Hello, I would like to modell arbitrage profits between cryprocurrency exchanges. I have have 9 pairs, and 3864 hours per pair. The dependent variable is censored by zero. I would like to use CLAD because of nonnormal and heteroskedastic errors. However I don't know how to get valid standard errros for the coefficient estimates. Since I have autocorrelated errors within exchange pair, they are not valid. I found that there are bootstrap methods to get autocorrelation robust standard errors. Are there any STATA procedures to implement these bootstrap methods?
Related Posts with CLAD with autocorrelated data
Unit Root Test Panel DataHi! I went help for Unit Root Test for Panel Data. I do Unit Root Test and the result is that. . …
cdeco command in Stata 16Hello Everyone. I am trying to use cdeco command to decompose the gender difference in wages. The c…
How to merge event dates in Stata having a duplicate companyHello Everyone, I have imported 2 files from excel to stata with all string variables. I know how t…
Panel RegressionHello, I am using StataSE 14 and currently working on my final thesis. My advisor told me to robust …
Please help: How to create all possible combinations of several variables?Hello, Could you please help me with the below? I could not find an easier way to do this so far. I…
Subscribe to:
Post Comments (Atom)
0 Response to CLAD with autocorrelated data
Post a Comment