey=runiform()generatez=runiform()localstate=c(rngstate)setrngstate`state'sqregln_ttf_vo...
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type can be nw for Newey West heteroscedasticity autocorrelation robust standard errors (Pesaran 2006) or wpn for fixed T adjusted standard errors from Westerlund et. al (2019). ols for standard OLS standard errors. cr_lags(integers) sets the number of lags of the cross sectional averages. ...
This estimate can then be used to determine the optimal lag length of the input series to include in the model specification. It can also be used as a postestimation tool after fitting a transfer function. The cross-correlogram between the residual from a transfer-function model and the pre...
by regressing y kzero-order KPSS statistic 0 on = Tzt;=2 P(1Tt=t1)0s2t;=zTt = (1)0 ;1 PTt=1 yielding residuals et: e2t : For maxlag > 0, Let the the partial sum denominator is computed as the Newey–West estimate of the long run variance of the series; see [R] newey....
ivregress — Single-equation instrumental-variables regression 3 Specifying kernel requests an HAC weighting matrix using the specified kernel, and the lag order is selected using Newey and West’s (1994) optimal lag-selection algorithm. Specifying kernel requests an HAC weighting matrix using the...
* optimal lag Endogenous: LnAEG LnREC LnCFC LnCO2 LnAGH Exogenous: _cons ARDL长短期分析 ardl LnAEG LnREC LnCFC LnCO2 LnAGH , maxlag(5 5 5 5 5) nocons ec1 regstore(res) 得到: ARDL(1,1,0,1,0) regression Sample: 1985 thru 2020 Number of obs = 36 ...
VariableR-sq. R-sq. R-sq. F(4,44) Prob > F hsngval0.6908 0.6557 0.5473 13.2978 0.0000 Minimum eigenvalue statistic = 13.2978 Critical Values # of endogenous regressors: 1 H0: Instruments are weak # of excluded instruments: 4 5% 10% 20% 30% ...
vce(hac kernel opt # ) requests a HAC variance–covariance matrix using the specified kernel, and the lag order is selected using Newey and West's (1994) optimal lag-selection algorithm. # is an optional tuning parameter that affects the lag order selected; see the discussion in Methods and...