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  • two newey west regression compare the two beta coefficients with t-test

    Hi community,


    I am trying to test whether the two beta coefficients CSV from two different regressions are significantly different from each other with a t-test.
    this is what I have so far:

    newey ret_av12 CSV, lag(1)
    est store n1
    newey ret_av12 CSV IP1 int1, lag(1)
    est store n2
    suest n1 n2

    test [n1_mean]CSV=[n2_mean]CSV

    I get the following error:

    n1 was estimated with a nonstandard vce (Newey-West)

    Does anyone know how to solve this error?




  • #2
    Sofia:
    you may want to take a look at: https://www.statalist.org/forums/for...ing-newey-west
    Kind regards,
    Carlo
    (Stata 15.1 SE)

    Comment


    • #3
      thank you!

      Comment

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