Heteroskedasticity- and autocorrelation-robust F and t tests in Stata

• Autores: Xiaoqing Ye, Yixiao Sun
• Localización: The Stata journal, ISSN 1536-867X, Vol. 18, Nº. 4, 2018, págs. 951-980
• Idioma: inglés
• Enlaces
  • Texto completo
• Resumen

  • In this article, we consider time-series, ordinary least-squares, and instrumental-variable regressions and introduce a new pair of commands, har and hart, that implement more accurate heteroskedasticity- and autocorrelationrobust (HAR) F and t tests. These tests represent part of the recent progress on HAR inference. The F and t tests are based on the convenient F and t approximations and are more accurate than the conventional chi-squared and normal approximations. The underlying smoothing parameters are selected to target the type I and type II errors, which are the two fundamental objects in every hypothesis testing problem. The estimation command har and the postestimation test command hart allow for both kernel HAR variance estimators and orthonormalseries HAR variance estimators. In addition, we introduce another pair of new mands, gmmhar and gmmhart, that implement the recently developed F and t tests in a two-step generalized method of moments framework. For these commands, we opt for the orthonormal-series HAR variance estimator based on the Fourier bases because it allows us to develop convenient F and t approximations as in the first-step generalized method of moments framework. Finally, we present several examples to demonstrate these commands.