nardl with robust option

[Peter Ulu]

I'm making a prediction using the nardl code. The results show that there is autocorrelation and heteroscedasticity in the series. Therefore, I need to obtain robust standard errors (HAC/Newey-West). I can't use the vce(robust) or vce(hac nw) options in the nardl command. Does anyone know another way?

[George Ford]

from the ado file, I think you use the option robust and not vce(robust).

[Peter Ulu]

Stata does not provide Breusch/Pagan heteroskedasticity test result when the option robust is used.

[George Ford]

Stata never provides hettest results when robust is used. It has corrected for it. Run without, do test, then run with if test fails.

[Peter Ulu]

Thank you, Mr Ford, for the answer.