Econometrics na3011
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Econometrics (NA3011). Reza Mortazavi 2014 Stata Lecture 4. Explaining ice cream demand. use http ://users.du.se/~ rem/icecream.dta Browse tsset time

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Econometrics (NA3011)

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Econometrics na3011

Econometrics (NA3011)

Reza Mortazavi

2014

Stata Lecture 4


Explaining ice cream demand

Explaining ice cream demand

  • use http://users.du.se/~rem/icecream.dta

  • Browse

  • tsset time

  • Note: ”tsset ” is the commandthatinforms the data aretime series, the variable ”time” in this data set is the timevariable.

  • Do we have any reason to suspect autocorrelation (also called serial correlation)?

  • regr cons price income

  • predict resid,residual


Explaining ice cream demand1

Explaining ice cream demand

  • twoway (scatter resid time, yline(0))

  • regr cons price income temp

  • predict ehat,residual

  • twoway (scatter ehat time, yline(0))

  • Still autocorrelation

  • estatdwatson

  • H0: H1:

  • At 5% significancelevelwehave (for T=30, K=4), . So werejectH0: .


Econometrics na3011

GLS

  • estatbgodfrey

  • This so called Breusch-Godfrey test is more general and is sufficient for this course. What is the conclusion?

  • prais cons price income temp, rhotype(regress) corc


Introducing dynamics

Introducing dynamics

  • gen lagtemp=L.temp

  • regr cons price income temp lagtemp

  • estatdwatson

  • estatbgodfrey


Robust newey west hac standard errors

Robust (Newey-West HAC) standard errors

  • newey cons price income temp, lag(1)

  • newey cons price income temp, lag(2)


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