Search found 86 matches

Thu Mar 26, 2020 7:44 am
Forum: General Information and Tips and Tricks
Topic: bandwidth and the number of lags
Replies: 5
Views: 3455

Re: bandwidth and the number of lags

If I run an OLS with 247 observations with a Bandwidth method being Newey-West automatic, I get the following: HAC standard errors & covariance (Bartlett kernel, Newey-West automatic bandwidth = 9.8793, NW automatic lag length = 4) If I run an OLS with 247 observations with a Bandwidth method be...
Tue Nov 12, 2019 3:41 pm
Forum: General Information and Tips and Tricks
Topic: bandwidth and the number of lags
Replies: 5
Views: 3455

Re: bandwidth and the number of lags

Possibly I was not clear. If I run an OLS regression with 247 observations, I get the following Newey-West automatic bandwidth = 7.7735 NW automatic lag length = 4 What is the number of lags that I can infer from the Bandwidth? In the OLS case the number of lags seems to be associated with a bandwid...
Sat Nov 09, 2019 4:47 am
Forum: General Information and Tips and Tricks
Topic: bandwidth and the number of lags
Replies: 5
Views: 3455

Re: bandwidth and the number of lags

If I run an OLS regression, I get the following: Included observations: 247 HAC standard errors & covariance (Bartlett kernel, Newey-West automatic bandwidth = 7.7735 , NW automatic lag length = 4 ) No d.f. adjustment for standard errors & covariance If I apply a rule of thumb from the liter...
Fri Nov 08, 2019 3:41 am
Forum: General Information and Tips and Tricks
Topic: bandwidth and the number of lags
Replies: 5
Views: 3455

bandwidth and the number of lags

I would like to know how I can infer the number of lags used for the bandwidth associated to the (long-run) variance estimator. In running a system with GMM, I get the following output: Included observations: 247 Total system (balanced) observations 3458 Kernel: Bartlett, Bandwidth: Variable Newey-...
Mon Aug 19, 2019 2:23 pm
Forum: Estimation
Topic: GMM, Time series HAC and Bandwidth Andrews
Replies: 1
Views: 2908

GMM, Time series HAC and Bandwidth Andrews

I would like to run a system of equations with GMM with the following characteristics: Estimation method: Time series HAC Bandwidth selections: Andrews Kernel Option: Bartlett I run the system with the following options mymodel.gmm(instwgt=hac,instlag=1,instkern=Bartlett, instbw=andrews,nodf) Howeve...
Thu Jun 20, 2019 7:52 am
Forum: Estimation
Topic: GMM and covariance among factors
Replies: 4
Views: 1515

Re: GMM and covariance among factors

No, actually not, because @stderrs(1) refers to the 1st coefficient, which is not necessarily c(1)

How can I get the standard errors, which are associated directly to the parameter c(1): something like @stderrs(c(1))?.
Thu Jun 20, 2019 7:45 am
Forum: Estimation
Topic: GMM and covariance among factors
Replies: 4
Views: 1515

Re: GMM and covariance among factors

problem solved

Table = SDF.@stderrs(1)
Thu Jun 20, 2019 7:23 am
Forum: Estimation
Topic: GMM and covariance among factors
Replies: 4
Views: 1515

Re: GMM and covariance among factors

I am able to save the coefficients of this system in a Table, for example
Table(1,1) = SDF.c(1)
but I am not able to save the standard errors

do you have a suggestion?
Fri Jun 07, 2019 2:43 am
Forum: General Information and Tips and Tricks
Topic: Scatter plot two vectors
Replies: 8
Views: 4799

Re: Scatter plot two vectors

I have added two texts in my scatter plot

But I would like to remove the frame around them.
I tried various alternative unsuccessfully.

What should I do?
Thu Jun 06, 2019 2:48 pm
Forum: Estimation
Topic: GMM and covariance among factors
Replies: 4
Views: 1515

GMM and covariance among factors

Given the 7 variables (y1,...,y7) and the tree factors (x1, x2 and x3), is it possible to save the covariance of factors x1, x2 and x3 using GMM , after solving the system below? system SDF SDF.append ( y1*(1 - c(1)*(x1 - c(4)) - c(2)*(x2 - c(5)) - c(3)*(x3 - c(6))) ) = 0 @ c SDF.append ( y2*(1 - c(...
Tue Jun 04, 2019 10:01 am
Forum: General Information and Tips and Tricks
Topic: Scatter plot two vectors
Replies: 8
Views: 4799

Re: Scatter plot two vectors

I would like to add a result in a chart, but I cannot manage. for example: scalar scalar_x = 2.55555555555555 I first create a string: string X = @str(scalar_X, "f7..3") then I add it to the chart such as graph.addtext(.1,2.75 .1) X However, what I get is X and not 2.555. How can I get 2.5...
Tue Jun 04, 2019 9:00 am
Forum: Suggestions and Requests
Topic: 45 degree line
Replies: 5
Views: 5315

Re: 45 degree line

Is it possible to add a fitted line with a zero intercept?

freeze(mygraph) Z.scat linefit ...... such that the intercept = 0
Tue Jun 04, 2019 7:21 am
Forum: Suggestions and Requests
Topic: 45 degree line
Replies: 5
Views: 5315

Re: 45 degree line

is the 45 degree line option in a scatter plot chart now available?
Mon Jun 03, 2019 10:05 am
Forum: General Information and Tips and Tricks
Topic: Scatter plot two vectors
Replies: 8
Views: 4799

Re: Scatter plot two vectors

I have now a matrix Z with two vectors.

Is there a piece of program I can use such as
scat Z(1) Z(2)
where the first vector is plotted on the Y-axis and the second vector is plotted on the X-axis?
Mon Jun 03, 2019 9:29 am
Forum: General Information and Tips and Tricks
Topic: Scatter plot two vectors
Replies: 8
Views: 4799

Scatter plot two vectors

is it possible to scatter plot two vectors of equal size one on the Y-axis and the other on the X-axis?