I make two improvements to the command that implements the ordinary least-squares (OLS) estimator that I discussed in Programming an estimation command in Stata: Allowing for options. First, I add an option for a cluster-robust estimator of the variance-covariance of the estimator (VCE). Second, I make the command accept the modern syntax for either a robust or a cluster-robust estimator of the VCE. In the process, I use subroutines in my ado-program to facilitate the parsing, and I discuss some advanced parsing tricks.
This is the tenth post in the series Programming an estimation command in Stata. I recommend that you start at the beginning. See Programming an estimation command in Stata: A map to posted entries for a map to all the posts in this series. Read more…
I make three improvements to the command that implements the ordinary least-squares (OLS) estimator that I discussed in Programming an estimation command in Stata: Allowing for sample restrictions and factor variables. First, I allow the user to request a robust estimator of the variance-covariance of the estimator (VCE). Second, I allow the user to suppress the constant term. Third, I store the residual degrees of freedom in e(df_r) so that test will use the \(t\) or \(F\) distribution instead of the normal or \(\chi^2\) distribution to compute the \(p\)-value of Wald tests.
This is the ninth post in the series Programming an estimation command in Stata. I recommend that you start at the beginning. See Programming an estimation command in Stata: A map to posted entries for a map to all the posts in this series. Read more…
Categories: Programming Tags: #StataProgramming, ado, ado-command, ado-file, do-file, econometrics, OLS, programming, Stata matrix command, Stata matrix function, statistics, syntax
I modify the ordinary least-squares (OLS) command discussed in Programming an estimation command in Stata: A better OLS command to allow for sample restrictions, to handle missing values, to allow for factor variables, and to deal with perfectly collinear variables.
This is the eighth post in the series Programming an estimation command in Stata. I recommend that you start at the beginning. See Programming an estimation command in Stata: A map to posted entries for a map to all the posts in this series. Read more…
Categories: Programming Tags: #StataProgramming, ado, ado-command, ado-file, do-file, econometrics, OLS, programming, Stata matrix command, Stata matrix function, statistics, syntax
I use the syntax command to improve the command that implements the ordinary least-squares (OLS) estimator that I discussed in Programming an estimation command in Stata: A first command for OLS. I show how to require that all variables be numeric variables and how to make the command accept time-series operated variables.
This is the seventh post in the series Programming an estimation command in Stata. I recommend that you start at the beginning. See Programming an estimation command in Stata: A map to posted entries for a map to all the posts in this series. Read more…
Categories: Programming Tags: #StataProgramming, ado, ado-command, ado-file, do-file, econometrics, OLS, programming, Stata matrix command, Stata matrix function, statistics, syntax